Eichengreen, Watson, and Grossman (EWG) advance the following thesis in their paper ‘Bank Rate Policy Under the Interwar Gold Standard’: "Classical gold standard occupies an almost mystical position in the literature on international finance...[and] is portrayed as a remarkably durable and efficient mechanism for achieving price and exchange rate stability...[However], all to often, scant mention is made of the interwar (1925-1931) gold standard, for it is not evident how interwar experience fits into [this] view....It is clear [as the authors contend] the interwar gold standard was far from durable...The system was anything but conducive to stability." In this paper, we organize our analysis into three sections. In section one we define the set of variables used by EWG in their analysis as well as the accompanying estimation method developed by the authors. In section two we present the results of our replication analysis and compare it with those published in the article. In section three, we use an econometric framework to evaluate the empirical results generated by EWG and compare them against those generated under our replication. We conclude our analysis by discussing the implications of our results, specifically with respect to the following questions: [1]. Was the discount rate policy asymmetric in the sense that the bank raised its discount rate upon losing reserves but failed to lower it upon gaining them? [2]. Was the bank responsive not only to the balance of payments but also to internal conditions when making Bank Rate decisions?

1. An Econometric Analysis -and- Replication of Eichengreen, Watson, and Grossman's :
Bank Rate Policy Under the Interwar Gold Standard: A Dynamic Probit Model
By: Kabeed Mansur
__________________________________________________________
Introduction
In the paper we analyzed for replication, the authors put forward the following argument -
which serves as the main thesis of the study: The author's posit that, that:
"Classical gold standard occupies an almost mystical position in the literature on
international finance...[and] is portrayed as a remarkably durable and efficient
mechanism for achieving price and exchange rate stability...[However], all to often,
scant mention is made of the interwar (1925-1931) gold standard, for it is not
evident how interwar experience fits into [this] view....It is clear [as the authors
contend] the interwar gold standard was far from durable...The system was anything
but conducive to stability". (Eichengreen, Watson, Grossman, 725).
In order to defend this position, the article identifies a number of possible explanations -
however, the most prominent of these explanations concerns the role played by central banks during
the interwar period.
"Perhaps the most popular villains of all are the major central banks...it is alleged, [that] central banks
failed to play by the rules of the game ... previously [prior to 1925] seen as intervening through open
market operations to amplify the impact on domestic asset supplies of an imbalance in the external
accounts, after 1925 they sterilized gold flows instead." (Ibid, 725).
To this end:
"...the [case] is made with special force conerning the most visible of central bank
instruments: the discount rate (bank Rate)...central banks were compelled to raise
their discount rates when confronted by a sustained loss of gold, all to often they
refrained from reducing those rates when acquiring reserves...[Thus], by hesitating
to act...central banks may have impeded the international adjustment process during
the interwar period." (Ibid, 726)
What will follow in our forthcoming analysis will not be an appraisal of this thesis, but rather,
our goal will be to partially replicate the empirical results put foreward in the article. The authors
specific choice of metrics is motivated by the following questions, which they seek to address and use as
their analytical framework:
_____________________

2. 1. First, was the discount rate policy asymmetric in the sense that the bank raised its
discount rate upon losing reserves but failed to lower it upon gaining them?
2. Secondly, was the bank responsive not only to the balance of payments but also to
internal conditions when making Bank Rate decisions?
____________________
We will break our analysis into three sections, whereby, we define the variables to be used and
the accompanying estimation method as developed the authors in section 1. In section 2 we present the
results of our replication and compare it with those published in the article; analyzing and explaining
possible causes/reasons for deviation between the two. In the final section, we interpret the empirical
results and discuss the implications of these results in the context of the two questions posed above.
It is important to quickly note here - before proceeding to our analysis/replication - that the
central bank identified herein by the authors and on which the data set is contingent will be: The Bank
of England. Moreover, the data used by the authors in their study, and which we will use in our
replication was gathered weekly for all variables starting from May 1925 and extending through
September 1931.
Definition of Variables and Specification of Estimation Method
In this section we will define the variables used by the authors - some variables are not listed,
this is because either data sets for these are incomplete, unavailable, or not of direct interest to our
replication. Therefore, the variables to be defined herein, will be only those strictly considered in our
forthcoming replication.
After we define our variables, the next task will be to identify the specific estimation method
used to investigate and model the variables and their relationships - again, we will only consider a single
estimation method insofar as it will be the method used to run our replication, namely: an Ordinary
Least Squares(OLS) regression.
Table 1- below, presents a definition of variables used in the replication:
____________________________________

3. Table 1 - Definition of Variables
Variable Definition
DBR Change in Bank Rate
DGFALL Fall in Gold Reserves
DGRISE Rise in Gold Reserves
BRHIGH Bank Rate <4%
DBRLR (BR - i)
DI (London i - NY i)
---------------------------------------------------------------------------------------------------------------
The estimation method we will seek to replicate is an OLS regression:
Since, the authors model DBR as a dependent variable depnding on the following vector of
predetermined variables:
DBR = f (DGFall, DGRise, BRHigh, RBRLR, DBRLR, DI).

4. Presentation and Discussion of Replicated OLS v. Actual OLS
In this section, we will present a tabular comparison of results obtained from our OLS replication
runs in Shazam with those obtained and presented by the authors in the article. We will then analyze
and present a possible explanation of causal factors contributing to the observed deviations between
the replicated and actual results.
Comparison of Replicated OLS v. Actual OLS is found below in table 2.
________________________
Table 2. Replicated OLS v. Actual OLS
Rep. OLS Article OLS
Variable Error Est. Error Est.
DGSFall 0.005 - 0.0049 0.005 -0.0049
DGRise 0.009 0.019 0.009 0.011
BRHigh 0.004 -0.0065 0.004 -0.008
DBRLR 0.034 0.0118 0.034 0.012
DI 0.010 -0.012 0.011 -0.009

5. Possible reasons for deviation in the OLS replication data from the actual OLS data can e
attributed to two possible causes:
1. Incomplete Data Sets
2. Non Transformed Data Set
We identify these two possible casual factors based on the following disclaimer attached to the data set
by the authors:
________________________________
Data notes on "Bank Rate Policy Under the Interwar Gold Standard: A Dynamic
Probit Model" by Barry Eichengreen, Mark Watson and Richard Grossman, The
Economic Journal, Vol. 95, September 1985, pp 725-745.
These notes were compiled in 1998 and are unfortunately a bit sketchy. The raw data series that I could
find are in the *.txt files. There is a description of the data at the bottom of these files.
The data that were used in the paper (sometimes transformed) are in the *.dat files. Each of these files
contains 328 observations on the relevant variable.
(Source: Readme.txt file attached to Data Set).
________________________________
Discussion and Implications of the Empirical Results
Despite deviations in the replicated v. actual OLS estimates; we do observe that both results
follow a similar trajectory. In this section we discuss what the implications of these results are, in
genereal, in regards to the two questions posed in the introduction. To this end, we see that the:

6. "OLS are quite plausible: all coefficients (eg, the ones considered in this paper) have
the anticipated signs and are of reasonable magnitudes. For example, the negative
coefficient on DGRall suggests that the bank of England responded to a loss of
reserves by raising Bank Rate, ceteris paribus...The negative coefficient on BRHigh
suggests that the Bank of England did attempt to lower Bank Rate when it exceeded
4%. The negative coefficients on on the difference between the Bank Rate and the
London market rate, suggests that the Bank tended to raise Bank Rate when it fell
short of (exceeded) the market rate in order to insure Bank Rates
effectiveness.....The negative coefficient on [the] London - New York interest
differential (Variable DI), suggests that the Bank felt able to lower Bank Rate when
London rates were rising relative to NY rates, presumably strengthening the capital
account" (Ibid, 738-9).
In conclusion these results indeed reveal an asymmetry, as was conjectured by the authors - in
how the bank of England responded to reserve gains and losses. Our replication of these results,
although deviating somewhat from the actual results arrived at in the article, show further agreement
with the articles thesis. Thus, "such violations of the rules of the game, here adequately documented for
the firs time, may have contributed to the instability of the interwar financial system.". (Ibid, 741).

7. Bibliography
1). "Bank Rate Policy Under the Interwar Gold Standard: A Dynamic Probit Model" by Barry Eichengreen,
Mark Watson and Richard Grossman, The Economic Journal, Vol. 95, September 1985, pp 725-745.
2). Data Set Found at: http://www.princeton.edu/~mwatson/publi.html Journal Article #6

8. Appendix 1- Data Set:
DBR DGFall DGRise BRHigh RBRLR DBRLR DI
0.00 0.00 0.00 5.00 0.62 1 35
0.00 0.00 0.00 5.00 0.50 0.00 -3
0.00 -1.00 1.00 5.00 0.81 0.00 -6
0.00 -1.00 0.00 4.50 0.69 0.00 -2
0.00 -4.00 0.00 4.50 1.00 1.00 6
0.00 -1.00 0.00 0.00 0.25 0.00 4
0.00 -1.00 0.00 0.00 0.13 0.00 6
0.00 0.00 0.00 5.00 0.13 0.00 2
0.00 0.00 0.00 5.00 0.13 0.00 2
0.00 0.00 0.00 5.00 0.56 0.56 2
0.00 -1.00 1.00 5.00 0.63 0.00 2
0.00 0.00 0.00 5.00 0.69 0.69 2
0.00 0.00 1.00 5.00 0.63 0.00 -23
0.00 0.00 0.00 5.00 0.75 0.00 -21
0.00 0.00 0.00 5.00 0.75 0.00 -19
0.00 0.00 0.00 5.00 0.75 0.00 -15
0.00 0.00 1.00 5.00 0.44 0.00 -21
0.00 0.00 0.00 5.00 0.44 0.00 1
0.00 0.00 0.00 5.00 0.31 0.00 -22
0.00 -1.00 1.00 5.00 0.31 0.31 -18
0.00 0.00 0.00 5.00 0.88 0.88 -12
0.00 -1.00 0.00 5.00 0.75 0.00 -8
0.00 0.00 0.00 5.00 0.88 0.00 -2
0.00 0.00 1.00 5.00 0.69 0.69 2
0.00 -1.00 1.00 5.00 0.06 0.00 -6
0.00 0.00 0.00 4.50 0.81 0.00 -8
0.00 0.00 0.00 4.50 0.19 0.00 -18
0.00 0.00 0.00 4.50 0.19 0.00 -20
0.00 -1.00 0.00 4.50 0.19 0.00 -12
0.00 -1.00 0.00 4.50 0.19 0.00 -10
0.00 0.00 0.00 4.50 0.19 0.00 -12
0.00 0.00 0.00 4.50 0.19 0.00 -24
0.00 0.00 0.00 4.50 0.19 0.00 5
0.00 0.00 0.00 4.50 0.19 0.00 5
0.00 0.00 2.00 4.50 0.22 0.00 -3
0.00 0.00 2.00 4.50 0.31 0.00 1
0.00 -1.00 1.00 4.50 0.34 0.34 -19
0.00 0.00 0.00 4.50 0.50 0.00 -2
0.00 0.00 0.00 4.50 0.50 0.00 -2
0.00 0.00 1.00 4.50 0.63 0.63 -10
0.00 0.00 1.00 4.50 0.63 0.00 -6
0.00 0.00 0.00 4.50 0.44 0.00 -8
0.00 0.00 1.00 4.50 0.25 0.00 2
0.00 0.00 0.00 4.50 0.25 0.00 -24
0.00 -3.00 0.00 4.50 0.13 0.00 0

9. 0.00 -1.00 0.00 4.50 0.13 0.00 -6
1.00 0.00 0.00 4.50 0.19 0.00 -4
0.00 -3.00 1.00 4.50 0.19 0.00 -2
0.00 0.00 0.00 4.50 0.19 0.00 -4
0.00 0.00 0.00 5.50 0.25 0.00 6
0.00 0.00 1.00 5.50 0.16 0.00 -6
0.00 0.00 2.00 5.50 0.38 0.00 -8
0.00 -3.00 0.00 5.50 0.19 0.00 -13
0.00 -5.00 0.00 5.50 0.13 0.00 -2
0.00 -2.00 0.00 5.50 0.06 0.00 -8
0.00 0.00 0.00 5.50 0.03 0.00 -4
0.00 0.00 0.00 5.50 0.03 0.03 -6
-0.50 0.00 1.00 6.50 0.38 0.38 -10
0.00 0.00 1.00 6.00 0.31 0.31 -14
-0.50 0.00 3.00 5.50 0.69 0.00 -16
-0.50 0.00 3.00 5.00 0.94 0.94 -18
0.00 0.00 1.00 5.00 1.09 1.09 -8
-0.50 0.00 1.00 4.50 1.13 1.13 -8
0.00 0.00 1.00 0.00 1.13 0.00 -2
0.00 -1.00 0.00 0.00 1.09 1.09 -6
0.00 0.00 0.00 0.00 0.84 0.00 -4
0.00 -1.00 0.00 0.00 0.75 0.75 0
0.00 0.00 0.00 0.00 0.56 0.00 4
0.00 0.00 1.00 0.00 0.81 0.81 -7
0.00 0.00 0.00 0.00 0.94 0.00 -11
0.00 -1.00 1.00 0.00 0.91 0.00 -13
0.00 -3.00 0.00 0.00 0.75 0.00 -12
0.00 -2.00 0.00 0.00 0.81 0.00 -11
0.00 0.00 0.00 0.00 0.81 0.81 -3
0.00 0.00 1.00 0.00 0.56 0.00 -1
0.00 0.00 0.00 0.00 0.38 0.00 -3
0.00 0.00 0.00 0.00 0.44 0.00 -25
0.00 0.00 0.00 0.00 0.44 0.00 -20
1.00 0.00 1.00 0.00 0.47 0.47 -16
0.00 -15.00 2.00 0.00 0.47 0.47 -20
0.00 0.00 0.00 0.00 0.13 0.00 3
-0.50 0.00 1.00 4.50 0.31 0.31 -26
0.00 0.00 2.00 5.00 0.63 0.00 -26
-0.50 0.00 0.00 5.00 0.50 0.00 -26
0.00 -1.00 0.00 5.00 0.75 0.00 -3
0.00 0.00 0.00 4.50 0.75 0.75 -3
0.00 -2.00 0.00 4.50 0.94 0.00 -15
0.00 -1.00 0.00 0.00 0.25 0.00 -7
0.00 0.00 0.00 0.00 0.06 0.00 -5
0.00 -1.00 0.00 5.00 0.06 0.00 -7
0.00 0.00 1.00 5.00 0.25 0.25 3
0.00 -1.00 0.00 5.00 0.75 0.75 4
0.00 0.00 0.00 5.00 0.56 0.00 2

10. 0.00 0.00 1.00 5.00 0.63 0.00 3
0.00 0.00 0.00 5.00 0.63 0.00 2
0.00 0.00 0.00 5.00 0.75 0.00 0
0.00 0.00 1.00 5.00 0.75 0.00 -3
0.00 0.00 0.00 5.00 0.75 0.00 -13
0.00 -1.00 0.00 5.00 0.50 0.50 -17
0.00 -2.00 0.00 5.00 0.44 0.00 -17
0.00 0.00 0.00 5.00 0.25 0.00 -18
0.00 0.00 0.00 5.00 0.31 0.00 -16
0.00 0.00 0.00 5.00 0.50 0.00 -18
0.00 0.00 0.00 5.00 1.00 1.00 -20
0.00 0.00 0.00 5.00 0.81 0.00 -25
0.00 0.00 2.00 5.00 0.69 0.00 -23
0.00 0.00 1.00 5.00 0.75 0.75 -17
0.00 0.00 0.00 4.50 0.81 0.00 -19
0.00 -1.00 0.00 4.50 0.19 0.00 -19
0.00 0.00 1.00 4.50 0.19 0.00 -15
0.00 0.00 0.00 4.50 0.19 0.00 -17
0.00 0.00 1.00 4.50 0.19 0.00 -13
0.00 0.00 0.00 4.50 0.19 0.00 -11
0.00 0.00 0.00 4.50 0.19 0.00 -12
0.00 0.00 1.00 4.50 0.19 0.00 -11
0.00 0.00 1.00 4.50 0.19 0.00 -11
0.00 0.00 0.00 4.50 0.31 0.31 -14
0.00 0.00 0.00 4.50 0.31 0.00 -8
0.00 0.00 1.00 4.50 0.34 0.00 3
0.00 0.00 1.00 4.50 0.50 0.00 2
0.00 0.00 1.00 4.50 0.56 0.56 1
0.00 0.00 1.00 4.50 0.69 0.69 1
0.00 -2.00 0.00 4.50 0.63 0.00 2
0.00 0.00 1.00 4.50 0.25 0.00 -4
0.00 -3.00 0.00 4.50 0.25 0.00 -9
0.00 0.00 0.00 4.50 0.31 0.31 -15
0.00 0.00 0.00 4.50 0.13 0.00 -20
0.00 -2.00 0.00 4.50 0.13 0.00 4
0.00 0.00 0.00 4.50 0.13 0.00 -1
0.00 0.00 0.00 4.50 0.19 0.00 -25
0.00 0.00 1.00 5.50 0.25 0.25 -20
0.00 0.00 1.00 5.50 0.13 0.00 -2
0.00 0.00 2.00 5.50 0.19 0.19 -4
0.00 0.00 1.00 5.50 0.41 0.41 -15
0.00 -4.00 0.00 5.50 0.19 0.00 -21
1.00 -8.00 0.00 5.50 0.13 0.00 1
0.00 -1.00 0.00 5.50 0.03 0.00 -3
-0.50 -4.00 0.00 5.50 0.03 0.00 -2
0.00 0.00 0.00 5.50 0.00 0.00 -3
0.00 0.00 0.00 6.50 0.50 0.50 -21
0.00 0.00 4.00 6.00 0.94 0.94 -11

11. 0.00 0.00 1.00 5.00 0.19 0.00 -15
0.00 0.00 0.00 5.00 0.88 0.00 -9
0.00 0.00 0.00 4.50 0.59 0.00 1
0.00 0.00 4.00 0.00 0.91 0.00 1
0.00 0.00 1.00 0.00 1.03 0.00 -8
0.00 -1.00 0.00 0.00 0.88 0.00 -17
0.00 -1.00 0.00 0.00 0.84 0.00 -23
0.00 -2.00 0.00 0.00 0.78 0.78 -20
0.00 0.00 1.00 0.00 0.69 0.69 -21
0.00 0.00 0.00 0.00 0.94 0.94 1
0.00 0.00 1.00 0.00 0.97 0.97 2
0.00 -1.00 0.00 0.00 0.94 0.94 -2
0.00 -1.00 0.00 0.00 0.81 0.81 -2
0.00 -1.00 0.00 0.00 0.59 0.00 -4
0.00 0.00 1.00 0.00 0.84 0.84 8
0.00 0.00 0.00 0.00 0.50 0.00 -3
0.00 0.00 2.00 0.00 0.38 0.00 6
0.00 0.00 2.00 0.00 0.38 0.00 0
1.00 0.00 1.00 0.00 0.44 0.00 1
0.00 0.00 0.00 0.00 0.44 0.00 -6
0.00 -17.00 0.00 0.00 0.56 0.56 0
0.00 -1.00 0.00 0.00 0.06 0.00 4
0.00 0.00 0.00 4.50 0.31 0.00 8
0.00 0.00 2.00 5.00 0.63 0.00 -11
0.00 0.00 0.00 5.00 0.63 0.63 -8
1.00 -1.00 0.00 4.50 0.44 0.00 -4
0.00 -2.00 0.00 4.50 0.69 0.00 -13
0.00 -1.00 0.00 0.00 0.69 0.00 -23
0.00 -1.00 0.00 0.00 0.13 0.00 -15
0.00 0.00 0.00 0.00 0.06 0.00 -11
0.00 0.00 1.00 5.00 0.13 0.13 -5
0.00 -1.00 0.00 5.00 0.44 0.44 -3
0.00 0.00 2.00 5.00 0.94 0.94 -3
0.00 0.00 0.00 5.00 0.63 0.63 -3
0.00 0.00 1.00 5.00 0.69 0.69 3
0.00 0.00 1.00 5.00 0.75 0.75 4
0.00 0.00 1.00 5.00 0.75 0.00 -22
0.00 0.00 1.00 5.00 0.69 0.00 -24
0.00 0.00 0.00 5.00 0.69 0.00 -3
0.00 -1.00 0.00 5.00 0.50 0.00 5
0.00 0.00 0.00 5.00 0.44 0.00 5
0.00 0.00 0.00 5.00 0.25 0.00 -22
0.00 -1.00 0.00 5.00 0.38 0.38 -22
-0.50 0.00 0.00 5.00 0.50 0.00 -20
0.00 0.00 0.00 5.00 0.94 0.00 -27
0.00 -1.00 0.00 5.00 0.69 0.00 -1
0.00 0.00 0.00 5.00 0.69 0.00 3
0.00 0.00 1.00 5.00 0.94 0.94 1

12. 0.00 0.00 0.00 4.50 0.81 0.00 -15
0.00 0.00 0.00 4.50 0.19 0.00 -13
0.00 0.00 0.00 4.50 0.19 0.00 1
0.00 0.00 1.00 4.50 0.19 0.00 2
0.00 0.00 0.00 4.50 0.19 0.00 -27
0.00 0.00 0.00 4.50 0.19 0.00 -27
0.00 -1.00 0.00 4.50 0.19 0.00 -22
0.00 0.00 2.00 4.50 0.19 0.00 -1
0.00 0.00 0.00 4.50 0.19 0.00 -8
0.00 0.00 0.00 4.50 0.50 0.50 -5
0.00 0.00 0.00 4.50 0.38 0.38 -5
0.00 0.00 0.00 4.50 0.41 0.41 -1
0.00 0.00 0.00 4.50 0.50 0.00 -8
0.00 0.00 4.00 4.50 0.56 0.00 -9
0.00 0.00 1.00 4.50 0.75 0.75 -7
0.00 0.00 1.00 4.50 0.56 0.00 -2
0.00 0.00 1.00 4.50 0.25 0.00 -7
0.00 -5.00 0.00 4.50 0.25 0.00 -9
0.00 -2.00 0.00 4.50 0.25 0.00 -7
0.00 -2.00 0.00 4.50 0.13 0.00 -5
0.00 -1.00 0.00 4.50 0.13 0.00 -1
0.00 -1.00 0.00 4.50 0.06 0.00 3
0.00 0.00 1.00 4.50 0.19 0.00 -24
0.00 0.00 0.00 5.50 0.25 0.00 5
0.00 0.00 1.00 5.50 0.19 0.19 -26
0.00 0.00 1.00 5.50 0.31 0.31 -21
0.00 0.00 0.00 5.50 0.38 0.00 -23
0.00 -1.00 0.00 5.50 0.25 0.25 -22
-0.50 -1.00 0.00 5.50 0.16 0.16 -24
0.00 0.00 0.00 5.50 0.06 0.06 0
0.00 -3.00 0.00 5.50 0.00 0.00 0
0.00 -1.00 0.00 6.50 0.38 0.38 -5
0.00 0.00 3.00 6.50 0.56 0.56 -5
-0.50 0.00 5.00 5.50 0.69 0.00 3
0.00 0.00 1.00 5.00 0.25 0.25 -19
0.00 0.00 0.00 5.00 1.13 1.13 -22
0.00 0.00 1.00 4.50 0.66 0.66 -22
0.00 0.00 0.00 0.00 1.31 1.31 -21
0.00 -2.00 0.00 0.00 1.00 0.00 -19
0.00 0.00 0.00 0.00 0.88 0.00 -16
0.00 0.00 0.00 0.00 0.75 0.00 0
0.00 0.00 1.00 0.00 0.63 0.00 -19
0.00 -1.00 0.00 0.00 0.75 0.75 -8
0.00 0.00 0.00 0.00 0.94 0.00 -22
0.00 0.00 1.00 0.00 0.91 0.00 -20
0.00 -1.00 0.00 0.00 0.94 0.00 -19
0.00 -3.00 0.00 0.00 0.81 0.00 -21
0.00 -3.00 0.00 0.00 0.63 0.63 -13

13. -0.50 -1.00 0.00 0.00 0.78 0.00 -9
0.00 0.00 1.00 0.00 0.44 0.00 -19
0.00 -1.00 0.00 0.00 0.41 0.41 5
0.00 0.00 1.00 0.00 0.41 0.41 2
0.00 0.00 3.00 0.00 0.72 0.72 5
0.00 0.00 2.00 0.00 0.41 0.00 -1
0.00 0.00 2.00 0.00 0.63 0.63 3
0.00 0.00 1.00 4.50 0.19 0.19 7
0.00 0.00 0.00 4.50 0.31 0.00 -23
0.00 0.00 2.00 5.00 0.50 0.00 -12
0.00 0.00 0.00 5.00 0.94 0.94 -13
0.00 0.00 0.00 4.50 0.69 0.69 -7
0.00 -2.00 0.00 4.50 0.81 0.81 -2
0.00 -1.00 0.00 0.00 0.50 0.00 6
0.00 0.00 0.00 0.00 0.13 0.00 6
0.00 0.00 0.00 5.00 0.50 0.50 4
0.00 0.00 0.00 5.00 0.19 0.19 0
0.00 0.00 1.00 5.00 0.50 0.50 -4
0.00 0.00 0.00 5.00 0.69 0.00 -16
0.00 0.00 0.00 5.00 0.63 0.00 -10
0.00 0.00 0.00 5.00 0.75 0.75 -6
0.00 0.00 0.00 5.00 0.75 0.00 -2
0.00 0.00 1.00 5.00 0.75 0.00 -6
0.00 0.00 0.00 5.00 0.75 0.75 0
0.00 0.00 1.00 5.00 0.50 0.00 -23
0.00 0.00 0.00 5.00 0.50 0.00 6
0.00 0.00 0.00 5.00 0.31 0.00 2
0.00 0.00 0.00 5.00 0.25 0.00 5
0.00 0.00 0.00 5.00 0.44 0.44 -22
0.00 0.00 0.00 5.00 0.75 0.75 -19
0.00 0.00 0.00 5.00 0.94 0.00 -20
0.00 0.00 0.00 5.00 0.63 0.00 6
0.00 0.00 1.00 5.00 0.69 0.00 -4
0.00 -3.00 0.00 4.50 0.81 0.00 -9
0.00 0.00 0.00 4.50 0.25 0.00 -11
0.00 0.00 0.00 4.50 0.19 0.00 -16
0.00 0.00 0.00 4.50 0.19 0.00 -24
0.00 -1.00 0.00 4.50 0.19 0.00 -1
0.00 0.00 0.00 4.50 0.19 0.00 1
0.00 0.00 0.00 4.50 0.19 0.00 4
0.00 0.00 0.00 4.50 0.19 0.00 -24
0.00 0.00 0.00 4.50 0.19 0.00 -13
0.00 0.00 0.00 4.50 0.22 0.22 -2
0.00 -1.00 0.00 4.50 0.38 0.00 0
0.00 0.00 0.00 4.50 0.31 0.00 4
0.00 0.00 2.00 4.50 0.50 0.50 -23
0.00 0.00 0.00 4.50 0.50 0.00 -25
0.00 0.00 3.00 4.50 0.50 0.00 -23

14. 0.00 0.00 1.00 4.50 0.75 0.00 -25
0.00 -1.00 0.00 4.50 0.44 0.00 -21
0.00 0.00 0.00 4.50 0.25 0.00 -17
0.00 -1.00 0.00 4.50 0.25 0.00 -19
0.00 0.00 1.00 4.50 0.19 0.00 -17
0.00 -1.00 0.00 4.50 0.13 0.00 -13
0.00 -1.00 0.00 4.50 0.19 0.19 -13
0.00 0.00 0.00 4.50 0.19 0.19 -22
0.00 0.00 0.00 4.50 0.19 0.00 -17
0.00 0.00 1.00 5.50 0.25 0.00 -19
0.00 0.00 0.00 5.50 0.19 0.00 -14
0.00 0.00 1.00 5.50 0.38 0.38 -11
0.00 -1.00 0.00 5.50 0.19 0.00 -11
0.00 0.00 0.00 5.50 0.19 0.00 -7
0.00 -1.00 0.00 5.50 0.19 0.19 -17
0.00 0.00 0.00 5.50 0.03 0.00 -25
0.00 0.00 2.00 5.50 0.00 0.00 2
0.00 0.00 0.00 6.50 0.25 0.00 -17
0.00 -1.00 0.00 6.00 0.19 0.00 -23
0.00 0.00 0.00 5.50 0.81 0.81 -19
0.00 -1.00 0.00 5.00 0.63 0.63 -23
0.00 0.00 0.00 5.00 1.06 0.00 -26
0.00 0.00 2.00 4.50 1.00 1.00 -23
0.00 0.00 3.00 0.00 1.31 0.00 6
0.00 -4.00 0.00 0.00 0.94 0.00 -23
0.00 0.00 1.00 0.00 0.84 0.00 -23
0.00 -1.00 0.00 0.00 0.56 0.00 2
0.00 0.00 0.00 0.00 0.66 0.66 -5
0.00 0.00 2.00 0.00 0.72 0.00 -10
0.00 0.00 1.00 0.00 0.94 0.00 0
0.00 0.00 0.00 0.00 0.91 0.00 -9
0.00 -2.00 0.00 0.00 0.94 0.00 -6
0.00 0.00 0.00 0.00 0.88 0.88 -17
0.00 -3.00 0.00 0.00 0.72 0.72 -10
0.00 0.00 1.00 0.00 0.56 0.00 -8
0.00 0.00 2.00 0.00 0.63 0.63 -13
0.00 0.00 1.00 0.00 0.44 0.44 -6
0.00 0.00 1.00 0.00 0.44 0.44 -21
0.00 0.00 6.00 0.00 0.44 0.00 1
End

15. Appendix B - Shazam Data Runs:
Welcome to SHAZAM - Version 10.0 - JAN 2009 SYSTEM=WIN-NT PAR= 22480 - 05/16/11
22:34:05
|_ols DBR DGFALL DGRISE BRHIGH RBRLR DBRLR DI / list rstat
REQUIRED MEMORY IS PAR= 47 CURRENT PAR= 22480
OLS ESTIMATION
324 OBSERVATIONS DEPENDENT VARIABLE= DBR
...NOTE..SAMPLE RANGE SET TO: 1, 324
R-SQUARE = 0.0407 R-SQUARE ADJUSTED = 0.0225
VARIANCE OF THE ESTIMATE-SIGMA**2 = 0.23451E-01
STANDARD ERROR OF THE ESTIMATE-SIGMA = 0.15314
SUM OF SQUARED ERRORS-SSE= 7.4340
MEAN OF DEPENDENT VARIABLE = -0.15432E-02
LOG OF THE LIKELIHOOD FUNCTION = 151.762
MODEL SELECTION TESTS - SEE JUDGE ET AL. (1985,P.242)
AKAIKE (1969) FINAL PREDICTION ERROR - FPE = 0.23958E-01
(FPE IS ALSO KNOWN AS AMEMIYA PREDICTION CRITERION - PC)
AKAIKE (1973) INFORMATION CRITERION - LOG AIC = -3.7315
SCHWARZ (1978) CRITERION - LOG SC = -3.6498
MODEL SELECTION TESTS - SEE RAMANATHAN (1998,P.165)
CRAVEN-WAHBA (1979)
GENERALIZED CROSS VALIDATION - GCV = 0.23969E-01
HANNAN AND QUINN (1979) CRITERION = 0.24752E-01
RICE (1984) CRITERION = 0.23981E-01
SHIBATA (1981) CRITERION = 0.23936E-01
SCHWARZ (1978) CRITERION - SC = 0.25997E-01
AKAIKE (1974) INFORMATION CRITERION - AIC = 0.23958E-01
ANALYSIS OF VARIANCE - FROM MEAN
SS DF MS F
REGRESSION 0.31521 6. 0.52535E-01 2.240
ERROR 7.4340 317. 0.23451E-01 P-VALUE
TOTAL 7.7492 323. 0.23991E-01 0.039
ANALYSIS OF VARIANCE - FROM ZERO
SS DF MS F
REGRESSION 0.31598 7. 0.45141E-01 1.925
ERROR 7.4340 317. 0.23451E-01 P-VALUE
TOTAL 7.7500 324. 0.23920E-01 0.065
VARIABLE ESTIMATED STANDARD T-RATIO PARTIAL STANDARDIZED ELASTICITY
NAME COEFFICIENT ERROR 317 DF P-VALUE CORR. COEFFICIENT AT MEANS
DGFALL -0.49415E-02 0.5575E-02 -0.8864 0.376-0.050 -0.0500 -1.7690
DGRISE -0.19011E-01 0.9989E-02 -1.903 0.058-0.106 -0.1065 6.0456
BRHIGH -0.65131E-02 0.4064E-02 -1.603 0.110-0.090 -0.0903 15.5467
RBRLR 0.39555 0.5218 0.7580 0.449 0.043 0.8069 -47.5653
DBRLR -0.42533 0.5233 -0.8128 0.417-0.046 -0.8656 50.8443
DI 0.16803E-02 0.8887E-03 1.891 0.060 0.106 0.1047 9.8431
CONSTANT 0.49298E-01 0.2090E-01 2.359 0.019 0.131 0.0000 -31.9454