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OTE/SPH
 OTE/SPH
                              Char Count= 0
                         3:8
          August 31, 2006
 JWBK119-23
                                                                             361
                                     Behavior of λ LS,t
      Table 23.1 Calculation of λ LS,t using a spreadsheet.
                                       100−t                 106−t
      t       Y t     y t      ηy t  η     y t+i  λ LS,t (T=100)  η     y t+i  λ LS,t (T=106)
                                       i=1                    i=1
        1    0.3434  0.0000   0.0000  −0.3669      0.2601    −1.2310     0.8598
        2    0.8053  0.4962  −0.0496  −0.3173      0.5781    −1.1814     1.1746
        3    0.6245  −0.1003  0.0100  −0.3273      0.1618    −1.1914     0.7658
        4    0.4441  −0.1179  0.0118  −0.3391      0.1580    −1.2032     0.7636
        5    0.7227  0.3230  −0.0323  −0.3068      0.4511    −1.1709     1.0538
        6    2.5025  1.8520  −0.1852  −0.1216      1.4170    −0.9857     2.0066
        7    1.8366  −0.4157  0.0416  −0.1632    −0.1818     −1.0273     0.4335
        8    3.4523  1.7994  −0.1799   0.0167      1.2865    −0.8473     1.8809
        9    2.0216  −1.0854  0.1085  −0.0918    −0.7190     −0.9559    −0.0923
       10    0.7554  −1.0640  0.1064  −0.1982    −0.6281     −1.0623    −0.0012
        .     .        .        .        .          .           .          .
        .     .        .        .        .          .           .          .
        .     .        .        .        .          .           .          .
       90    0.8240  −0.5045  0.0504   0.1827    −0.6552     −0.6814     0.1643
       91  −1.9793  −2.7209   0.2721  −0.0894    −2.5205     −0.9535    −1.6481
       92  −2.6344  −0.8530   0.0853  −0.1747    −0.6527     −1.0388     0.1740
       93  −3.9863  −1.6153   0.1615  −0.3363    −1.2365     −1.2004    −0.3903
       94  −1.2763   2.3113  −0.2311  −0.1051      2.3471    −0.9692     3.0998
       95  −0.8799   0.2688  −0.0269  −0.0783      0.3387    −0.9423     1.1495
       96  −0.9547  −0.1628   0.0163  −0.0945    −0.0670     −0.9586     0.7587
       97  −1.6546  −0.7953   0.0795  −0.1741    −0.6121     −1.0382     0.2326
       98  −1.4208   0.0683  −0.0068  −0.1672      0.2332    −1.0313     1.0581
       99  −0.0450   1.2337  −0.1234  −0.0439      1.2712    −0.9080     2.0704
      100    0.3982  0.4387  −0.0439                         −0.8641     1.2653
      101    2.9764  2.6181  −0.2618                         −0.6023     3.1428
      102    3.3955  0.7167  −0.0717                         −0.5306     1.2231
      103    4.1854  1.1294  −0.1129                         −0.4177     1.5244
      104    3.3373  −0.4295  0.0430                         −0.4606     0.0308
      105    4.9489  1.9453  −0.1945                         −0.2661     2.2004
      106    7.1148  2.6609  −0.2661


            Lambda (LS, t)
             3
             2

             1
             0
            −1
            −2
            −3
              0    10    20    30    40    50   60    70    80    90   100
                                         TIME (t)

               Figure 23.4  The behavior of λ LS,t for t = 1,..., T = 100 (no lvel shift).
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