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begin{table}[htb!]
caption{textbf{Estimates of the MS-TVTP model}}
label{table:mstvtp_estimation_results}
begin{threeparttable}
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begin{tabular}{lccc|ccccc}
multicolumn{7}{l}{Panel (A): Autoregressive matrix $boldsymbol{F}$, constants $boldsymbol{mu}_1$ and $boldsymbol{mu}_2$ and decay parameter $lambda$} \
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& thead[l]{$mathrm{Level}_{t-1}$} & thead[l]{$mathrm{Slope}_{t-1}$} &
thead[l]{$mathrm{Curvature}_{t-1}$} & $boldsymbol{mu}_1$ & $boldsymbol{mu}_2$ & $ lambda $ & $p_{11}$ & $p_{22}$ \
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$mathrm{Level}_{t}$ $(beta_{1,t})$ & $ bm{0.996} $ & & & 0.055 & & $ bm{0.039} $ & 0.928 & 0.922 \
& (0.003) & & & (0.038) & & (0.001)  \
$mathrm{Slope}_{t}$ $(beta_{2,t})$ & & & & $ bm{-1.412} $ &
$ bm{-4.936} $ \
& & & & (0.075) & (0.106) \
$mathrm{Curvature}_{t}$ $(beta_{3,t})$ & & & $ bm{0.979} $ & -0.088 & \
& & & (0.010) & (0.046) & \
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multicolumn{3}{l}{Panel (B): Time-varying transition probability matrix $P_t$} \
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&  thead[l]{$S_t = 1$} & thead[l]{$S_t = 2$} &  \
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$gamma_0$ & $ bm{7.000} $ & $ bm{-0.999} $ & & \
& (0.112)  & (0.460)        &                 & &       &        \
$gamma_1$ & $ bm{1.834} $ & $ bm{-0.626} $ & &       &        \
& (0.659)  & (0.277)        & &               &         &        \
$gamma_2$ & 0.420          & 0.369           & &       &        \
& (0.602)  & (0.514)        & &               &         &        \
$gamma_2$ & -0.292         & $ bm{2.000} $  & &       &        \
& (0.839)  & (0.597)        & &               &         &        \
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}
begin{tablenotes}[flushleft]footnotesizesmallskip
item Note: This table reports estimates of the MS-DNS model. Panel (A) presents estimates for the autoregressive coefficient matrix $boldsymbol{F}$, vector of means during periods of normal interest rates ($boldsymbol{mu}_1$) and in a low interest rate environment ($boldsymbol{mu}_2$), and decay parameter $lambda$. Panel (B) presents estimates of the covariance matrix $boldsymbol{Sigma}_{eta}$, and the transition probabilities $p_{11}$ and $p_{22}$. Bold entries denote parameter estimates significant at the 5 percent level. Standard errors appear in parentheses.par
end{tablenotes}
end{threeparttable}
end{table}

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