Critical Value Bounds | ||
Significance | I0 Bound | I1 Bound |
ten% | 3.02 | 3.51 |
5% | 3.62 | 4.16 |
2.5% | 4.18 | 4.79 |
first% | 4.94 | 5.58 |
TDH_TCK | ||
ARDL Bounds Test |
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Date: 03/29/16 Time: 21:57 Sample: 5 96
Included observations: 92
Null Hypothesis: No long-run relationships exist
Test Statistic | Value | k |
F-statistics | 26.61173 | first |
Critical Value Bounds | ||
Significance | I0 Bound | I1 Bound |
ten% | 3.02 | 3.51 |
5% | 3.62 | 4.16 |
2.5% | 4.18 | 4.79 |
first% | 4.94 | 5.58 |
APPENDIX 04: TESTING THE SUPPORT OF THE VARIABLES
1M_TCV
Dependent Variable: _1M Method: ARDL
Date: 03/29/16 Time: 22:36 Sample (adjusted): 5 96
Included observations: 92 after adjustments
Maximum dependent lags: 12 (Automatic selection) Model selection method: Akaike info criterion (AIC) Dynamic regressors (12 lags, automatic): TCV Fixed regressors: C
Number of models evalulated: 156 Selected Model: ARDL(4, 2)
Note: final equation sample is larger than selection sample
Variable | Coefficient | Std. Error | t-Statistics | Prob.* |
_1M(-1) | 1.135026 | 0.106557 | 10.65184 | 0.0000 |
_1M(-2) | -0.194532 | 0.163671 | -1.188552 | 0.2380 |
_1M(-3) | -0.123542 | 0.159949 | -0.772386 | 0.4421 |
_1M(-4) | 0.131430 | 0.094763 | 1.386938 | 0.1691 |
TCV | 0.463933 | 0.112370 | 4.128618 | 0.0001 |
TCV(-1) | -0.112039 | 0.157915 | -0.709488 | 0.4800 |
TCV(-2) | -0.346461 | 0.112452 | -3.080976 | 0.0028 |
OLD | 0.346080 | 0.276030 | 1.253778 | 0.2134 |
R-squared | 0.967650 | Mean dependent var | 8.978804 | |
Adjusted R-squared | 0.964954 | SD dependent var | 3.881412 | |
SE of regression | 0.726618 | Akaike info criterion | 2.282111 | |
Sum squared residence | 44.34984 | Schwarz criterion | 2.501397 | |
Log likelihood | -96.97709 | Hannan-Quinn criter. | 2.370616 | |
F-statistics | 358,9453 | Durbin-Watson stats | 2.139592 | |
Prob(F-statistics) | 0.000000 | |||
*Note: p-values and any subsequent tests do not account for model selection.
6M_TCV
Dependent Variable: _6M Method: ARDL
Date: 03/29/16 Time: 22:50 Sample (adjus ted): 2 96
Included obs ervations : 95 after adjus tments
Maximum dependent lags : 12 (Automatic s election) Model s election method: Akaike info criterion (AIC) Dynamic regexp s ors (12 lags , automatic): TCV Fixed regexp s ors : C
Number of models evalulated: 156 Selected Model: ARDL(1, 1)
Note: final equation s ample is larger than s election s ample
Variable | Coefficient | Std. Error t-Stats tic | Prob.* |
_6M(-1) | 0.938868 | 0.052329 17.94159 | 0.0000 |
TCV | 0.693945 | 0.101460 6.839625 | 0.0000 |
TCV(-1) | -0.682248 | 0.094074 -7.252245 | 0.0000 |
OLD | 0.479848 | 0.265253 1.809024 | 0.0737 |
Rs quared | 0.948086 | Mean dependent var | 9.696737 |
Adjus ted Rs quared | 0.946374 | SD dependent var | 3.301801 |
SE of regex s ion | 0.764606 | Akaike info criterion | 2.342282 |
Sum s quared res id | 53.20068 | Schwarz criterion | 2.449813 |
Log likelihood | -107.2584 | Hannan-Quinn criter. | 2.385733 |
Fs tatis tic | 553.9623 | Durbin-Wats on the clock | 1.608167 |
Prob(Fs tatis tic) | 0.000000 |
Variable | Coefficient | Std. Error t-Statistics | Prob.* |
_12M(-1) | 0.843659 | 0.052469 16.07917 | 0.0000 |
TCV | 0.479081 | 0.086092 5.564759 | 0.0000 |
TCV(-1) | 0.129880 | 0.132634 0.979237 | 0.3302 |
TCV(-2) | -0.488779 | 0.136069 -3.592134 | 0.0005 |
TCV(-3) | -0.080654 | 0.131803 -0.611928 | 0.5422 |
TCV(-4) | 0.056498 | 0.084450 0.669014 | 0.5053 |
OLD | 0.628499 | 0.254718 2.467428 | 0.0156 |
R-squared | 0.963452 | Mean dependent var | 10.02707 |
Adjusted R-squared | 0.960873 | SD dependent var | 3.071818 |
SE of regression | 0.607626 | Akaike info criterion | 1.914523 |
Sum squared residence | 31.38281 | Schwarz criterion | 2.106398 |
Log likelihood | -81.06804 | Hannan-Quinn criter. | 1.991965 |
F-statistics | 373.4552 | Durbin-Watson stats | 1.812416 |
Prob(F-statistics) | 0.000000 | ||
18M_TCV |
Dependent Variable: _18M Method: ARDL
Date: 03/29/16 Time: 22:52 Sample (adjusted): 3 96
Included observations: 94 after adjustments
Maximum dependent lags: 12 (Automatic selection) Model selection method: Akaike info criterion (AIC) Dynamic regressors (12 lags, automatic): TCV Fixed regressors: C
Number of models evalulated: 156 Selected Model: ARDL(1, 2)
Note: final equation sample is larger than selection sample
Variable | Coefficient | Std. Error t-Statistics | Prob.* |
_18M(-1) | 0.887159 | 0.052324 16.95497 | 0.0000 |
TCV | 0.446020 | 0.089894 4.961628 | 0.0000 |
TCV(-1) | -0.149811 | 0.140588 -1.065602 | 0.2895 |
TCV(-2) | -0.266015 | 0.086657 -3.069762 | 0.0028 |
OLD | 0.799598 | 0.288990 2.766869 | 0.0069 |
R-squared | 0.933686 | Mean dependent var | 9.760638 |
Adjusted R-squared | 0.930706 | SD dependent var | 2.467255 |
SE of regression | 0.649474 | Akaike info criterion | 2.026418 |
Sum squared residence | 37.54171 | Schwarz criterion | 2.161700 |
Log likelihood | -90.24164 | Hannan-Quinn criter. | 2.081062 |
F-statistics | 313.2765 | Durbin-Watson stats | 1.787637 |
Prob(F-statistics) | 0.000000 |
Variable | Coefficient | Std. Error t-Statistics | Prob.* |
_24M(-1) | 0.880940 | 0.053380 16.50324 | 0.0000 |
TCV | 0.445094 | 0.088425 5.033566 | 0.0000 |
TCV(-1) | -0.150931 | 0.137813 -1.095189 | 0.2764 |
TCV(-2) | -0.261794 | 0.084981 -3.080610 | 0.0027 |
OLD | 0.845346 | 0.290602 2.908944 | 0.0046 |
R-squared | 0.933691 | Mean dependent var | 9,777447 |
Adjusted R-squared | 0.930711 | SD dependent var | 2.417157 |
SE of regression | 0.636266 | Akaike info criterion | 1.985323 |
Sum squared residence | 36.03021 | Schwarz criterion | 2.120605 |
Log likelihood | -88.31018 | Hannan-Quinn criter. | 2.039967 |
F-statistics | 313.2989 | Durbin-Watson stats | 1.783144 |
Prob(F-statistics) | 0.000000 |
NH_TCV
Dependent Variable: NH Method: ARDL
Date: 03/29/16 Time: 22:56 Sample (adjusted): 7 96
Included observations: 90 after adjustments
Maximum dependent lags: 12 (Automatic selection) Model selection method: Akaike info criterion (AIC) Dynamic regressors (12 lags, automatic): TCV Fixed regressors: C
Number of models evalulated: 156 Selected Model: ARDL(2, 6)
Note: final equation sample is larger than selection sample
Variable | Coefficient | Std. Error | t-Statistics | Prob.* |
NH(-1) | 1.081561 | 0.110173 | 9.816912 | 0.0000 |
NH(-2) | -0.204363 | 0.115941 | -1.762646 | 0.0818 |
TCV | 0.505428 | 0.111177 | 4.546151 | 0.0000 |
TCV(-1) | 0.022739 | 0.166537 | 0.136541 | 0.8917 |
TCV(-2) | -0.462235 | 0.154122 | -2.999158 | 0.0036 |
TCV(-3) | -0.024932 | 0.128104 | -0.194620 | 0.8462 |
TCV(-4) | -0.109462 | 0.117272 | -0.933401 | 0.3534 |
TCV(-5) | 0.243417 | 0.116044 | 2.097628 | 0.0391 |
TCV(-6) | -0.087353 | 0.075551 | -1.156211 | 0.2510 |
OLD | 0.744165 | 0.308893 | 2.409136 | 0.0183 |
R-squared | 0.977416 | Mean dependent var | 12.75750 | |
Adjusted R-squared | 0.974876 | SD dependent var | 3.327661 | |
SE of regression | 0.527457 | Akaike info criterion | 1.662942 | |
Sum squared residence | 22.25691 | Schwarz criterion | 1.940699 | |
Log likelihood | -64.83240 | Hannan-Quinn criter. | 1.774950 | |
F-statistics | 384.7072 | Durbin-Watson stats | 1.962815 | |
Prob(F-statistics) | 0.000000 | |||
Dependent Variable: TDH Method: ARDL
Date: 03/29/16 Time: 22:56 Sample (adjus ted): 5 96
Included obs ervations : 92 after adjus tments
Maximum dependent lags : 12 (Automatic s election) Model s election method: Akaike info criterion (AIC) Dynamic regexp s ors (12 lags , automatic): TCV Fixed regexp s ors : C
Number of models evalulated: 156 Selected Model: ARDL(2, 4)
Note: final equation s ample is larger than s election s ample
Variable | Coefficient | Std. Error t-Stats tic | Prob.* |
TDH(-1) | 1.070561 | 0.098958 10.81830 | 0.0000 |
TDH(-2) | -0.203586 | 0.093559 -2.176016 | 0.0324 |
TCV | 0.470750 | 0.092659 5.080434 | 0.0000 |
TCV(-1) | -0.023733 | 0.139504 -0.170122 | 0.8653 |
TCV(-2) | -0.334572 | 0.126682 -2.641048 | 0.0099 |
TCV(-3) | -0.103474 | 0.128607 -0.804577 | 0.4233 |
TCV(-4) | 0.073649 | 0.079463 0.926840 | 0.3567 |
OLD | 1.074574 | 0.347484 3.092445 | 0.0027 |
Rs quared | 0.971524 | Mean dependent var | 13.98250 |
Adjus ted Rs quared | 0.969151 | SD dependent var | 3.227820 |
SE of regex s ion | 0.566933 | Akaike info criterion | 1.785791 |
Sum s quared res id | 26,99872 | Schwarz criterion | 2,005077 |
Log likelihood | -74.14639 | Hannan-Quinn criter. | 1.874297 |
Fs tatis tic | 409.4033 | Durbin-Wats on the clock | 2.101141 |
Prob(Fs tatis tic) | 0.000000 | ||
1M_TCK | |||
Dependent Variable: _1M Method: ARDL |
Date: 03/29/16 Time: 23:05 Sample (adjusted): 5 96
Included observations: 92 after adjustments
Maximum dependent lags: 12 (Automatic selection) Model selection method: Akaike info criterion (AIC) Dynamic regressors (12 lags, automatic): TCK Fixed regressors: C
Number of models evalulated: 156 Selected Model: ARDL(4, 2)
Note: final equation sample is larger than selection sample
Variable | Coefficient | Std. Error | t-Statistics | Prob.* |
_1M(-1) | 1.174603 | 0.109222 | 10.75432 | 0.0000 |
_1M(-2) | -0.167957 | 0.172518 | -0.973562 | 0.3331 |
_1M(-3) | -0.207766 | 0.174682 | -1.189395 | 0.2376 |
_1M(-4) | 0.143529 | 0.103408 | 1.387984 | 0.1688 |
TCK | 0.406666 | 0.109785 | 3.704202 | 0.0004 |
TCK(-1) | -0.128015 | 0.146480 | -0.873942 | 0.3846 |
TCK(-2) | -0.262694 | .102521 | -2.562351 | 0.0122 |
OLD | 0.344017 | 0.224754 | 1.530638 | 0.1296 |
R-squared | 0.965111 | Mean dependent var | 8.978804 | |
Adjusted R-squared | 0.962204 | SD dependent var | 3.881412 | |
SE of regression | 0.754596 | Akaike info criterion | 2.357674 | |
Sum squared residence | 47.83091 | Schwarz criterion | 2.576959 | |
Log likelihood | -100.4530 | Hannan-Quinn criter. | 2.446179 | |
F-statistics | 331.9485 | Durbin-Watson stats | 2.103649 | |
Prob(F-statistics) | 0.000000 | |||
Dependent Variable: _6M Method: ARDL
Date: 03/29/16 Time: 23:06 Sample (adjusted): 2 96
Included observations: 95 after adjustments
Maximum dependent lags: 12 (Automatic selection) Model selection method: Akaike info criterion (AIC) Dynamic regressors (12 lags, automatic): TCK Fixed regressors: C
Number of models evalulated: 156 Selected Model: ARDL(1, 1)
Note: final equation sample is larger than selection sample
Variable | Coefficient | Std. Error t-Statistics | Prob.* |
_6M(-1) | 0.946585 | 0.055769 16.97340 | 0.0000 |
TCK | 0.551751 | 0.10243 5.504122 | 0.0000 |
TCK(-1) | -0.545272 | 0.092815 -5.874851 | 0.0000 |
OLD | 0.458118 | 0.265322 1.726652 | 0.0876 |
R-squared | 0.940474 | Mean dependent var | 9.696737 |
Adjusted R-squared | 0.938511 | SD dependent var | 3.301801 |
SE of regression | 0.818744 | Akaike info criterion | 2.479103 |
Sum squared residence | 61.00115 | Schwarz criterion | 2.586635 |
Log likelihood | -113.7574 | Hannan-Quinn criter. | 2.522554 |
F-statistics | 479.2459 | Durbin-Watson stats | 1.701805 |
Prob(F-statistics) | 0.000000 | ||
12M_TCK |
Dependent Variable: _12M Method: ARDL
Date: 03/29/16 Time: 23:06 Sample (adjusted): 2 96
Included observations: 95 after adjustments
Maximum dependent lags: 12 (Automatic selection) Model selection method: Akaike info criterion (AIC) Dynamic regressors (12 lags, automatic): TCK Fixed regressors: C
Number of models evalulated: 156 Selected Model: ARDL(1, 1)
Note: final equation sample is larger than selection sample
Variable | Coefficient | Std. Error t-Statistics | Prob.* |
_12M(-1) | 0.895576 | 0.058916 15.20077 | 0.0000 |
TCK | 0.657086 | 0.090742 7.241257 | 0.0000 |
TCK(-1) | -0.591748 | 0.089132 -6.638978 | 0.0000 |
OLD | 0.570306 | 0.289565 1.969528 | 0.0519 |
R-squared | 0.938734 | Mean dependent var | 10.06916 |
Adjusted R-squared | 0.936714 | SD dependent var | 3.041630 |
SE of regression | 0.765171 | Akaike info criterion | 2.343759 |
Sum squared residence | 53.27933 | Schwarz criterion | 2.451291 |
Log likelihood | -107.3286 | Hannan-Quinn criter. | 2.387210 |
F-statistics | 464.7771 | Durbin-Watson stats | 1.864117 |
Prob(F-statistics) | 0.000000 |
Variable | Coefficient | Std. Error t-Statistics | Prob.* |
_18M(-1) | 0.900228 | 0.057006 15.79189 | 0.0000 |
TCK | 0.477074 | 0.087115 5.476363 | 0.0000 |
TCK(-1) | -0.444311 | 0.082469 -5.387585 | 0.0000 |
OLD | 0.730107 | 0.335630 2.175331 | 0.0322 |
R-squared | 0.913982 | Mean dependent var | 9.762737 |
Adjusted R-squared | 0.911146 | SD dependent var | 2.454181 |
SE of regression | 0.731552 | Akaike info criterion | 2.253897 |
Sum squared residence | 48.70034 | Schwarz criterion | 2.361428 |
Log likelihood | -103.0601 | Hannan-Quinn criter. | 2.297347 |
F-statistics | 322.3048 | Durbin-Watson stats | 1.626205 |
Prob(F-statistics) | 0.000000 | ||
24M_TCK |
Dependent Variable: _24M Method: ARDL
Date: 03/29/16 Time: 23:08 Sample (adjusted): 2 96
Included observations: 95 after adjustments
Maximum dependent lags: 12 (Automatic selection) Model selection method: Akaike info criterion (AIC) Dynamic regressors (12 lags, automatic): TCK Fixed regressors: C
Number of models evalulated: 156 Selected Model: ARDL(1, 1)
Note: final equation sample is larger than selection sample
Variable | Coefficient | Std. Error t-Statistics | Prob.* |
_24M(-1) | 0.895451 | 0.058120 15.40696 | 0.0000 |
TCK | 0.474035 | 0.0861010 5.511427 | 0.0000 |
TCK(-1) | -0.440279 | 0.080956 -5.438469 | 0.0000 |
OLD | 0.774233 | 0.341194 2.269188 | 0.0256 |
R-squared | 0.913563 | Mean dependent var | 9.779368 |
Adjusted R-squared | 0.910713 | SD dependent var | 2.404338 |
SE of regression | 0.718438 | Akaike info criterion | 2.217718 |
Sum squared residence | 46,96991 | Schwarz criterion | 2.325249 |
Log likelihood | -101.3416 | Hannan-Quinn criter. | 2.261169 |
F-statistics | 320.5958 | Durbin-Watson stats | 1.620523 |
Prob(F-statistics) | 0.000000 |
Variable | Coefficient | Std. Error t-Statistics | Prob.* |
NH(-1) | 0.716277 | 0.091125 7.860416 | 0.0000 |
NH(-2) | -0.016746 | 0.116244 -0.144063 | 0.8858 |
NH(-3) | 0.074972 | 0.085935 0.872425 | 0.3854 |
TCK | 0.597473 | 0.096127 6.215467 | 0.0000 |
TCK(-1) | 0.012761 | 0.142530 0.089529 | 0.9289 |
TCK(-2) | -0.281405 | 0.133886 -2.101832 | 0.0385 |
TCK(-3) | -0.151397 | 0.105080 -1.440772 | 0.1533 |
OLD | 1.561821 | 0.415941 3.754907 | 0.0003 |
R-squared | 0.966183 | Mean dependent var | 12.92661 |
Adjusted R-squared | 0.963398 | SD dependent var | 3.431501 |
SE of regression | 0.656506 | Akaike info criterion | 2.078324 |
Sum squared residence | 36.63496 | Schwarz criterion | 2.296182 |
Log likelihood | -88.64205 | Hannan-Quinn criter. | 2.166288 |
F-statistics | 346.9288 | Durbin-Watson stats | 1.360357 |
Prob(F-statistics) | 0.000000 | ||
TDH_TCK | |||
Dependent Variable: TDH Method: ARDL |
Date: 03/29/16 Time: 23:09 Sample (adjus ted): 4 96
Included obs ervations : 93 after adjus tments
Maximum dependent lags : 12 (Automatic s election) Model s election method: Akaike info criterion (AIC) Dynamic regexp s ors (12 lags , automatic): TCK Fixed regexs s ors : C
Number of models evalulated: 156 Selected Model: ARDL(2, 3)
Note: final equation s ample is larger than s election s ample
Variable | Coefficient | Std. Error | t-Stats tic | Prob.* |
TDH(-1) | 0.840246 | 0.093914 | 8.946975 | 0.0000 |
TDH(-2) | -0.076817 | 0.10782 | -0.762211 | 0.4480 |
TCK | 0.450366 | 0.091735 | 4.909440 | 0.0000 |
TCK(-1) | 0.146472 | 0.129788 | 1.128546 | 0.2622 |
TCK(-2) | -0.356550 | 0.112263 | -2.940314 | 0.0042 |
TCK(-3) | -0.061953 | 0.094176 | -0.657848 | 0.5124 |
OLD | 1.969972 | 0.405385 | 4.859511 | 0.0000 |
Rs quared | 0.962317 | Mean dependent var | 14.0180 | |
Adjus ted Rs quared | 0.959688 | SD dependent var | 3.223496 | |
SE of regex s ion | 0.647208 | Akaike info criterion | 2.039988 | |
Sum s quared res id | 36.02356 | Schwarz criterion | 2.230614 | |
Log likelihood | -87.85946 | Hannan-Quinn criter. | 2.116958 | |
Fs tatis tic | 366.0336 | Durbin-Wats on the clock | 1.430708 | |
Prob(Fs tatis tic) | 0.000000 | |||
APPENDIX 05: CONTRACT RESULTS IN THE LONG TERM
1M_TCV
Long Run Coefficients
Variable | Coefficient | Std. Error | t-Statistics | Prob. |
TCV | 0.105263 | 1.123808 | 0.093666 | 0.9256 |
OLD | 6.704726 | 9.269560 | 0.723306 | 0.4715 |
6M_TCV | |||
Long Run Coefficients | |||
Variable | Coefficient Std. Error | t-Statistics | Prob. |
TCV | 0.191340 0.840287 | 0.227708 | 0.8204 |
OLD | 7.849345 7.706811 | 1.018495 | 0.3111 |
12M_TCV
Long Run Coefficients
Variable | Coefficient | Std. Error | t-Statistics | Prob. |
TCV | 0.614213 | 0.180551 | 3.401876 | 0.0010 |
OLD | 4.020045 | 1.642994 | 2.446780 | 0.0165 |
18M_TCV | |||
Long Run Coefficients | |||
Variable | Coefficient Std. Error | t-Statistics | Prob. |
TCV | 0.267576 0.295669 | 0.904985 | 0.3679 |
OLD | 7.086072 2.692332 | 2.631945 | 0.0100 |
24M_TCV
Long Run Coefficients
Variable | Coefficient | Std. Error | t-Statistics | Prob. |
TCV | 0.271872 | 0.275805 | 0.985739 | 0.3269 |
OLD | 7.100192 | 2.519405 | 2.818201 | 0.0060 |
Variable | Coefficient | Std. Error | t-Statistics | Prob. |
TCV | 0.713358 | 0.258661 | 2.757887 | 0.0072 |
OLD | 6.059873 | 2.275768 | 2.662782 | 0.0094 |
TDH_TCV
Long Run Coefficients
Variable | Coefficient | Std. Error | t-Statistics | Prob. |
TCV | 0.621086 | 0.237403 | 2.616165 | 0.0105 |
OLD | 8.077987 | 2.140735 | 3.773464 | 0.0003 |
1M_TCK
Long Run Coefficients
Variable | Coefficient | Std. Error | t-Statistics | Prob. |
TCK | 0.277080 | 0.879778 | 0.314943 | 0.7536 |
OLD | 5.973510 | 5.723610 | 1.043661 | 0.2996 |
6M_TCK
Long Run Coefficients
Variable | Coefficient | Std. Error | t-Statistics | Prob. |
TCK | 0.121308 | 1.068562 | 0.113524 | 0.9099 |
OLD | 8.576550 | 7.594246 | 1.129348 | 0.2617 |
12M_TCK | ||||
Long Run Coefficients | ||||
Variable | Coefficient | Std. Error | t-Statistics | Prob. |
TCK | 0.625698 | 0.313193 | 1.997803 | 0.0487 |
OLD | 5.461429 | 2.330477 | 2.343481 | 0.0213 |
18M_TCK
Long Run Coefficients
Variable | Coefficient | Std. Error | t-Statistics | Prob. |
TCK | 0.328380 | 0.337852 | 0.971966 | 0.3336 |
OLD | 7.317760 | 2.503647 | 2.922840 | 0.0044 |
Variable | Coefficient | Std. Error | t-Statistics | Prob. |
TCK | 0.322879 | 0.320571 | 1.007198 | 0.3165 |
OLD | 7.405437 | 2.383291 | 3.107232 | 0.0025 |
NH_TCK
Long Run Coefficients
Variable | Coefficient | Std. Error | t-Statistics | Prob. |
TCK | 0.786850 | 0.164644 | 4.779095 | 0.0000 |
OLD | 6.926134 | 1.113247 | 6.221562 | 0.0000 |
TDH_TCK
Long Run Coefficients
Variable | Coefficient | Std. Error | t-Statistics | Prob. |
TCK | 0.753829 | 0.125242 | 6.018962 | 0.0000 |
OLD | 8.327194 | 0.901090 | 9.241242 | 0.0000 |
APPENDIX 06: SHORT-TERM TRANSFER
1M_TCV
AR DL Cointegrating And Long Run Form Dependent Variable: _1M
Selected Model: ARDL(4, 2) Date: 03/29/16 Time: 23:19 Sample: 1 96
Included observations: 92
Cointegrating Form
Variable | Coefficient | Std. Error | t-Statistics | Prob. |
D(_1M(-1)) | 0.186643 | 0.110542 | 1.838083 | 0.0696 |
D(_1M(-2)) | -0.007888 | 0.099641 | -0.079167 | 0.9371 |
D(_1M(-3)) | -0.131430 | 0.092410 | -1.422254 | 0.1587 |
D(TCV) | 0.463933 | 0.106413 | 4.359720 | 0.0000 |
D(TCV(-1)) | 0.346461 | 0.107130 | 3.234012 | 0.0017 |
CointEq(-1) | -0.051617 | 0.021033 | -2.454080 | 0.0162 |
Cointeq = _1M - (0.1053*TCV + 6.7047 )
6M_TCV
ARDL Cointegrating And Long Run Form Dependent Variable: _6M
Selected Model: ARDL(1, 1) Date: 03/29/16 Time: 23:21 Sample: 1 96
Included observations: 95
Cointegrating Form
Variable | Coefficient | Std. Error | t-Statistics | Prob. |
D(TCV) | 0.693945 | 0.091686 | 7.568687 | 0.0000 |
CointEq(-1) | -0.061132 | 0.027810 | -2.198209 | 0.0305 |
Cointeq = _6M - (0.1913*TCV + 7.8493 )
12M_TCV
ARDL Cointegrating And Long Run Form Dependent Variable: _12M
Selected Model: ARDL(1, 4) Date: 03/29/16 Time: 23:23 Sample: 1 96
Included observations: 92
Cointegrating Form
Variable | Coefficient | Std. Error | t-Statistics | Prob. |
D(TCV) | 0.479081 | 0.078792 | 6.080289 | 0.0000 |
D(TCV(-1)) | 0.512934 | 0.082007 | 6.254770 | 0.0000 |
D(TCV(-2)) | 0.024155 | 0.085287 | 0.283225 | 0.7777 |
D(TCV(-3)) | -0.056498 | 0.082418 | -0.685511 | 0.4949 |
CointEq(-1) | -0.156341 | 0.042577 | -3.671947 | 0.0004 |
Cointeq = _12M - (0.6142*TCV + 4.0200 )
Dependent Variable: _18M Selected Model: ARDL(1, 2) Date: 03/29/16 Time: 23:24 Sample: 1 96
Included observations: 94
Cointegrating Form
Variable | Coefficient | Std. Error | t-Statistics | Prob. |
D(TCV) | 0.446020 | 0.083198 | 5.360931 | 0.0000 |
D(TCV(-1)) | 0.266015 | 0.085302 | 3.118509 | 0.0024 |
CointEq(-1) | -0.112841 | 0.037007 | -3.049195 | 0.0030 |
Cointeq = _18M - (0.2676*TCV + 7.0861 )
24M_TCV
ARDL Cointegrating And Long Run Form Dependent Variable: _24M
Selected Model: ARDL(1, 2) Date: 03/29/16 Time: 23:25 Sample: 1 96
Included observations: 94
Cointegrating Form
Variable | Coefficient | Std. Error | t-Statistics | Prob. |
D(TCV) | 0.445094 | 0.081564 | 5.457009 | 0.0000 |
D(TCV(-1)) | 0.261794 | 0.083715 | 3.127193 | 0.0024 |
CointEq(-1) | -0.119060 | 0.037671 | -3.160497 | 0.0022 |
Cointeq = _24M - (0.2719*TCV + 7.1002 )
NH_TCV
ARDL Cointegrating And Long Run Form Dependent Variable: SMALL
Selected Model: ARDL(2, 6) Date: 03/29/16 Time: 23:26 Sample: 1 96
Included observations: 90
Cointegrating Form
Variable | Coefficient | Std. Error | t-Statistics | Prob. |
D(NH(-1)) | 0.204363 | 0.105472 | 1.937609 | 0.0562 |
D(TCV) | 0.505428 | 0.099553 | 5.076997 | 0.0000 |
D(TCV(-1)) | 0.440565 | 0.113251 | 3.890176 | 0.0002 |
D(TCV(-2)) | -0.021670 | 0.090998 | -0.238139 | 0.8124 |
D(TCV(-3)) | -0.046602 | 0.075960 | -0.613503 | 0.5413 |
D(TCV(-4)) | -0.156064 | 0.075790 | -2.059149 | 0.0427 |
D(TCV(-5)) | 0.087353 | 0.074006 | 1.180357 | 0.2414 |
CointEq(-1) | -0.122802 | 0.044981 | -2.730092 | 0.0078 |
Cointeq = NH - (0.7134*TCV + 6.0599 )
Dependent Variable: TDH Selected Model: ARDL(2, 4) Date: 03/29/16 Time: 23:27 Sample: 1 96
Included observations: 92
Cointegrating Form
Variable | Coefficient | Std. Error | t-Statistics | Prob. |
D(TDH(-1)) | 0.203586 | 0.085047 | 2.393798 | 0.0189 |
D(TCV) | 0.470750 | 0.076772 | 6.131797 | 0.0000 |
D(TCV(-1)) | 0.364397 | 0.085180 | 4.277989 | 0.0000 |
D(TCV(-2)) | 0.029825 | 0.088759 | 0.336018 | 0.7377 |
D(TCV(-3)) | -0.073649 | 0.078150 | -0.942414 | 0.3487 |
CointEq(-1) | -0.133025 | 0.039995 | -3.326036 | 0.0013 |
Cointeq = TDH - (0.6211*TCV + 8.0780)
1M_TCK
ARDL Cointegrating And Long Run Form Dependent Variable: _1M
Selected Model: ARDL(4, 2) Date: 03/29/16 Time: 23:30 Sample: 1 96
Included observations: 92
Cointegrating Form
Variable | Coefficient | Std. Error | t-Statistics | Prob. |
D(_1M(-1)) | 0.232194 | 0.104042 | 2.231741 | 0.0283 |
D(_1M(-2)) | 0.064237 | 0.104234 | 0.616280 | 0.5394 |
D(_1M(-3)) | -0.143529 | 0.101472 | -1.414466 | 0.1609 |
D(TCK) | 0.406666 | 0.104252 | 3.900801 | 0.0002 |
D(TCK(-1)) | 0.262694 | 0.097377 | 2.697700 | 0.0084 |
CointEq(-1) | -0.057590 | 0.025415 | -2.266016 | 0.0260 |
Cointeq = _1M - (0.2771*TCK + 5.9735 )
6M_TCK
AR DL Cointegrating And Long Run Form Dependent Variable: _6M
Selected Model: ARDL(1, 1) Date: 03/29/16 Time: 23:30 Sample: 1 96
Included observations: 95
Cointegrating Form
Variable | Coefficient | Std. Error | t-Statistics | Prob. |
D(TCK) | 0.551751 | 0.089808 | 6.143710 | 0.0000 |
CointEq(-1) | -0.053415 | 0.028000 | -1.907680 | 0.0596 |
Cointeq = _6M - (0.1213*TCK + 8.5765)
Dependent Variable: _12M Selected Model: ARDL(1, 1) Date: 03/29/16 Time: 23:31 Sample: 1 96
Included observations: 95
Cointegrating Form
Variable | Coefficient | Std. Error | t-Statistics | Prob. |
D(TCK) | 0.657086 | 0.085348 | 7.698878 | 0.0000 |
CointEq(-1) | -0.104424 | 0.048273 | -2.163215 | 0.0331 |
Cointeq = _12M - (0.6257*TCK + 5.4614 )
18M_TCK
ARDL Cointegrating And Long Run Form Dependent Variable: _18M
Selected Model: ARDL(1, 1) Date: 03/29/16 Time: 23:32 Sample: 1 96
Included observations: 95
Cointegrating Form
Variable | Coefficient | Std. Error | t-Statistics | Prob. |
D(TCK) | 0.477074 | 0.081234 | 5.872849 | 0.0000 |
CointEq(-1) | -0.099772 | 0.043402 | -2.298787 | 0.0238 |
Cointeq = _18M - (0.3284*TCK + 7.3178 )
24M_TCK
ARDL Cointegrating And Long Run Form Dependent Variable: _24M
Selected Model: ARDL(1, 1) Date: 03/29/16 Time: 23:33 Sample: 1 96
Included observations: 95
Cointegrating Form
Variable | Coefficient | Std. Error | t-Statistics | Prob. |
D(TCK) | 0.474035 | 0.079883 | 5.934097 | 0.0000 |
CointEq(-1) | -0.104549 | 0.043748 | -2.389824 | 0.0189 |
Cointeq = _24M - (0.3229*TCK + 7.4054 )