The transmission from the interest rate policy of the State bank to the deposit and lending rates at Bank for Agriculture and Rural Development of Vietnam - 7


 

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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View more 66 trang: The transmission from the interest rate policy of the State bank to the deposit and lending rates at Bank for Agriculture and Rural Development of Vietnam

The transmission from the interest rate policy of the State bank to the deposit and lending rates at Bank for Agriculture and Rural Development of Vietnam - 7

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 )

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