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 )