GENERAL UNRESTRICTED MODEL
EQUATION FOR THE SPREAD BETWEEN INTEREST RATES ON BANK OVERDRAFT AND
MONETARY POLICY RATE (INTEREST RATE ON LOANS BY THE BANK OF ITALY)
The data employed for the estimates cover the period 1990 QI - 1998 QIV
++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
D.P.D. RESULTS
Instruments used are:
CONST ta_d(-2) ta_d(-3) ta_d(-4)
so_u(-4) so_u(-5) isco(-1) tdif(-1)
c3 c4 a1 a3
ta_d(-5) so_u(-1) so_u(-2) so_u(-3)
tdif(-2) tdif(-3) tdif(-4) tdif(-5)
a4 a5 a6 IND DUMS
LEVELS IV
|
Number of firms: |
54 |
Sample period is 1991 QII to 1998 QI |
|
Observations: |
1512 |
Degrees of freedom: 1487 |
|
Dependent variable |
is: |
ta_d |
ONE-STEP ESTIMATES WITH ROBUST TEST STATISTICS
|
Wald |
test |
of joint |
significance: |
505.422951 |
df = |
22 |
|
Wald |
test |
- jt sig |
of ind dums: |
0.341599 |
df = |
2 |
|
Wald |
test selected by user: |
10.299139 |
df = |
10 | ||
Testing:ta_d(-2) ta_d(-3) ta_d(-4) so_u(-2) so_u(-3) so_u(-4) isco
tdif tdif(-1) tdif(-2)
|
Var |
Coef |
Std. Error |
T-Stat |
P-Value |
|
CONST |
0.918082 |
5.373138 |
0.170865 |
0.864330 |
|
ta_d(-1) |
3.237775 |
3.886986 |
0.832978 |
0.404857 |
|
ta_d(-2) |
-0.970432 |
1.540478 |
-0.629955 |
0.528724 |
|
ta_d(-3) |
-0.157001 |
0.433125 |
-0.362485 |
0.716989 |
|
ta_d(-4) |
-0.396844 |
0.909495 |
-0.436335 |
0.662594 |
|
so_u |
5.501375 |
3.635302 |
1.513320 |
0.130198 |
|
so_u(-1) |
-3.951405 |
3.237292 |
-1.220590 |
0.222241 |
|
so_u(-2) |
-1.606319 |
3.287958 |
-0.488546 |
0.625163 |
|
so_u(-3) |
1.047737 |
2.816219 |
0.372037 |
0.709866 |
|
so_u(-4) |
-3.611479 |
3.118469 |
-1.158093 |
0.246826 |
|
isco |
0.046276 |
0.125520 |
0.368677 |
0.712369 |
|
tdif |
-2.573195 |
3.468352 |
-0.741907 |
0.458144 |
|
tdif(-1) |
0.662969 |
2.671158 |
0.248196 |
0.803983 |
|
tdif(-2) |
0.474065 |
0.452225 |
1.048293 |
0.294504 |
|
tdif(-3) |
0.283370 |
0.289738 |
0.978022 |
0.328063 |
|
tdif(-4) |
0.339537 |
0.287402 |
1.181402 |
0.237443 |
|
c3 |
-3.979281 |
2.735695 |
-1.454577 |
0.145786 |
|
c4 |
-3.158094 |
2.214824 |
-1.425889 |
0.153900 |
|
a1 |
0.022598 |
0.234861 |
0.096217 |
0.923349 |
|
a3 |
-0.057324 |
0.479939 |
-0.119441 |
0.904926 |
|
a4 |
-0.255889 |
0.967343 |
-0.264527 |
0.791374 |
|
a5 |
-0.694210 |
1.738182 |
-0.399389 |
0.689607 |
|
a6 |
-0.911166 |
1.378700 |
-0.660888 |
0.508684 |
|
I2 |
-0.140736 |
0.608300 |
-0.231359 |
0.817036 |
|
I3 |
-0.416781 |
1.109827 |
-0.375536 |
0.707262 |
|
Robust test |
for first-order |
serial correlation: -0.814 |
[ 54 ] | |
|
Robust test |
for second-order |
serial correlation: 0.620 |
[ 54 ] | |
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