GENERAL UNRESTRICTED MODEL
EQUATION FOR THE SHARE OF CREDIT GRANTED TO THE LARGEST SIZE CLASS
(“CLIENTS 5”)
The data employed for the estimates cover the period 1990 QI - 1998 QIV
++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
D.P.D. RESULTS
LEVELS IV
Number of firms: 18
Observations: 504
Sample period is 1991 QII to 1998 QI
Degrees of freedom: 473
Dependent variable is: c5_t
Instruments used are:
CONST |
c5_t(-2) |
c5_t(-3) |
c5_t(-4) |
c5_t(-5) |
tat(-1) |
tat(-3) |
tat(-4) |
tat(-4) |
tat(-5) |
so_u(-1) |
so_u(-2) |
so_u(-3) |
so_u(-4) |
so_u(-5) |
tan(-1) |
tan(-2) |
tan(-3) |
tan(-4) |
tan(-5) |
isco(-1) |
tma(-1) |
tma(-2) |
tma(-3) |
tma(-4) |
tma(-5) |
a1 |
a3 |
a4 |
a5 |
a6 |
ONE-STEP ESTIMATES WITH ROBUST TEST STATISTICS
Wald test of joint significance: 4431.770670 |
df = 30 df = 24 tat(-2) tat(-4) | |||
Wald test selected by user: |
7.462959 tat tat(-1) -2) tan(-3) a1 a3 | |||
Testing:c5_t(-2) c5_t(-3) tma(-1) tma(-2) tma(-3) a6 |
c5_t(-4) tan(-1) tan( tma(-4) | |||
tan( |
-4) tma a4 a5 | |||
Var Coef |
Std. Error |
T-Stat |
P-Value | |
CONST -0.138288 |
0.156984 |
-0.880902 |
0.378371 | |
c5_t(-1) 2.942707 |
2.112914 |
1.392725 |
0.163703 | |
c5_t(-2) -2.005299 |
2.092366 |
-0.958388 |
0.337867 | |
c5_t(-3) 0.174508 |
0.296365 |
0.588829 |
0.555976 | |
c5_t(-4) -0.011989 |
0.141317 |
-0.084839 |
0.932390 | |
tat 0.027344 |
0.027825 |
0.982712 |
0.325749 | |
tat(-1) -0.013846 |
0.014940 |
-0.926768 |
0.354047 | |
tat(-2) 0.004455 |
0.010317 |
0.431821 |
0.665872 | |
tat(-3) -0.003635 |
0.005215 |
-0.697092 |
0.485745 | |
tat(-4) -0.003304 |
0.006173 |
-0.535252 |
0.592476 | |
so_u -0.081250 |
0.166762 |
-0.487221 |
0.626102 | |
so_u(-1) 0.120028 |
0.180136 |
0.666317 |
0.505209 | |
so_u(-2) -0.060010 |
0.052729 |
-1.138082 |
0.255086 | |
so_u(-3) 0.084269 |
0.064958 |
1.297276 |
0.194536 | |
so_u(-4) -0.119746 |
0.099812 |
-1.199712 |
0.230251 | |
tan -0.007168 |
0.014392 |
-0.498050 |
0.618448 | |
tan(-1) 0.008115 |
0.013108 |
0.619095 |
0.535854 | |
tan(-2) 0.001665 |
0.004124 |
0.403840 |
0.686330 | |
tan(-3) 0.000392 |
0.001968 |
0.199169 |
0.842131 | |
tan(-4) 0.001837 |
0.002366 |
0.776374 |
0.437528 | |
isco 0.001490 |
0.001720 |
0.866275 |
0.386339 | |
tma -0.024440 |
0.023699 |
-1.031243 |
0.302427 | |
tma(-1) 0.007476 |
0.009783 |
0.764128 |
0.444791 | |
tma(-2) 0.002505 |
0.006351 |
0.394353 |
0.693320 | |
tma(-3) -0.001077 |
0.003461 |
-0.311090 |
0.755733 | |
tma(-4) 0.005157 |
0.006172 |
0.835599 |
0.403381 | |
a1 0.000255 |
0.003423 |
0.074583 |
0.940547 | |
a3 0.006086 |
0.007869 |
0.773465 |
0.439247 | |
a4 0.003671 |
0.004724 |
0.777195 |
0.437044 | |
a5 0.010938 |
0.013995 |
0.781585 |
0.434458 | |
a6 0.002276 |
0.009911 |
0.229597 |
0.818405 | |
Robust test for first-order |
serial correlation: -0. |
978 |
[ 18 ] | |
Robust test for second-order |
serial correlation: 1. |
005 |
[ 18 ] |
37
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