Table 8 ARDL additional test Variables...

Table 8

ARDL additional test

Variables	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)
Variables	Zscore	Zscore ADJ	Zscore SR	Zscore LR	lnZscore	lnZscore ADJ	lnZscore SR	lnZscore LR
L.ZSCORE	0.807***	−0.193
L.ZSCORE	(0.114)	(0.114)
ROE	−24.13***		−37.18		−1.101***		−1.779
ROE	(6.379)		(23.78)		(0.354)		(1.098)
L.ROE	16.97**				0.701*
L.ROE	(7.205)				(0.392)
LNPP	−9.790		−50.83		−0.602		−2.675
LNPP	(9.219)		(48.21)		(0.515)		(2.253)
NEWFLENDER	−0.698		−3.622		−0.0369		−0.164
NEWFLENDER	(1.328)		(7.190)		(0.0738)		(0.337)
NEWFBOR	−0.0504		0.288**		−0.00321		0.0143**
NEWFBOR	(0.0364)		(0.129)		(0.00202)		(0.00564)
L.NEWFBOR	0.106**				0.00642***
L.NEWFBOR	(0.0394)				(0.00220)
PRO	−3.981		−20.67		−0.194		−0.864
PRO	(5.007)		(29.89)		(0.278)		(1.343)
D.ROE				−16.97**				−0.701*
D.ROE				(7.205)				(0.392)
D.NEWFBOR				−0.106**				−0.00642***
D.NEWFBOR				(0.0394)				(0.00220)
L.LNZSCORE					0.775***	−0.225*
L.LNZSCORE					(0.113)	(0.113)
Constant	45.55			45.55	3.196			3.196
Constant	(38.90)			(38.90)	(2.254)			(2.254)
Observations	35	35	35	35	35	35	35	35
R-squared	0.876	0.594	0.594	0.594	0.865	0.562	0.562	0.562

Variables	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)
Variables	Zscore	Zscore ADJ	Zscore SR	Zscore LR	lnZscore	lnZscore ADJ	lnZscore SR	lnZscore LR
L.ZSCORE	0.807***	−0.193
L.ZSCORE	(0.114)	(0.114)
ROE	−24.13***		−37.18		−1.101***		−1.779
ROE	(6.379)		(23.78)		(0.354)		(1.098)
L.ROE	16.97**				0.701*
L.ROE	(7.205)				(0.392)
LNPP	−9.790		−50.83		−0.602		−2.675
LNPP	(9.219)		(48.21)		(0.515)		(2.253)
NEWFLENDER	−0.698		−3.622		−0.0369		−0.164
NEWFLENDER	(1.328)		(7.190)		(0.0738)		(0.337)
NEWFBOR	−0.0504		0.288**		−0.00321		0.0143**
NEWFBOR	(0.0364)		(0.129)		(0.00202)		(0.00564)
L.NEWFBOR	0.106**				0.00642***
L.NEWFBOR	(0.0394)				(0.00220)
PRO	−3.981		−20.67		−0.194		−0.864
PRO	(5.007)		(29.89)		(0.278)		(1.343)
D.ROE				−16.97**				−0.701*
D.ROE				(7.205)				(0.392)
D.NEWFBOR				−0.106**				−0.00642***
D.NEWFBOR				(0.0394)				(0.00220)
L.LNZSCORE					0.775***	−0.225*
L.LNZSCORE					(0.113)	(0.113)
Constant	45.55			45.55	3.196			3.196
Constant	(38.90)			(38.90)	(2.254)			(2.254)
Observations	35	35	35	35	35	35	35	35
R-squared	0.876	0.594	0.594	0.594	0.865	0.562	0.562	0.562

Note(s): Standard errors in parentheses ***p < 0.01, **p < 0.05 and *p < 0.1. Models 1 and 5 are the results of ARDL base line models. The rest of the model (excluding 1 and 5) are the results of ARDL with error correction and stability test. Models 1 through 4 use Zscore as a dependent variable, while models 5 through 8 use the natural logarithm of zscore (lnzscore) as a dependent variable. All the ARDL models use (110010) lags

Source(s): Table by author

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