Table A2. GMM estimation with EA... | Emerald Publishing

Table A2.

GMM estimation with EA modelled as endogenous (dependent variable: NIM)

	(1)		(2)		(3)
	Coefficient	t-statistic	Coefficient	t-statistic	Coefficient	t-statistic
Intercept	0.01662	2.06	0.01747	2.18	0.02681	3.09
Π_t-1	0.57895	5.89	0.58856	6.01	0.57591	6.13
EA	−0.2474	−8.43	−0.2472	−8.40	−0.2416	−8.35
CR	−0.2338	−2.24	−0.2310	−2.20	−0.3312	−3.06
DEP	−0.01320	−2.61	−0.01266	−2.54	−0.01661	−3.25
LIQ	0.00043	1.78	0.000673	1.90	0.000500	1.91
PROD	0.00030	2.66	0.00028	2.58	0.00034	2.77
EC	−0.92098	−0.23	−0.92881	−0.24
SZ	−0.00010	−3.97	−0.00010	−3.90	0.00009	−3.62
CON	−0.00021	−0.02	−0.00001	−0.09
HHI					0.0651	0.10
INF			−0.00099	−2.05
INF*^a	0.0010	2.85			0.001873	3.33
CO	−0.00046	−0.71	−0.00070	−1.20
CO+^b					0.00220	0.195
CO−^c					−0.00387	−0.288
LG	0.00211	3.09	0.002109	3.07	0.00232	3.19
D₀₈^d	−0.0032507	−2.91	−0.004801	−2.13	−0.006114	−2.78
Wald test	χ²(13) = 459.65	0.000	χ²(13) = 421.03	0.000	χ²(14) = 467.18	0.000
Sargan test	491.56	0.000	502.3	0.000	489.25	0.000
AR(1)^e	z = −7.11	0.000	z = −7.01	0.000	z = −6.89	0.000
AR(2)	z = −0.95	0.353	z = −1.06	0.196	z = −1.35	0.151

	(1)		(2)		(3)
	Coefficient	t-statistic	Coefficient	t-statistic	Coefficient	t-statistic
Intercept	0.01662	2.06	0.01747	2.18	0.02681	3.09
Π_t-1	0.57895	5.89	0.58856	6.01	0.57591	6.13
EA	−0.2474	−8.43	−0.2472	−8.40	−0.2416	−8.35
CR	−0.2338	−2.24	−0.2310	−2.20	−0.3312	−3.06
DEP	−0.01320	−2.61	−0.01266	−2.54	−0.01661	−3.25
LIQ	0.00043	1.78	0.000673	1.90	0.000500	1.91
PROD	0.00030	2.66	0.00028	2.58	0.00034	2.77
EC	−0.92098	−0.23	−0.92881	−0.24
SZ	−0.00010	−3.97	−0.00010	−3.90	0.00009	−3.62
CON	−0.00021	−0.02	−0.00001	−0.09
HHI					0.0651	0.10
INF			−0.00099	−2.05
INF*^a	0.0010	2.85			0.001873	3.33
CO	−0.00046	−0.71	−0.00070	−1.20
CO+^b					0.00220	0.195
CO−^c					−0.00387	−0.288
LG	0.00211	3.09	0.002109	3.07	0.00232	3.19
D₀₈^d	−0.0032507	−2.91	−0.004801	−2.13	−0.006114	−2.78
Wald test	χ²(13) = 459.65	0.000	χ²(13) = 421.03	0.000	χ²(14) = 467.18	0.000
Sargan test	491.56	0.000	502.3	0.000	489.25	0.000
AR(1)^e	z = −7.11	0.000	z = −7.01	0.000	z = −6.89	0.000
AR(2)	z = −0.95	0.353	z = −1.06	0.196	z = −1.35	0.151

Notes:

a

10-year government bond rate;

b

Cyclical output when the actual value is above segmented trend;

c

Cyclical output when the actual value is below segmented trend;

d

Dummy variable for 2008;

e

H0: no autocorrelation