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Table 2 The ARDL bound test

From: Interest rate liberalization and pass-through of monetary policy rate to bank lending rates in China

Panel A: The ARDL results
∆yt = β0 + β1∆yt − 1 + β2∆yt − 2 +  …  + βp∆yt − p + α0∆xt + α1∆xt − 1 +  …  + αq∆xt − q + θ0yt − 1 + θ1xt − 1 + εt
Variable   Coefficient S.E. t-statistics Prob.
Constant β 0 0.243 0.0824 2.95 0.004
y t − 1 θ 0 −0.0707 0.0221 −3.19 0.001
x t − 1 θ 1 0.0623 0.0182 3.42 0.000
∆y t − 1 β 1 −0.193 0.0612 −3.16 0.002
∆y t − 2 β 2 0.107 0.0620 1.72 0.086
∆y t − 3 β 2 0.0824 0.0393 2.10 0.037
∆x t α 0 0.192 0.0318 6.04 0.000
∆x t − 1 α 1 0.565 0.0355 15.90 0.000
∆x t − 2 α 2 0.116 0.0497 2.33 0.021
∆x t − 3 α 3 −0.0975 0.0492 −1.98 0.048
Panel B: Bound test (Null hypothesis: No long-term relationship)
B Value Significance I(0) I(1)
F-statistics 4.21 10% 3.02 3.51
k 1 5% 3.62 4.16
   2.5% 4.18 4.79
   1% 4.94 5.58