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Redundant Fixed Effects Tests


Equation: Untitled
Test cross-section fixed effects
Effects Test	Statistic	d.f.	Prob.
Cross-section F	2.556633	(7,32)	0.0328
Cross-section Chi-square	21.322251	7	0.0033
Cross-section fixed effects test	equation:
Dependent Variable: ROE
Method: Panel Least Squares
Date: 10/15/14 Time: 21:14
Sample: 2008 2013
Periods included: 6
Cross-sections included: 8
Total panel (balanced) observ	ations: 48

Có thể bạn quan tâm!

Tác giả dùng Likelihood Ratio Test để kiểm định xem dùng Fixed Effect Model tốt hơn hay dùng Pooled Regression Model tốt hơn. Ta có:

Giả thuyết H0: dùng Pooled regression tốt hơn. Giả thuyết H1: dùng Fixed Effect Model tốt hơn.

Khi đó

p-value = 0.0328 < mức ý nghĩa α = 0.05 (5%) -> Bác bỏ H0 Kết quả cho thấy dùng Fixed Effect Model sẽ thích hợp hơn.

Dependent Variable: ROA


Method: Panel Least Squares
Date: 8/15/14 Time: 21:08
Sample: 2008 2013
Periods included: 6
Cross-sections included: 8
Total panel (balanced) observations: 48
Variable	Coefficient	Std. Error	t-Statistic	Prob.
C	0.042821	0.028065	1.525802	0.1369
AS	-0.002197	0.001334	-1.647373	0.1093
CA	0.008036	0.017022	0.472102	0.6401
LA	-0.017566	0.011811	-1.487266	0.1467
DP	-0.017141	0.007590	-2.258419	0.0309
NIM	0.461471	0.099052	4.658896	0.0001
NII	0.737930	0.115567	6.385296	0.0000
GDP	0.227307	0.094340	2.409450	0.0219
INF	-0.018991	0.009489	-2.001328	0.0539
	Effects Specification
Cross-section fixed (dummy variables)
R-squared	0.798090	Mean dependent var		0.012017
Adjusted R-squared	0.703445	S.D. dependent var		0.004220
S.E. of regression	0.002298	Akaike info criterion		-9.052483
Sum squared resid	0.000169	Schwarz criterion		-8.428750
Log likelihood	233.2596	Hannan-Quinn criter.		-8.816774
F-statistic	8.432448	Durbin-Watson stat		2.374818
Prob(F-statistic)	0.000000

Dependent Variable: ROE


Method: Panel Least Squares
Date: 8/15/14 Time: 21:14
Sample: 2008 2013
Periods included: 6
Cross-sections included: 8
Total panel (balanced) observations: 48
Variable	Coefficient	Std. Error	t-Statistic	Prob.
C	0.582505	0.409871	1.421191	0.1649
AS	-0.025499	0.019475	-1.309287	0.1998
CA	-0.786676	0.248599	-3.164436	0.0034
LA	-0.499043	0.172492	-2.893132	0.0068
DP	-0.116699	0.110843	-1.052834	0.3003
NIM	6.227871	1.446589	4.305212	0.0001
NII	8.599735	1.687787	5.095272	0.0000
GDP	4.330837	1.377777	3.143351	0.0036
INF	-0.337520	0.138587	-2.435431	0.0206
	Effects Specification
Cross-section fixed (dummy variables)
R-squared	0.789089	Mean dependent var		0.155555
Adjusted R-squared	0.690224	S.D. dependent var		0.060295
S.E. of regression	0.033559	Akaike info criterion		-3.689838
Sum squared resid	0.036038	Schwarz criterion		-3.066104
Log likelihood	104.5561	Hannan-Quinn criter.		-3.454128
F-statistic	7.981501	Durbin-Watson stat		2.477594
Prob(F-statistic)	0.000001

Dependent Variable: AS


Method: Panel Least Squares
Date: 8/15/14 Time: 21:44
Sample: 2008 2013
Periods included: 6
Cross-sections included: 8
Total panel (balanced) observations: 48
Variable	Coefficient	Std. Error	t-Statistic	Prob.
C	20.27345	0.983340	20.61692	0.0000
CA	-3.271355	2.147868	-1.523071	0.1373
LA	-0.932342	1.533239	-0.608087	0.5473
DP	-0.668618	0.983900	-0.679559	0.5015
NIM	12.14294	12.75624	0.951922	0.3481
NII	-29.34371	14.19501	-2.067185	0.0466
GDP	3.546451	12.29964	0.288338	0.7749
INF	-3.020322	1.121636	-2.692783	0.0110
	Effects Specification
Cross-section fixed (dummy variables)
R-squared	0.850318	Mean dependent var		19.04792
Adjusted R-squared	0.786816	S.D. dependent var		0.649663
S.E. of regression	0.299961	Akaike info criterion		0.679980
Sum squared resid	2.969235	Schwarz criterion		1.264731
Log likelihood	-1.319531	Hannan-Quinn criter.		0.900958
F-statistic	13.39049	Durbin-Watson stat		1.129365
Prob(F-statistic)	0.000000

Dependent Variable: CA


Method: Panel Least Squares
Date: 8/15/14 Time: 21:46
Sample: 2008 2013
Periods included: 6
Cross-sections included: 8
Total panel (balanced) observations: 48
Variable	Coefficient	Std. Error	t-Statistic	Prob.
C	0.336643	0.280959	1.198194	0.2394
AS	-0.020077	0.013182	-1.523071	0.1373
LA	-0.098084	0.119572	-0.820288	0.4179
DP	0.184837	0.070633	2.616884	0.0133
NIM	1.044284	0.996506	1.047946	0.3023
NII	1.524460	1.151667	1.323699	0.1947
GDP	0.529642	0.960351	0.551509	0.5850
INF	-0.047054	0.096697	-0.486612	0.6297
	Effects Specification
Cross-section fixed (dummy variables)
R-squared	0.716445	Mean dependent var		0.083484
Adjusted R-squared	0.596149	S.D. dependent var		0.036978
S.E. of regression	0.023499	Akaike info criterion		-4.413413
Sum squared resid	0.018223	Schwarz criterion		-3.828663
Log likelihood	120.9219	Hannan-Quinn criter.		-4.192435
F-statistic	5.955678	Durbin-Watson stat		0.764172
Prob(F-statistic)	0.000013

Dependent Variable: LA


Method: Panel Least Squares
Date: 8/15/14 Time: 21:47
Sample: 2008 2013
Periods included: 6
Cross-sections included: 8
Total panel (balanced) observations: 48
Variable	Coefficient	Std. Error	t-Statistic	Prob.
C	0.349395	0.409142	0.853970	0.3993
AS	-0.011885	0.019545	-0.608087	0.5473
CA	-0.203731	0.248365	-0.820288	0.4179
DP	0.389915	0.088916	4.385221	0.0001
NIM	4.260922	1.257416	3.388632	0.0018
NII	1.027453	1.693883	0.606567	0.5483
GDP	1.919778	1.349681	1.422394	0.1643
INF	-0.521071	0.106459	-4.894594	0.0000
	Effects Specification
Cross-section fixed (dummy variables)
R-squared	0.938056	Mean dependent var		0.522812
Adjusted R-squared	0.911777	S.D. dependent var		0.114022
S.E. of regression	0.033867	Akaike info criterion		-3.682435
Sum squared resid	0.037850	Schwarz criterion		-3.097685
Log likelihood	103.3784	Hannan-Quinn criter.		-3.461457
F-statistic	35.69572	Durbin-Watson stat		1.458458
Prob(F-statistic)	0.000000

Dependent Variable: DP


Method: Panel Least Squares
Date: 8/15/14 Time: 21:49
Sample: 2008 2013
Periods included: 6
Cross-sections included: 8
Total panel (balanced) observations: 48
Variable	Coefficient	Std. Error	t-Statistic	Prob.
C	0.756732	0.630073	1.201022	0.2383
AS	-0.020641	0.030374	-0.679559	0.5015
CA	0.929761	0.355293	2.616884	0.0133
LA	0.944260	0.215328	4.385221	0.0001
NIM	-1.596110	2.254794	-0.707874	0.4840
NII	-1.726729	2.633548	-0.655666	0.5166
GDP	-5.185610	1.966489	-2.636989	0.0127
INF	0.286037	0.211878	1.350013	0.1862
	Effects Specification
Cross-section fixed (dummy variables)
R-squared	0.800327	Mean dependent var		0.613114
Adjusted R-squared	0.715617	S.D. dependent var		0.098830
S.E. of regression	0.052704	Akaike info criterion		-2.797962
Sum squared resid	0.091663	Schwarz criterion		-2.213212
Log likelihood	82.15108	Hannan-Quinn criter.		-2.576984
F-statistic	9.447852	Durbin-Watson stat		1.955265
Prob(F-statistic)	0.000000

Dependent Variable: NIM


Method: Panel Least Squares
Date: 8/15/14 Time: 21:50
Sample: 2008 2013
Periods included: 6
Cross-sections included: 8
Total panel (balanced) observations: 48
Variable	Coefficient	Std. Error	t-Statistic	Prob.
C	-0.031516	0.049016	-0.642970	0.5247
AS	0.002201	0.002312	0.951922	0.3481
CA	0.030841	0.029430	1.047946	0.3023
LA	0.060583	0.017878	3.388632	0.0018
DP	-0.009371	0.013238	-0.707874	0.4840
NII	-0.603634	0.173807	-3.473006	0.0015
GDP	-0.211178	0.161670	-1.306224	0.2005
INF	0.057656	0.013319	4.328876	0.0001
	Effects Specification
Cross-section fixed (dummy variables)
R-squared	0.741778	Mean dependent var		0.028971
Adjusted R-squared	0.632229	S.D. dependent var		0.006659
S.E. of regression	0.004038	Akaike info criterion		-7.935657
Sum squared resid	0.000538	Schwarz criterion		-7.350906
Log likelihood	205.4558	Hannan-Quinn criter.		-7.714679
F-statistic	6.771201	Durbin-Watson stat		1.239725
Prob(F-statistic)	0.000003