Myers, S.C. and Majluf, N.S., 1984. Corporate Financing and Investment Decisions When Firms Have Information That Investors Do Not Have. NBER Working Paper Series, Working Paper No. 1396.
Myers, S.C., 1977. Determinants of corporate borrowing. Journal of Financial Economics, 5.
Octavia, M. and Brown, R., 2008. Determinants of capital structure in developing countries: Regulatory Capital Requirement versus the Standard determinants of capital structure. Department of Finance, The University of Melbourne, Victoria 3010, Australia.
PHỤ LỤC ĐỊNH LƯỢNG
Phục lục 1: Thống kê mô tả
Obs | Mean | Std. Dev. | Min | Max | |
GDP | 77 | 6.126778 | .622314 | 5.24737 | 7.12949 |
INF | 77 | 8.781572 | 6.352026 | .63 | 23.0878 |
ROA | 77 | 1.069418 | .4780994 | .026688 | 2.16484 |
SIZE | 77 | 19.06761 | .9141695 | 16.4204 | 20.7297 |
L | 77 | .9185465 | .035286 | .7337895 | .9725453 |
MTB | 55 | 104.2586 | 151.4512 | 3.87143 | 944.4318 |
DIV | 77 | .260913 | 1.376546 | 0 | 12 |
RISK | 63 | .1651567 | .136523 | .0111182 | .5292427 |
TANG | 77 | 35.25315 | 37.0424 | 0 | 95.47026 |
Có thể bạn quan tâm!
-
Kiểm Định Hiện Tượng Phương Sai Thay Đổi Phần Dư Trên Dữ Liệu Bảng - Greene (2000) -
Định Hướng Phát Triển Của Hệ Thống Nhtm Việt Nam -
Kết Hợp Vốn Chủ Sở Hữu Và Đòn Cân Nợ -
Các yếu tố ảnh hưởng đến cấu trúc vốn của các ngân hàng thương mại Việt Nam - 13
Xem toàn bộ 108 trang tài liệu này.
Phụ lục 2: Ma trận tương quan
L | LROA | LSIZE | LRISK | LGDP | LINF | LTANG | LMTB | LDIV | |
L | 1.0000 | ||||||||
LROA | -0.0728 | 1.0000 | |||||||
LSIZE | 0.4434 | -0.2853 | 1.0000 | ||||||
LRISK | -0.1243 | -0.0991 | -0.4162 | 1.0000 | |||||
LGDP | 0.1776 | -0.2158 | 0.2609 | -0.3213 | 1.0000 | ||||
LINF | -0.1476 | 0.5991 | -0.3381 | 0.1362 | -0.1703 | 1.0000 | |||
LTANG | 0.2170 | -0.0294 | 0.3042 | -0.1085 | 0.2285 | 0.0765 | 1.0000 | ||
LMTB | -0.2840 | -0.0198 | -0.1895 | 0.1351 | -0.1091 | 0.1231 | -0.1725 | 1.0000 | |
LDIV | -0.2079 | 0.1442 | -0.2411 | 0.1041 | 0.0483 | 0.3312 | -0.1272 | -0.0956 | 1.0000 |
Source | SS | df | MS |
Model | .003933918 | 8 | .00049174 |
Residual | .010060531 | 35 | .000287444 |
Total | .013994449 | 43 | .000325452 |
Number of obs | = | 44 |
F( 8, 35) | = | 1.71 |
Prob > F | = | 0.1305 |
R-squared | = | 0.2811 |
Adj R-squared | = | 0.1168 |
Root MSE | = | .01695 |
Coef. | Std. Err. | t | P>|t| | [95% Conf. | Interval] | |
LROA | .0038442 | .0079023 | 0.49 | 0.630 | -.0121984 | .0198868 |
LSIZE | .0117463 | .0051173 | 2.30 | 0.028 | .0013576 | .0221349 |
LRISK | .0186289 | .0224256 | 0.83 | 0.412 | -.0268975 | .0641553 |
LGDP | .0040375 | .0055801 | 0.72 | 0.474 | -.0072907 | .0153658 |
LINF | .0000524 | .0005921 | 0.09 | 0.930 | -.0011497 | .0012545 |
LTANG | .0000104 | .0000817 | 0.13 | 0.900 | -.0001555 | .0001763 |
LMTB | -.000024 | .0000164 | -1.47 | 0.151 | -.0000572 | 9.19e-06 |
LDIV | -.0099335 | .0096083 | -1.03 | 0.308 | -.0294394 | .0095725 |
_cons | .6672058 | .1081829 | 6.17 | 0.000 | .4475827 | .8868288 |
. vif
VIF | 1/VIF | |
LINF | 2.01 | 0.497953 |
LROA | 1.87 | 0.535560 |
LSIZE | 1.61 | 0.622224 |
LRISK | 1.46 | 0.683946 |
LGDP | 1.29 | 0.777833 |
LDIV | 1.26 | 0.791600 |
LTANG | 1.26 | 0.792708 |
LMTB | 1.14 | 0.880032 |
Mean VIF | 1.49 | |
Fixed-effects (within) regression | Number of obs | = | 44 | |||||
Group variable: BANK | Number of groups | = | 7 | |||||
R-sq: within | = | 0.1883 | Obs | per | group: | min | = | 2 |
between | = | 0.3158 | avg | = | 6.3 | |||
overall | = | 0.1489 | max | = | 8 | |||
F(8,29) | = | 0.84 | ||||||
corr(u_i, Xb) | = | 0.1096 | Prob > F | = | 0.5748 | |||
Coef. | Std. Err. | t P>|t| | [95% Conf. | Interval] | |||
LROA | .0081324 | .006728 | 1.21 0.237 | -.0056279 | .0218926 | ||
LSIZE | .0023041 | .0079087 | 0.29 0.773 | -.0138711 | .0184792 | ||
LRISK | .0162302 | .0209054 | 0.78 0.444 | -.0265261 | .0589865 | ||
LGDP | .0058818 | .0049022 | 1.20 0.240 | -.0041443 | .0159079 | ||
LINF | -.0003385 | .0004855 | -0.70 0.491 | -.0013314 | .0006544 | ||
LTANG | -.0000275 | .0000786 | -0.35 0.729 | -.0001882 | .0001331 | ||
LMTB | -.0000164 | .0000155 | -1.06 0.299 | -.000048 | .0000153 | ||
LDIV | -.0096866 | .0088557 | -1.09 0.283 | -.0277986 | .0084253 | ||
_cons | .8377681 | .148473 | 5.64 0.000 | .5341066 | 1.14143 | ||
sigma_u | .01598075 | ||||||
sigma_e | .01308454 | ||||||
rho | .59866524 | (fraction | of | variance due | to | u_i) |
F test that all u_i=0: F(6, 29) = 4.96 Prob > F = 0.0013
. xttest0
Breusch and Pagan Lagrangian multiplier test for random effects
L[BANK,t] = Xb + u[BANK] + e[BANK,t]
Estimated results:
Var sd = sqrt(Var)
L .0003255 .0180403
e .0001712 .0130845
u 0 0
Test: Var(u) = 0
chibar2(01) = 0.00
Prob > chibar2 = 1.0000
.
.
Kiểm định FEM với REM
.
. hausman fe1 re1, sig
Note: the rank of the differenced variance matrix (6) does not equal the number of coefficients being tested (8); be sure this is what you expect, or there may be problems computing the test. Examine the output of your estimators for anything unexpected and possibly consider scaling your variables so that the coefficients are on a similar scale.
Coefficients
(b) fe1 | (B) re1 | (b-B) Difference | sqrt(diag(V_b-V_B)) S.E. | |
LROA | .0081324 | .0038442 | .0042882 | .0036812 |
LSIZE | .0023041 | .0117463 | -.0094422 | .0088785 |
LRISK | .0162302 | .0186289 | -.0023988 | .0151937 |
LGDP | .0058818 | .0040375 | .0018443 | .0030348 |
LINF | -.0003385 | .0000524 | -.0003909 | .0002124 |
LTANG | -.0000275 | .0000104 | -.0000379 | .0000607 |
LMTB | -.0000164 | -.000024 | 7.67e-06 | .0000116 |
LDIV | -.0096866 | -.0099335 | .0002468 | .0062729 |
b = consistent under Ho and Ha; obtained from xtreg B = inconsistent under Ha, efficient under Ho; obtained from xtreg
Test: Ho: difference in coefficients not systematic
chi2(6) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 17.73
Prob>chi2 = 0.0070
(V_b-V_B is not positive definite)
Number of obs | = | 44 | ||||||
Group variable: BANK | Number of groups | = | 7 | |||||
R-sq: within | = | 0.1883 | Obs | per | group: | min | = | 2 |
between | = | 0.3158 | avg | = | 6.3 | |||
overall | = | 0.1489 | max | = | 8 | |||
F(8,29) | = | 0.84 | ||||||
corr(u_i, Xb) | = | 0.1096 | Prob > | F | = | 0.5748 | ||
Coef. | Std. Err. | t P>|t| | [95% Conf. | Interval] | |||
LROA | .0081324 | .006728 | 1.21 0.237 | -.0056279 | .0218926 | ||
LSIZE | .0023041 | .0079087 | 0.29 0.773 | -.0138711 | .0184792 | ||
LRISK | .0162302 | .0209054 | 0.78 0.444 | -.0265261 | .0589865 | ||
LGDP | .0058818 | .0049022 | 1.20 0.240 | -.0041443 | .0159079 | ||
LINF | -.0003385 | .0004855 | -0.70 0.491 | -.0013314 | .0006544 | ||
LTANG | -.0000275 | .0000786 | -0.35 0.729 | -.0001882 | .0001331 | ||
LMTB | -.0000164 | .0000155 | -1.06 0.299 | -.000048 | .0000153 | ||
LDIV | -.0096866 | .0088557 | -1.09 0.283 | -.0277986 | .0084253 | ||
_cons | .8377681 | .148473 | 5.64 0.000 | .5341066 | 1.14143 | ||
sigma_u | .01598075 | ||||||
sigma_e | .01308454 | ||||||
rho | .59866524 | (fraction | of | variance due | to | u_i) |
F test that all u_i=0: F(6, 29) = 4.96 Prob > F = 0.0013
. xttest3
Modified Wald test for groupwise heteroskedasticity in fixed effect regression model
H0: sigma(i)^2 = sigma^2 for all i
chi2 (7) = 21.44
Prob>chi2 = 0.0032
Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation
F( 1, 5) = 120.484
Prob > F = 0.0001
Phụ lục 7: Kết quả hồi quy Mô hình Pooled OLS
Source | SS | df | MS |
Model | .003933918 | 8 | .00049174 |
Residual | .010060531 | 35 | .000287444 |
Total | .013994449 | 43 | .000325452 |
Number of obs = 44
F( 8, 35) = 1.71
Prob > F = 0.1305
= | 0.2811 | |
Adj R-squared | = | 0.1168 |
Root MSE | = | .01695 |
Coef. | Std. Err. | t | P>|t| | [95% Conf. | Interval] | |
LROA | .0038442 | .0079023 | 0.49 | 0.630 | -.0121984 | .0198868 |
LSIZE | .0117463 | .0051173 | 2.30 | 0.028 | .0013576 | .0221349 |
LRISK | .0186289 | .0224256 | 0.83 | 0.412 | -.0268975 | .0641553 |
LGDP | .0040375 | .0055801 | 0.72 | 0.474 | -.0072907 | .0153658 |
LINF | .0000524 | .0005921 | 0.09 | 0.930 | -.0011497 | .0012545 |
LTANG | .0000104 | .0000817 | 0.13 | 0.900 | -.0001555 | .0001763 |
LMTB | -.000024 | .0000164 | -1.47 | 0.151 | -.0000572 | 9.19e-06 |
LDIV | -.0099335 | .0096083 | -1.03 | 0.308 | -.0294394 | .0095725 |
_cons | .6672058 | .1081829 | 6.17 | 0.000 | .4475827 | .8868288 |
Number of obs | = | 44 | ||||||
Group variable: BANK | Number of groups | = | 7 | |||||
R-sq: within | = | 0.1883 | Obs | per | group: | min | = | 2 |
between | = | 0.3158 | avg | = | 6.3 | |||
overall | = | 0.1489 | max | = | 8 | |||
F(8,29) | = | 0.84 | ||||||
corr(u_i, Xb) | = | 0.1096 | Prob > F | = | 0.5748 | |||
Coef. | Std. Err. | t P>|t| | [95% Conf. | Interval] | |||
LROA | .0081324 | .006728 | 1.21 0.237 | -.0056279 | .0218926 | ||
LSIZE | .0023041 | .0079087 | 0.29 0.773 | -.0138711 | .0184792 | ||
LRISK | .0162302 | .0209054 | 0.78 0.444 | -.0265261 | .0589865 | ||
LGDP | .0058818 | .0049022 | 1.20 0.240 | -.0041443 | .0159079 | ||
LINF | -.0003385 | .0004855 | -0.70 0.491 | -.0013314 | .0006544 | ||
LTANG | -.0000275 | .0000786 | -0.35 0.729 | -.0001882 | .0001331 | ||
LMTB | -.0000164 | .0000155 | -1.06 0.299 | -.000048 | .0000153 | ||
LDIV | -.0096866 | .0088557 | -1.09 0.283 | -.0277986 | .0084253 | ||
_cons | .8377681 | .148473 | 5.64 0.000 | .5341066 | 1.14143 | ||
sigma_u | .01598075 | ||||||
sigma_e | .01308454 | ||||||
rho | .59866524 | (fraction | of | variance due | to | u_i) |
F test that all u_i=0: F(6, 29) = 4.96 Prob > F = 0.0013