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Các yếu tố ảnh hưởng đến hiệu quả kinh doanh tại các ngân hàng thương mại Việt Nam - 9


Group variable: Num

Number of groups =

27

R-sq:

within = 0.4726

Obs per group:

min =


5

between = 0.7203

avg =

7.6

overall = 0.5432

max =

8


Wald chi2(10) =

207.73

corr(u_i, X) = 0 (assumed)

Prob > chi2 =

0.0000

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Các yếu tố ảnh hưởng đến hiệu quả kinh doanh tại các ngân hàng thương mại Việt Nam - 9


------------------------------------------------------------------------------

ROA | Coef. Std. Err. z P>|z| [95% Conf. Interval]

-------------+----------------------------------------------------------------

CAR

|

.0242389

.0117183

2.07

0.039

.0012714

.0472064

TCR

|

-.0300561

.0034762

-8.65

0.000

-.0368694

-.0232428

DLR

|

-.0037129

.0014243

-2.61

0.009

-.0065045

-.0009213

LTA

|

-.006846

.0035338

-1.94

0.053

-.0137721

.00008

NPL

|

-.0335506

.0197921

-1.70

0.090

-.0723424

.0052412

DIV

|

-.0080412

.0048043

-1.67

0.094

-.0174574

.001375

SIZE

|

.0025049

.0011084

2.26

0.024

.0003325

.0046772

INT

|

.0113365

.0248134

0.46

0.648

-.0372968

.0599699

GDP

|

.0338514

.0642077

0.53

0.598

-.0919934

.1596961

CPI

|

.02378

.0110571

2.15

0.032

.0021084

.0454516

_cons

|

-.0076535

.0185585

-0.41

0.680

-.0440276

.0287205

-------------+----------------------------------------------------------------

sigma_u | .0013612

sigma_e | .00400998

rho | .10332252 (fraction of variance due to u_i)

------------------------------------------------------------------------------


. estimate store re


. hausman fe re


|


---- Coefficients ----

(b) (B)


(b-B)


sqrt(diag(V_b-V_B))

|

fe re

Difference

S.E.

-------------+----------------------------------------------------------------

CAR

|

.0190324

.0242389

-.0052065

.0099598

TCR

|

-.0252847

-.0300561

.0047714

.002301

DLR

|

-.0043664

-.0037129

-.0006536

.0008677

LTA

|

-.0093466

-.006846

-.0025006

.0028912

NPL

|

-.0256711

-.0335506

.0078795

.0111313

DIV

|

-.007981

-.0080412

.0000603

.0046311

SIZE

|

.0043346

.0025049

.0018297

.0027959

INT

|

.0347546

.0113365

.023418

.0183429

GDP

|

.0544665

.0338514

.0206151

.0241742

CPI

|

.0191186

.02378

-.0046614

.0025249

------------------------------------------------------------------------------

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(10) = (b-B)'[(V_b-V_B)^(-1)](b-B)

= 34.89

Prob>chi2 = 0.0001

(V_b-V_B is not positive definite)


. xttest3


Modified Wald test for groupwise heteroskedasticity in fixed effect regression model

H0: sigma(i)^2 = sigma^2 for all i chi2 (27) = 14325.45

Prob>chi2 = 0.0000


. xtcsd, pesaran abs


Pesaran's test of cross sectional independence = 1.511, Pr = 0.1308


Average absolute value of the off-diagonal elements = 0.380

. . xtserial ROA CAR TCR DLR LTA NPL DIV SIZE INT GDP CPI

Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation

F( 1, 26) = 4.520

Prob > F = 0.0432


. xtgls ROA CAR TCR DLR LTA NPL DIV SIZE INT GDP CPI, panels (hetero) Cross-sectional time-series FGLS regression

Coefficients: generalized least squares Panels: heteroskedastic Correlation: no autocorrelation


Estimated covariances =

27

Number of obs =

206

Estimated autocorrelations =

0

Number of groups =

27

Estimated coefficients =

11

Obs per group:




min =

5



avg =

7.62963



max =

8



Wald chi2(10) =

1282.91



Prob > chi2 =

0.0000


------------------------------------------------------------------------------

ROA | Coef. Std. Err. z P>|z| [95% Conf. Interval]

-------------+----------------------------------------------------------------

CAR

|

.0342382

.0053695

6.38

0.000

.0237141

.0447622

TCR

|

-.0310256

.0016994

-18.26

0.000

-.0343564

-.0276948

DLR

|

-.0015105

.0006486

-2.33

0.020

-.0027816

-.0002393

LTA

|

-.0026212

.0015438

-1.70

0.090

-.005647

.0004045

NPL

|

-.0493229

.0088168

-5.59

0.000

-.0666035

-.0320424

DIV

|

-.0053177

.0020957

-2.54

0.011

-.0094252

-.0012101

SIZE

|

.0026729

.0003892

6.87

0.000

.0019102

.0034357

INT

|

.0348796

.0113835

3.06

0.002

.0125684

.0571908

GDP

|

.0646697

.0303025

2.13

0.033

.0052778

.1240616

CPI

|

.0106411

.0050186

2.12

0.034

.0008047

.0204774

_cons

|

-.0187489

.0074493

-2.52

0.012

-.0333491

-.0041486

------------------------------------------------------------------------------


. xtreg ROE CAR TCR DLR LTA NPL DIV SIZE INT GDP CPI, fe


Fixed-effects (within) regression

Number of obs =

205

Group variable: Num

Number of groups =

27

R-sq:

within = 0.7211

Obs per group:

min =


5

between = 0.6702

avg =

7.6

overall = 0.6982

max =

8


F(10,168) =

43.44

corr(u_i, Xb) = -0.2826

Prob > F =

0.0000


------------------------------------------------------------------------------

ROE | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-------------+----------------------------------------------------------------

CAR

|

-.1096239

.0948795

-1.16

0.250

-.2969335

.0776857

TCR

|

-.3159634

.0255186

-12.38

0.000

-.3663419

-.2655849

DLR

|

-.0283431

.0101688

-2.79

0.006

-.0484182

-.008268

LTA

|

-.0566618

.027661

-2.05

0.042

-.1112697

-.0020538

NPL

|

-.3110199

.1375008

-2.26

0.025

-.5824718

-.0395679

DIV

|

-.1451203

.0404222

-3.59

0.000

-.2249212

-.0653194

SIZE

|

.088619

.0183565

4.83

0.000

.0523798

.1248581

INT

|

.5561184

.1868752

2.98

0.003

.1871922

.9250445

GDP

|

1.501905

.4165192

3.61

0.000

.6796192

2.324191

CPI

|

.0945448

.0688991

1.37

0.172

-.0414747

.2305643

_cons

|

-1.028094

.2815794

-3.65

0.000

-1.583984

-.4722044

-------------+----------------------------------------------------------------

sigma_u | .02646059

sigma_e | .02427953

rho | .54290565 (fraction of variance due to u_i)

------------------------------------------------------------------------------



F test that all u_i=0: F(26, 168) = 5.53 Prob > F = 0.0000


. estimate store fe


. xtreg ROE CAR TCR DLR LTA NPL DIV SIZE INT GDP CPI, re


Random-effects GLS regression

Number of obs =

205

Group variable: Num

Number of groups =

27

R-sq:

within = 0.7153

Obs per group:

min =


5

between = 0.7457

avg =

7.6

overall = 0.7387

max =

8


Wald chi2(10) =

501.74

corr(u_i, X) = 0 (assumed)

Prob > chi2 =

0.0000


------------------------------------------------------------------------------

ROE | Coef. Std. Err. z P>|z| [95% Conf. Interval]

-------------+----------------------------------------------------------------

CAR

|

-.137756

.0838123

-1.64

0.100

-.3020251

.026513

TCR

|

-.3366899

.0237412

-14.18

0.000

-.3832218

-.2901579

DLR

|

-.0285318

.0096881

-2.95

0.003

-.0475201

-.0095435

LTA

|

-.0522537

.024975

-2.09

0.036

-.1012038

-.0033035

NPL

|

-.3805879

.1309149

-2.91

0.004

-.6371764

-.1239993

DIV

|

-.1276163

.034799

-3.67

0.000

-.1958211

-.0594114

SIZE

|

.0623681

.0094809

6.58

0.000

.0437859

.0809503

INT

|

.364322

.1592201

2.29

0.022

.0522562

.6763877

GDP

|

1.25089

.4106691

3.05

0.002

.4459929

2.055786

CPI

|

.121369

.069213

1.75

0.080

-.0142859

.257024

_cons

|

-.617649

.1528054

-4.04

0.000

-.9171421

-.3181559

-------------+----------------------------------------------------------------

sigma_u | .01749671

sigma_e | .02427953

rho | .34180926 (fraction of variance due to u_i)

------------------------------------------------------------------------------


. estimate store re


. hausman fe re


|


---- Coefficients ----

(b) (B)


(b-B)


sqrt(diag(V_b-V_B))

|

fe re

Difference

S.E.

-------------+----------------------------------------------------------------

CAR

|

-.1096239

-.137756

.0281321

.0444704

TCR

|

-.3159634

-.3366899

.0207264

.009357

DLR

|

-.0283431

-.0285318

.0001887

.0030896

LTA

|

-.0566618

-.0522537

-.0044081

.0118903

NPL

|

-.3110199

-.3805879

.069568

.0420445

DIV

|

-.1451203

-.1276163

-.017504

.0205665

SIZE

|

.088619

.0623681

.0262509

.0157186

INT

|

.5561184

.364322

.1917964

.0978329

GDP

|

1.501905

1.25089

.2510158

.0695643

CPI

|

.0945448

.121369

-.0268243

.

------------------------------------------------------------------------------

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


. xttest3


chi2(10) = (b-B)'[(V_b-V_B)^(-1)](b-B)

= -6.25 chi2<0 ==> model fitted on these

data fails to meet the asymptotic assumptions of the Hausman test; see suest for a generalized test


Modified Wald test for groupwise heteroskedasticity in fixed effect regression model


H0: sigma(i)^2 = sigma^2 for all i


chi2 (27) = 456.55

Prob>chi2 = 0.0000

. xtcsd, pesaran abs

Pesaran's test of cross sectional independence = -1.186, Pr = 1.7644 Average absolute value of the off-diagonal elements = 0.417

. . xtserial ROE CAR TCR DLR LTA NPL DIV SIZE INT GDP CPI

Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation

F( 1, 26) = 13.971

Prob > F = 0.0009


. xtgls ROE CAR TCR DLR LTA NPL DIV SIZE INT GDP CPI, panels (hetero) Cross-sectional time-series FGLS regression

Coefficients: generalized least squares Panels: heteroskedastic Correlation: no autocorrelation


Estimated covariances =

27

Number of obs =

205

Estimated autocorrelations =

0

Number of groups =

27

Estimated coefficients =

11

Obs per group:




min =

5



avg =

7.592593



max =

8



Wald chi2(10) =

978.20



Prob > chi2 =

0.0000


------------------------------------------------------------------------------

ROE | Coef. Std. Err. z P>|z| [95% Conf. Interval]

-------------+----------------------------------------------------------------

CAR

|

-.0911544

.0546085

-1.67

0.095

-.1981851

.0158762

TCR

|

-.3366373

.0191505

-17.58

0.000

-.3741716

-.299103

DLR

|

-.017934

.0072959

-2.46

0.014

-.0322336

-.0036343

LTA

|

-.0330142

.0183708

-1.80

0.072

-.0690203

.002992

NPL

|

-.5222978

.099723

-5.24

0.000

-.7177512

-.3268443

DIV

|

-.0821569

.0253602

-3.24

0.001

-.131862

-.0324517

SIZE

|

.0550035

.0052169

10.54

0.000

.0447786

.0652285

INT

|

.3459179

.1393791

2.48

0.013

.0727399

.6190958

GDP

|

.6204357

.3572383

1.74

0.082

-.0797385

1.32061

CPI

|

.1388123

.0601206

2.31

0.021

.0209782

.2566465

_cons

|

-.5057165

.089175

-5.67

0.000

-.6804964

-.3309367

------------------------------------------------------------------------------


. xtreg NIM CAR TCR DLR LTA NPL DIV SIZE INT GDP CPI, fe


Fixed-effects (within) regression

Number of obs =

206

Group variable: Num

Number of groups =

27

R-sq:

within = 0.3954

Obs per group:

min =


5

between = 0.1882

avg =

7.6

overall = 0.2588

max =

8


F(10,169) =

11.05

corr(u_i, Xb) = -0.3128

Prob > F =

0.0000


------------------------------------------------------------------------------

NIM | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-------------+---------------------------------------------------------------- CAR | .1499023 .029199 5.13 0.000 .0922605 .2075441

TCR | .0220565

.0079149

2.79

0.006

.0064316

.0376814

DLR | -.007133

.0031666

-2.25

0.026

-.0133842

-.0008819

LTA | -.0056835

.0086687

-0.66

0.513

-.0227963

.0114294

NPL | -.0017525

.0431129

-0.04

0.968

-.0868617

.0833567

DIV | -.055622

.0126694

-4.39

0.000

-.0806325

-.0306114

SIZE | .0240933

.0057102

4.22

0.000

.0128209

.0353658

INT | .1698489

.0585859

2.90

0.004

.0541945

.2855033


GDP | .2030361

.1302595

1.56

0.121

-.0541093

.4601814

CPI | .0188528

.0215336

0.88

0.383

-.0236567

.0613622

_cons | -.3424781

.0875703

-3.91

0.000

-.5153506

-.1696057

-------------+----------------------------------------------------------------

sigma_u | .00927665

sigma_e | .0076134

rho | .59752912 (fraction of variance due to u_i)

------------------------------------------------------------------------------

F test that all u_i=0: F(26, 169) = 7.06 Prob > F = 0.0000


. estimate store fe


. xtreg NIM CAR TCR DLR LTA NPL DIV SIZE INT GDP CPI, re


Random-effects GLS regression

Number of obs =

206

Group variable: Num

Number of groups =

27

R-sq:

within = 0.3838

Obs per group:

min =


5

between = 0.3610

avg =

7.6

overall = 0.3716

max =

8


Wald chi2(10) =

119.90

corr(u_i, X) = 0 (assumed)

Prob > chi2 =

0.0000


------------------------------------------------------------------------------

NIM | Coef. Std. Err. z P>|z| [95% Conf. Interval]

-------------+----------------------------------------------------------------

CAR

|

.1328781

.0264869

5.02

0.000

.0809647

.1847914

TCR

|

.0204334

.0074853

2.73

0.006

.0057625

.0351043

DLR

|

-.0069718

.0030456

-2.29

0.022

-.012941

-.0010027

LTA

|

-.0002907

.0079951

-0.04

0.971

-.0159609

.0153794

NPL

|

.0016386

.0413305

0.04

0.968

-.0793676

.0826448

DIV

|

-.0613634

.0112324

-5.46

0.000

-.0833784

-.0393483

SIZE

|

.0150394

.0032479

4.63

0.000

.0086735

.0214052

INT

|

.1176539

.0503311

2.34

0.019

.0190069

.216301

GDP

|

.1732746

.1283363

1.35

0.177

-.0782599

.4248092

CPI

|

.0256264

.0214845

1.19

0.233

-.0164824

.0677352

_cons

|

-.2095789

.0517426

-4.05

0.000

-.3109925

-.1081653

-------------+----------------------------------------------------------------

sigma_u | .00681609

sigma_e | .0076134

rho | .44491233 (fraction of variance due to u_i)

------------------------------------------------------------------------------


. estimate store re


. hausman fe re


|


---- Coefficients ----

(b) (B)


(b-B)


sqrt(diag(V_b-V_B))

|

fe re

Difference

S.E.

-------------+----------------------------------------------------------------

CAR

|

.1499023

.1328781

.0170242

.0122893

TCR

|

.0220565

.0204334

.0016231

.0025723

DLR

|

-.007133

-.0069718

-.0001612

.0008671

LTA

|

-.0056835

-.0002907

-.0053927

.0033502

NPL

|

-.0017525

.0016386

-.0033911

.0122685

DIV

|

-.055622

-.0613634

.0057414

.0058606

SIZE

|

.0240933

.0150394

.009054

.0046965

INT

|

.1698489

.1176539

.052195

.0299848

GDP

|

.2030361

.1732746

.0297614

.0223009

CPI

|

.0188528

.0256264

-.0067737

.0014532

------------------------------------------------------------------------------

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(10) = (b-B)'[(V_b-V_B)^(-1)](b-B)

= 18.24

Prob>chi2 = 0.0511

(V_b-V_B is not positive definite)


. xttest0


Breusch and Pagan Lagrangian multiplier test for random effects NIM[Num,t] = Xb + u[Num] + e[Num,t]

Estimated results:

| Var sd = sqrt(Var)


NIM |

.0001649

.0128424

e |

.000058

.0076134


Test:

u |


Var(u) = 0

.0000465

.0068161

---------+-----------------------------



. xttest1


chibar2(01) = 115.75 Prob > chibar2 = 0.0000

Tests for the error component model: NIM[Num,t] = Xb + u[Num] + v[Num,t]

v[Num,t] = lambda v[Num,(t-1)] + e[Num,t]


Estimated results:

| Var sd = sqrt(Var)

---------+-----------------------------

NIM |

.0001649

.0128424

e |

.000058

.0076134

u |

.0000465

.00681609


Tests:

Random Effects, Two Sided:

ALM(Var(u)=0) = 38.60 Pr>chi2(1) = 0.0000


Random Effects, One Sided:

ALM(Var(u)=0) = 6.21 Pr>N(0,1) = 0.0000


Serial Correlation:

ALM(lambda=0) = 35.76 Pr>chi2(1) = 0.0000


Joint Test:

LM(Var(u)=0,lambda=0) = 151.51 Pr>chi2(2) = 0.0000


. xtcsd, pesaran abs

Pesaran's test of cross sectional independence = -1.421, Pr = 1.8446 Average absolute value of the off-diagonal elements = 0.401

. . xtserial NIM CAR TCR DLR LTA NPL DIV SIZE INT GDP CPI

Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation

F( 1, 26) = 19.115

Prob > F = 0.0002

. xtgls NIM CAR TCR DLR LTA NPL DIV SIZE INT GDP CPI, panels (hetero) Cross-sectional time-series FGLS regression

Coefficients: generalized least squares Panels: heteroskedastic Correlation: no autocorrelation


Estimated covariances =

27

Number of obs =

206

Estimated autocorrelations =

0

Number of groups =

27

Estimated coefficients =

11

Obs per group:




min =

5



avg =

7.62963



max =

8



Wald chi2(10) =

325.79



Prob > chi2 =

0.0000


------------------------------------------------------------------------------

NIM | Coef. Std. Err. z P>|z| [95% Conf. Interval]

-------------+----------------------------------------------------------------

CAR

|

.1264938

.0159407

7.94

0.000

.0952505

.157737

TCR

|

.0247379

.0046504

5.32

0.000

.0156234

.0338525

DLR

|

-.0049135

.0019832

-2.48

0.013

-.0088005

-.0010266

LTA

|

.0117951

.0054906

2.15

0.032

.0010337

.0225565

NPL

|

-.0818883

.0323834

-2.53

0.011

-.1453587

-.0184179

DIV

|

-.0552916

.0072663

-7.61

0.000

-.0695333

-.0410499

SIZE

|

.0101411

.0014898

6.81

0.000

.0072211

.013061

INT

|

.125583

.0399166

3.15

0.002

.0473478

.2038182

GDP

|

.1178304

.1007706

1.17

0.242

-.0796764

.3153372

CPI

|

.0352536

.0179119

1.97

0.049

.0001469

.0703603

_cons

|

-.149372

.02672

-5.59

0.000

-.2017422

-.0970018

------------------------------------------------------------------------------

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