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roe

Coef.

Std. Err.


z P>|z|


[95% Conf.

Interval]

size

2.480453

.7195176


3.45 0.001


1.070224

3.890681

cap

-.3048092

.1529991


-1.99 0.046


-.6046818

-.0049365

nita

393.9068

86.72734


4.54 0.000


223.9243

563.8892

loanta

9.226706

3.934908


2.34 0.019


1.514429

16.93898

gdp

204.9381

61.43107


3.34 0.001


84.53545

325.3408

irs

17.70626

134.4111


0.13 0.895


-245.7347

281.1472

irs2

388.3483

570.098


0.68 0.496


-729.0231

1505.72

irl

59.48934

69.84238


0.85 0.394


-77.3992

196.3779

_cons

-96.94082

25.52263


-3.80 0.000


-146.9642

-46.91739

sigma_u

2.4672897







sigma_e

3.3770566







rho

.34801671

(fraction

of

variance due

to

u_i)


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Các yếu tố ảnh hưởng đến khả năng sinh lời và chấp nhận rủi ro tại các ngân hàng thương mại cổ phần Việt Nam - 11



.

. xttest0


Breusch and Pagan Lagrangian multiplier test for random effects


roe[id,t] = Xb + u[id] + e[id,t]


Estimated results:

Var sd = sqrt(Var)


roe 37.13245 6.09364

e 11.40451 3.377057

u 6.087519 2.46729


Test: Var(u) = 0

chibar2(01) = 41.96

Prob > chibar2 = 0.0000


Random-effects GLS regression

Number of obs

=

158

Group variable: id

Number of groups

=

20

R-sq: within

=

0.2032

Obs

per

group:

min

=

6

between

=

0.1705




avg

=

7.9

overall

=

0.1959




max

=

8




Wald chi2(8)

=

37.06

corr(u_i, X)

=

0 (assumed)

Prob > chi2

=

0.0000


pcl

Coef.

Std. Err.


z P>|z|


[95% Conf.

Interval]

size

-.0025016

.0018507


-1.35 0.176


-.0061288

.0011257

cap

.0001782

.0004833


0.37 0.712


-.000769

.0011254

nita

.4670553

.2750876


1.70 0.090


-.0721065

1.006217

loanta

-.0056733

.0111674


-0.51 0.611


-.0275611

.0162145

gdp

-.9175797

.2080545


-4.41 0.000


-1.325359

-.5098002

irs

.0632847

.4621561


0.14 0.891


-.8425247

.969094

irs2

-.6944616

1.955057


-0.36 0.722


-4.526302

3.137379

irl

-.0115757

.235201


-0.05 0.961


-.4725612

.4494098

_cons

.1593493

.0661951


2.41 0.016


.0296093

.2890892

sigma_u

.00428983







sigma_e

.01187155







rho

.11549568

(fraction

of

variance due

to

u_i)



.

. xttest0


Breusch and Pagan Lagrangian multiplier test for random effects


pcl[id,t] = Xb + u[id] + e[id,t]


Estimated results:

Var sd = sqrt(Var)


pcl .0001849 .0135977

e .0001409 .0118715

u .0000184 .0042898


Test: Var(u) = 0

chibar2(01) = 3.90

Prob > chibar2 = 0.0241

Phụ lục 6: Kiểm định FEM REM

Coefficients


(b) fe1

(B)

re1

(b-B)

Difference

sqrt(diag(V_b-V_B)) S.E.

size

.841085

.1758769

.6652082

.2990447

cap

.1318238

.1189482

.0128757

.0114567

nita

-3.510473

.2310588

-3.741532

5.550642

loanta

5.754727

4.605336

1.149391

.5647462

gdp

-30.56994

-36.89143

6.321485

2.623754

irs

-15.41317

-7.89864

-7.514531

.

irs2

110.6579

106.0221

4.635717

.

irl

19.70127

-.4102359

20.11151

7.958302

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

= 7.25

Prob>chi2 = 0.5098

(V_b-V_B is not positive definite)



Coefficients


(b) fe2

(B)

re2

(b-B)

Difference

sqrt(diag(V_b-V_B)) S.E.

size

1.929417

1.760836

.1685809

.3761564

cap

.1910795

.1914495

-.00037

.0159231

nita

94.52009

92.06687

2.45322

7.957399

loanta

.1911197

.4856155

-.2944959

.7140851

gdp

5.06578

2.928612

2.137168

4.595967

irs

10.97826

9.462939

1.515322

6.657518

irs2

48.59718

60.12931

-11.53213

24.63922

irl

-27.51587

-29.79423

2.278364

10.59243

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

= 1.12

Prob>chi2 = 0.9974



Coefficients


(b) fe3

(B)

re3

(b-B)

Difference

sqrt(diag(V_b-V_B)) S.E.

size

.6520611

.176779

.4752821

.1211624

cap

.0554063

.0475117

.0078946

.0036049

nita

38.12664

35.39277

2.733876

1.521841

loanta

1.387442

.9907363

.3967058

.223831

gdp

18.36785

13.56155

4.806297

.

irs

-4.946654

-1.767719

-3.178935

.

irs2

47.05503

51.1495

-4.094466

.

irl

17.47954

5.096069

12.38347

2.877174

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

= 20.83

Prob>chi2 = 0.0076

(V_b-V_B is not positive definite)

Coefficients


(b) fe4

(B)

re4

(b-B)

Difference

sqrt(diag(V_b-V_B)) S.E.

size

6.929966

2.480453

4.449513

1.363156

cap

-.2385228

-.3048092

.0662864

.0462897

nita

413.4238

393.9068

19.51701

21.32154

loanta

11.59051

9.226706

2.363801

2.577889

gdp

251.8214

204.9381

46.88325

.

irs

-3.028304

17.70626

-20.73456

.

irs2

313.901

388.3483

-74.44737

.

irl

168.3233

59.48934

108.8339

33.8575

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

= 16.61

Prob>chi2 = 0.0344

(V_b-V_B is not positive definite)


Coefficients


(b) fe5

(B)

re5

(b-B)

Difference

sqrt(diag(V_b-V_B)) S.E.

size

.000969

-.0025016

.0034706

.0051107

cap

.000697

.0001782

.0005188

.0002874

nita

.4586366

.4670553

-.0084187

.1541988

loanta

-.0119909

-.0056733

-.0063176

.0123056

gdp

-.8576864

-.9175797

.0598932

.0591771

irs

.0918362

.0632847

.0285515

.0965014

irs2

-.8669959

-.6944616

-.1725343

.3551461

irl

.0029198

-.0115757

.0144955

.1453904

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

= 3.62

Prob>chi2 = 0.8897


Phụ lục 7: Kiểm định phương sai thay đổi


Fixed-effects (within) regression

Number of obs

=

160

Group variable: id

Number of groups

=

20

R-sq: within

=

0.3723

Obs

per

group:

min

=

8

between

=

0.0827




avg

=

8.0

overall

=

0.1495




max

=

8




F(8,132)

=

9.78

corr(u_i, Xb)

=

-0.6358

Prob > F

=

0.0000


nim

Coef.

Std. Err.


t P>|t|


[95% Conf.

Interval]

size

.841085

.3417197


2.46 0.015


.1651297

1.51704

cap

.1318238

.0354376

3.72 0.000

.0617248

.2019228

nita

-3.510473

19.79954

-0.18 0.860

-42.67592

35.65497

loanta

5.754727

1.042886

5.52 0.000

3.691794

7.817659

gdp

-30.56994

13.61452

-2.25 0.026

-57.50081

-3.639071

irs

-15.41317

29.15961

-0.53 0.598

-73.09375

42.26741

irs2

110.6579

123.1538

0.90 0.371

-132.9525

354.2682

irl

19.70127

17.20715

1.14 0.254

-14.33616

53.73871

_cons

-28.00932

12.09922

-2.31 0.022

-51.94278

-4.075869

sigma_u

1.0528656







sigma_e

.7486767






rho

.66416868

(fraction

of

variance due

to

u_i)

F test that all u_i=0: F(19, 132) = 5.65 Prob > F = 0.0000


.

. xttest3


Modified Wald test for groupwise heteroskedasticity in fixed effect regression model


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

chi2 (20) = 531.15

Prob>chi2 = 0.0000


Fixed-effects (within) regression

Number

of

obs

=

160

Group variable: id

Number

of

groups

=

20

R-sq: within

=

0.4647

Obs

per

group:

min

=

8

between

=

0.7693




avg

=

8.0

overall

=

0.6718




max

=

8




F(8,132)

=

14.33

corr(u_i, Xb)

=

-0.2043

Prob > F

=

0.0000


profit

Coef.

Std. Err.


t P>|t|


[95% Conf.

Interval]

size

1.929417

.4344507


4.44 0.000


1.070031

2.788804

cap

.1910795

.0450541


4.24 0.000


.1019581

.280201

nita

94.52009

25.17246


3.75 0.000


44.72648

144.3137

loanta

.1911197

1.32589


0.14 0.886


-2.431622

2.813861

gdp

5.06578

17.30904


0.29 0.770


-29.17321

39.30477

irs

10.97826

37.07253


0.30 0.768


-62.35486

84.31138

irs2

48.59718

156.5735


0.31 0.757


-261.1207

358.3151

irl

-27.51587

21.87658


-1.26 0.211


-70.7899

15.75816

_cons

-62.20841

15.38254


-4.04 0.000


-92.63658

-31.78023

sigma_u

.88152799







sigma_e

.95184193







rho

.46170404

(fraction

of

variance due

to

u_i)


F test that all u_i=0: F(19, 132) = 6.20 Prob > F = 0.0000


.

. xttest3


Modified Wald test for groupwise heteroskedasticity in fixed effect regression model


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

chi2 (20) = 1710.05

Prob>chi2 = 0.0000

.



Fixed-effects (within) regression

Number of obs

=

160

Group variable: id

Number of groups

=

20

R-sq: within

=

0.5733

Obs

per

group:

min

=

8

between

=

0.1550




avg

=

8.0

overall

=

0.2242




max

=

8




F(8,132)

=

22.17

corr(u_i, Xb)

=

-0.8051

Prob > F

=

0.0000


roa

Coef.

Std. Err.


t P>|t|


[95% Conf.

Interval]

size

.6520611

.1374507


4.74 0.000


.3801701

.9239521

cap

.0554063

.0142541


3.89 0.000


.0272103

.0836024

nita

38.12664

7.964012


4.79 0.000


22.37304

53.88025

loanta

1.387442

.4194825


3.31 0.001


.5576642

2.21722

gdp

18.36785

5.476199


3.35 0.001


7.535385

29.20031

irs

-4.946654

11.72893


-0.42 0.674


-28.14764

18.25433

irs2

47.05503

49.53642


0.95 0.344


-50.9329

145.043

irl

17.47954

6.921268


2.53 0.013


3.78859

31.1705

_cons

-24.34704

4.866696


-5.00 0.000


-33.97385

-14.72023

sigma_u

.61913187







sigma_e

.30114187







rho

.80868274

(fraction

of

variance due

to

u_i)


F test that all u_i=0: F(19, 132) = 5.34 Prob > F = 0.0000


.

. xttest3


Modified Wald test for groupwise heteroskedasticity in fixed effect regression model


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

chi2 (20) = 448.28

Prob>chi2 = 0.0000


Fixed-effects (within) regression

Number

of obs

=

160

Group variable: id

Number

of groups

=

20

R-sq: within

=

0.5205

Obs

per

group:

min

=

8

between

=

0.5968




avg

=

8.0

overall

=

0.4639




max

=

8




F(8,132)

=

17.91

corr(u_i, Xb)

=

-0.8333

Prob > F

=

0.0000


roe

Coef.

Std. Err.


t P>|t|


[95% Conf.

Interval]

size

6.929966

1.541395


4.50 0.000


3.880933

9.978998

cap

-.2385228

.1598482


-1.49 0.138


-.5547184

.0776728

nita

413.4238

89.3098


4.63 0.000


236.7602

590.0874

loanta

11.59051

4.704149


2.46 0.015


2.285237

20.89578

gdp

251.8214

61.41104


4.10 0.000


130.3443

373.2985

irs

-3.028304

131.5303


-0.02 0.982


-263.2082

257.1515

irs2

313.901

555.5099


0.57 0.573


-784.9525

1412.754

irl

168.3233

77.61629


2.17 0.032


14.79059

321.856

_cons

-253.0889

54.57597


-4.64 0.000


-361.0455

-145.1322

sigma_u

5.9771846







sigma_e

3.3770566







rho

.75802653

(fraction

of

variance due

to

u_i)


F test that all u_i=0: F(19, 132) = 5.28 Prob > F = 0.0000


.

. xttest3


Modified Wald test for groupwise heteroskedasticity in fixed effect regression model


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

chi2 (20) = 365.11

Prob>chi2 = 0.0000


Fixed-effects (within) regression

Number of obs

=

158

Group variable: id

Number of groups

=

20

R-sq: within

=

0.2094

Obs

per

group:

min

=

6

between

=

0.0017




avg

=

7.9

overall

=

0.1521




max

=

8




F(8,130)

=

4.30

corr(u_i, Xb)

=

-0.0973

Prob > F

=

0.0001


pcl

Coef.

Std. Err.


t P>|t|


[95% Conf.

Interval]

size

.000969

.0054355


0.18 0.859


-.0097845

.0117225

cap

.000697

.0005623


1.24 0.217


-.0004154

.0018094

nita

.4586366

.3153577


1.45 0.148


-.1652608

1.082534

loanta

-.0119909

.0166174


-0.72 0.472


-.0448665

.0208847

gdp

-.8576864

.2163068


-3.97 0.000


-1.285624

-.4297493

irs

.0918362

.4721237


0.19 0.846


-.8422041

1.025876

irs2

-.8669959

1.987052


-0.44 0.663


-4.798141

3.064149

irl

.0029198

.2765102


0.01 0.992


-.5441226

.5499622

_cons

.0398636

.192382


0.21 0.836


-.3407411

.4204683

sigma_u

.00646512







sigma_e

.01187155







rho

.22873881

(fraction

of

variance due

to

u_i)


F test that all u_i=0: F(19, 130) = 1.85 Prob > F = 0.0239


.

. xttest3


Modified Wald test for groupwise heteroskedasticity in fixed effect regression model


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

chi2 (20) = 1150.44

Prob>chi2 = 0.0000

Phụ lục 8: Kiểm định tự tương quan


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

F( 1, 19) = 10.844

Prob > F = 0.0038


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

F( 1, 19) = 15.061

Prob > F = 0.0010



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

F( 1, 19) = 14.235

Prob > F = 0.0013


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

F( 1, 19) = 19.353

Prob > F = 0.0003


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

F( 1, 19) = 13.752

Prob > F = 0.0015

Phụ lục 9: Hồi quy

Dynamic panel-data estimation, two-step system GMM


Group variable: id

Number of obs

=

140

Time variable : year

Number of groups

=

20

Number of instruments = 23

Obs per group: min

=

7

Wald chi2(8) = 160.21

avg

=

7.00

Prob > chi2 = 0.000

max

=

7


nim

Coef.

Std. Err.

z

P>|z|

[95% Conf.

Interval]

size

1.151263

.5817128

1.98

0.048

.0111266

2.291399

cap

.5510697

.1605867

3.43

0.001

.2363256

.8658138

nita

47.19349

43.96973

1.07

0.283

-38.9856

133.3726

loanta

7.86231

2.970651

2.65

0.008

2.03994

13.68468

gdp

51.15637

43.42453

1.18

0.239

-33.95415

136.2669

irs

99.70543

54.59344

1.83

0.068

-7.295737

206.7066

irs2

-641.7228

290.306

-2.21

0.027

-1210.712

-72.7334

irl

-3.724802

26.88723

-0.14

0.890

-56.42281

48.9732

_cons

-49.98508

21.76623

-2.30

0.022

-92.6461

-7.324062

Warning: Uncorrected two-step standard errors are unreliable.


Instruments for first differences equation Standard

D.L.nita

Instruments for levels equation Standard

L.nita

_cons

GMM-type (missing=0, separate instruments for each period unless collapsed) DL(1/6).nita

Arellano-Bond test for AR(1) in first differences: z = 2.17 Pr > z = 0.030 Arellano-Bond test for AR(2) in first differences: z = -0.93 Pr > z = 0.352

Sargan test of overid. restrictions: chi2(14) = 24.14 Prob > chi2 = 0.044 (Not robust, but not weakened by many instruments.)

Hansen test of overid. restrictions: chi2(14) = 9.53 Prob > chi2 = 0.796 (Robust, but weakened by many instruments.)


Difference-in-Hansen tests of exogeneity of instrument subsets: iv(L.nita)

Hansen test excluding group: chi2(13) = 9.65 Prob > chi2 = 0.722 Difference (null H = exogenous): chi2(1) = -0.12 Prob > chi2 = 1.000


. xtabond2 profit size cap nita loanta gdp irs irs2 irl, gmm(nita, lag(1 .) eq( Favoring space over speed. To switch, type or click on mata: mata set matafavor sp Warning: Number of instruments may be large relative to number of observations.


Dynamic panel-data estimation, one-step system GMM



Group variable: id


Number of obs


=


140

Time variable : year

Number of groups

=

20

Number of instruments = 36

Obs per group: min

=

7

Wald chi2(8) = 217.03

avg

=

7.00

Prob > chi2 = 0.000

max

=

7


profit

Coef.

Std. Err.

z

P>|z|

[95% Conf.

Interval]

size

1.444957

.2746737

5.26

0.000

.9066068

1.983308

cap

.2339403

.1109699

2.11

0.035

.0164432

.4514374

nita

97.19079

30.99037

3.14

0.002

36.45078

157.9308

loanta

6.71707

2.294838

2.93

0.003

2.21927

11.21487

gdp

-101.9064

57.30536

-1.78

0.075

-214.2228

10.41003

irs

-102.0581

61.04066

-1.67

0.095

-221.6956

17.5794

irs2

650.4078

298.0186

2.18

0.029

66.3021

1234.513

irl

-22.25409

24.35524

-0.91

0.361

-69.98948

25.4813

_cons

-40.08697

9.538681

-4.20

0.000

-58.78245

-21.3915

Instruments for orthogonal deviations equation Standard

FOD.L.nita

GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/7).nita

Instruments for levels equation Standard

L.nita

_cons

GMM-type (missing=0, separate instruments for each period unless collapsed) D.nita

Arellano-Bond test for AR(1) in first differences: z = -0.21 Pr > z = 0.835 Arellano-Bond test for AR(2) in first differences: z = -0.20 Pr > z = 0.842

Sargan test of overid. restrictions: chi2(27) = 32.19 Prob > chi2 = 0.225 (Not robust, but not weakened by many instruments.)


Difference-in-Sargan tests of exogeneity of instrument subsets: GMM instruments for levels

Sargan test excluding group: chi2(20) = 10.23 Prob > chi2 = 0.964 Difference (null H = exogenous): chi2(7) = 21.97 Prob > chi2 = 0.003

iv(L.nita)

Sargan test excluding group: chi2(26) = 31.57 Prob > chi2 = 0.208 Difference (null H = exogenous): chi2(1) = 0.62 Prob > chi2 = 0.431

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