_cons | .1238627 .0471066 2.63 0.009 .0315354 .2161899
-------------+----------------------------------------------------------------
sigma_u | .00347763
sigma_e | .00693144
rho | .20110041 (fraction of variance due to u_i)
------------------------------------------------------------------------------
. xtreg NPL RGDP INF MCGDP RI ESI EXI SIZE ETA LG LDR ROA IIR,fe
Fixed-effects (within) regression Number of obs = 217 Group variable: Name Number of groups = 32
R-sq: within = 0.5731 Obs per group: min = 3
avg = | 6.8 | |
overall = 0.6935 | max = | 7 |
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Tỷ Lệ Dư Nợ Trên Vốn Huy Động Trung Bình Của Các Nhtmcp Việt Nam Giai Đoạn 2012-2018 -
Các yếu tố ảnh hưởng đến rủi ro tín dụng của các ngân hàng thương mại cổ phần tại Việt Nam - 11 -
Các yếu tố ảnh hưởng đến rủi ro tín dụng của các ngân hàng thương mại cổ phần tại Việt Nam - 12
Xem toàn bộ 108 trang tài liệu này.
F(12,173) = 19.35
corr(u_i, Xb) = 0.4379 Prob > F = 0.0000
------------------------------------------------------------------------------
NPL | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
RGDP | -.0058978 .0031846 -1.85 0.066 -.0121836 .0003879
INF | -.0073044 .0044401 -1.65 0.102 -.0160682 .0014594
MCGDP | -.002103 .0043261 -0.49 0.627 -.0106416 .0064357
.0014094 | -1.82 | 0.071 | -.0053441 | .0002196 | |
ESI | -.0008103 | .0003651 | -2.22 | 0.028 | -.0015309 | -.0000896 |
EXI | .0004773 | .0010926 | 0.44 | 0.663 | -.0016793 | .002634 |
SIZE | -.0010855 | .0007302 | -1.49 | 0.139 | -.0025267 | .0003557 |
ETA | .0440505 .0256313 1.72 0.087 -.0065399 .0946408
LG | .011828 .0024608 4.81 0.000 .006971 .0166851
LDR | -.0126432 .0050398 -2.51 0.013 -.0225906 -.0026959
ROA | -.0144213 .0022355 -6.45 0.000 -.0188337 -.010009
IIR | -.0681888 .0509981 -1.34 0.183 -.1688473 .0324697
_cons | .1237848 .0457464 2.71 0.007 .0334917 .2140778
-------------+----------------------------------------------------------------
sigma_u | .00596812
sigma_e | .00693144
rho | .42573579 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(31, 173) = 3.56 Prob > F = 0.0000
. est hausman fe
estimates: unknown subcommand "hausman" r(198);
. est store fe
. xtreg LLP RGDP INF MCGDP RI ESI EXI SIZE ETA LG LDR ROA IIR,re
Random-effects GLS regression Number of obs = 217 Group variable: Name Number of groups = 32
R-sq: within = 0.5984 Obs per group: min = 3
avg = | 6.8 | |
overall = 0.7300 | max = | 7 |
Wald chi2(12) = 409.11
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
------------------------------------------------------------------------------
LLP | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
RGDP | -.0016346 .0011192 -1.46 0.144 -.0038282 .0005591
INF | -.0019284 .0015648 -1.23 0.218 -.0049953 .0011385
MCGDP | -.0005948 .0015299 -0.39 0.697 -.0035932 .0024037
.0004904 | -1.55 | 0.122 | -.0017206 | .0002019 | |
ESI | -.0002418 | .0001291 | -1.87 | 0.061 | -.0004948 | .0000112 |
EXI | .000342 | .0003877 | 0.88 | 0.378 | -.0004178 | .0011019 |
SIZE | -.0007023 | .0002493 | -2.82 | 0.005 | -.001191 | -.0002136 |
ETA | .0272888 | .0065962 | 4.14 | 0.000 | .0143605 | .0402171 |
LG | .0048308 .00084 5.75 0.000 .0031845 .0064772
LDR | -.0040211 .001441 -2.79 0.005 -.0068454 -.0011968
ROA | -.0066267 .0007028 -9.43 0.000 -.008004 -.0052493
IIR | -.043192 .014481 -2.98 0.003 -.0715743 -.0148098
_cons | .0452613 .0161946 2.79 0.005 .0135205 .077002
-------------+----------------------------------------------------------------
sigma_u | .00125069
sigma_e | .00238484
rho | .21570574 (fraction of variance due to u_i)
------------------------------------------------------------------------------
Phụ lục 5: Kết quả kiểm định Modified Wald
. xttest3
Modified Wald test for groupwise heteroskedasticity in fixed effect regression model
H0: sigma(i)^2 = sigma^2 for all i
chi2 (32) = 7880.47
Prob>chi2 = 0.0000
Phụ lục 6: Kết quả kiểm định LM. (Breusch-Pagan Lagrange Multiplier)
. xttest0
Breusch and Pagan Lagrangian multiplier test for random effects
LLP[Name,t] = Xb + u[Name] + e[Name,t]
Estimated results:
| Var sd = sqrt(Var)
---------+----------------------------- LLP | .0000278 .0052726 e | 5.69e-06 .0023848
u | 1.56e-06 .0012507
Test: Var(u) = 0
chibar2(01) = 27.23 Prob > chibar2 = 0.0000
Phụ lục 7: Kết quả kiểm định Hausman
. hausman fe re
---- Coefficients ----
| (b) (B) (b-B) sqrt(diag(V_b-V_B))
| fe re Difference S.E.
-------------+---------------------------------------------------------------- RGDP | -.0018912 -.0016346 -.0002567 .
INF | -.0023465 -.0019284 -.000418 .
MCGDP | -.0002762 -.0005948 .0003186 .
RI | -.0008835 -.0007594 -.0001241 .
ESI | -.0002745 -.0002418 -.0000327 .
EXI | .0003056 .000342 -.0000364 .
SIZE | -.0006326 -.0007023 .0000697 .0000307
ETA | .0170705 .0272888 -.0102183 .0058532
LG | .0040064 .0048308 -.0008244 .000106
LDR | -.0042279 -.0040211 -.0002068 .0009645
ROA | -.0057476 -.0066267 .000879 .0003126
IIR | -.0258583 -.043192 .0173337 .0099085
------------------------------------------------------------------------------
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(12) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 4.81
Prob>chi2 = 0.9639
(V_b-V_B is not positive definite)
Phụ lục 8: Kết quả ước lượng mô hình FEM, REM với sai số chuẩn mạnh
. xtreg NPL RGDP INF MCGDP RI ESI EXI SIZE ETA LG LDR ROA IIR,robust fe
Fixed-effects (within) regression Number of obs = 217 Group variable: Name Number of groups = 32
R-sq: within = 0.5731 Obs per group: min = 3
avg = | 6.8 | |
overall = 0.6935 | max = | 7 |
F(12,31) = 15.08
corr(u_i, Xb) = 0.4379 Prob > F = 0.0000
(Std. Err. adjusted for 32 clusters in Name)
------------------------------------------------------------------------------
| Robust
NPL | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
RGDP | -.0058978 .0025524 -2.31 0.028 -.0111036 -.0006921
INF | -.0073044 .0038441 -1.90 0.067 -.0151444 .0005356
MCGDP | -.002103 .0034243 -0.61 0.544 -.0090868 .0048809
-1.70 | 0.098 | -.0056282 | .0005037 | |
ESI | -.0008103 .0003461 | -2.34 | 0.026 | -.0015162 | -.0001043 |
EXI | .0004773 .0009352 | 0.51 | 0.613 | -.0014301 | .0023847 |
SIZE | -.0010855 .0008724 | -1.24 | 0.223 | -.0028647 | .0006937 |
ETA | .0440505 .0223172 | 1.97 | 0.057 | -.0014658 | .0895667 |
LG | .011828 .0053995 | 2.19 | 0.036 | .0008157 | .0228404 |
LDR | -.0126432 .0063015 | -2.01 0.054 | -.0254952 .0002087 | ||
ROA | -.0144213 .0030893 | -4.67 0.000 | -.0207221 -.0081206 | ||
IIR | -.0681888 .0515941 -1.32 0.196 -.1734157 .0370381
_cons | .1237848 .0384771 3.22 0.003 .0453102 .2022593
-------------+----------------------------------------------------------------
sigma_u | .00596812
sigma_e | .00693144
rho | .42573579 (fraction of variance due to u_i)
-------------+----------------------------------------------------------------
. xtreg LLP RGDP INF MCGDP RI ESI EXI SIZE ETA LG LDR ROA IIR,robust re
Random-effects GLS regression Number of obs = 217 Group variable: Name Number of groups = 32
R-sq: within = 0.5984 Obs per group: min = 3
avg = | 6.8 | |
overall = 0.7300 | max = | 7 |
Wald chi2(12) = 196.21
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
(Std. Err. adjusted for 32 clusters in Name)
------------------------------------------------------------------------------
| Robust
LLP | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
RGDP | -.0016346 .0009699 -1.69 0.092 -.0035355 .0002664
INF | -.0019284 .0014148 -1.36 0.173 -.0047013 .0008445
MCGDP | -.0005948 .0010924 -0.54 0.586 -.0027357 .0015462
RI | -.0007594 .0004686 -1.62 0.105 -.0016779 .0001592
-2.25 0.025 -.0004526 -.0000311 | ||
EXI | .000342 | .00033 | 1.04 0.300 -.0003048 .0009889 |
SIZE | -.0007023 | .0003734 | -1.88 0.060 -.0014343 .0000296 |
ETA | .0272888 | .0067775 | 4.03 0.000 .0140051 .0405726 |
LG | .0048308 | .001967 | 2.46 0.014 .0009756 .0086861 |
LDR | -.0040211 | .0020154 | -2.00 0.046 -.0079712 -.000071 |
ROA | -.0066267 | .0010406 | -6.37 0.000 -.0086663 -.004587 |
ESI | -.0002418
IIR | -.043192 .0153111 -2.82 0.005 -.0732013 -.0131828
_cons | .0452613 .0140325 3.23 0.001 .017758 .0727645
-------------+----------------------------------------------------------------
sigma_u | .00125069
sigma_e | .00238484
rho | .21570574 (fraction of variance due to u_i)
-------------+----------------------------------------------------------------