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Các yếu tố ảnh hưởng đến thanh khoản của các ngân hàng thương mại cổ phần Việt Nam - 10


Mô hình Pooled và mô hình FEM



Fixed-effects (within) regression


Number of obs =


160

Group variable: stt

Number of groups =

20

R-sq: within = 0.9436

Obs per group: min =

8

between = 0.8974

avg =

8.0

overall = 0.9067

max =

8


F(7,133) =

317.67

corr(u_i, Xb) = -0.4741

Prob > F =

0.0000

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Các yếu tố ảnh hưởng đến thanh khoản của các ngân hàng thương mại cổ phần Việt Nam - 10


liq

Coef.

Std. Err.


t P>|t|


[95% Conf.

Interval]

llr

-.0637266

.1869031


-0.34 0.734


-.4334137

.3059605

size

2.164963

.7032338


3.08 0.003


.7739939

3.555932

ldr

.7989638

.0214917


37.18 0.000


.7564542

.8414735

cap

-.3346026

.1058841


-3.16 0.002


-.5440373

-.125168

roa

-.208649

.5355128


-0.39 0.697


-1.267872

.8505745

inf

-.2022211

.0476316


-4.25 0.000


-.2964345

-.1080077

gdp

-.029855

.3334755


-0.09 0.929


-.6894565

.6297466

_cons

-62.2695

23.28494


-2.67 0.008


-108.3262

-16.21279

sigma_u

3.8505437







sigma_e

2.0919242







rho

.77210932

(fraction

of

variance due

to

u_i)



F test that all u_i=0: F(19, 133) = 5.51 Prob > F = 0.0000


.



Mô hình Pooled và mô hình REM



Random-effects GLS regression


Number of obs =


160

Group variable: stt

Number of groups =

20

R-sq: within = 0.9358

Obs per group: min =

8

between = 0.9714

avg =

8.0

overall = 0.9559

max =

8


Wald chi2(7) =

2562.58

corr(u_i, X) = 0 (assumed)

Prob > chi2 =

0.0000


liq

Coef.

Std. Err.


z P>|z|


[95% Conf.

Interval]

llr

-.147162

.185352


-0.79 0.427


-.5104453

.2161213

size

-.6517105

.4358801


-1.50 0.135


-1.50602

.2025989

ldr

.7830578

.0189564


41.31 0.000


.745904

.8202116

cap

-.466585

.1059283


-4.40 0.000


-.6742007

-.2589693

roa

.1897917

.5399621


0.35 0.725


-.8685147

1.248098

inf

-.3192243

.0449899


-7.10 0.000


-.4074029

-.2310457

gdp

.1766115

.3482895


0.51 0.612


-.5060233

.8592464

_cons

30.29753

14.83956


2.04 0.041


1.212528

59.38253

sigma_u

1.3392198







sigma_e

2.0919242







rho

.29069846

(fraction

of

variance due

to

u_i)



.

. xttest0


Breusch and Pagan Lagrangian multiplier test for random effects


liq[stt,t] = Xb + u[stt] + e[stt,t]


Estimated results:


Var sd = sqrt(Var

liq

157.0187

12.53071

e

4.376147

2.091924

u

1.79351

1.33922

)


Mô hình FEM và mô hình REM

Coefficients


(b) fe

(B)

re

(b-B)

Difference

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

llr

-.0637266

-.147162

.0834354

.024029

size

2.164963

-.6517105

2.816674

.5518571

ldr

.7989638

.7830578

.0159061

.0101266

cap

-.3346026

-.466585

.1319823

.

roa

-.208649

.1897917

-.3984406

.

inf

-.2022211

-.3192243

.1170032

.015642

gdp

-.029855

.1766115

-.2064665

.

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

= 16.58

Prob>chi2 = 0.0203

(V_b-V_B is not positive definite)


Fixed-effects (within) regression

Number of obs

=

160

Group variable: stt

Number of groups

=

20

R-sq: within

=

0.9436

Obs

per

group:

min

=

8

between

=

0.8974




avg

=

8.0

overall

=

0.9067




max

=

8




F(7,133)

=

317.67

corr(u_i, Xb)

=

-0.4741

Prob > F

=

0.0000



liq

Coef.

Std. Err.


t P>|t|


[95% Conf.

Interval]

llr

-.0637266

.1869031


-0.34 0.734


-.4334137

.3059605

size

2.164963

.7032338


3.08 0.003


.7739939

3.555932

ldr

.7989638

.0214917


37.18 0.000


.7564542

.8414735

cap

-.3346026

.1058841


-3.16 0.002


-.5440373

-.125168

roa

-.208649

.5355128


-0.39 0.697


-1.267872

.8505745

inf

-.2022211

.0476316


-4.25 0.000


-.2964345

-.1080077

gdp

-.029855

.3334755


-0.09 0.929


-.6894565

.6297466

_cons

-62.2695

23.28494


-2.67 0.008


-108.3262

-16.21279

sigma_u

3.8505437







sigma_e

2.0919242







rho

.77210932

(fraction

of

variance due

to

u_i)


F test that all u_i=0: F(19, 133) = 5.51 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) = 1113.38

Prob>chi2 = 0.0000

Phụ lục 6: Kiểm định tự tương quan của nhiễu


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

F( 1, 19) = 17.234

Prob > F = 0.0005


Source

SS

df

MS

Model

23925.9204

7

3417.98863

Residual

1040.04898

152

6.84242752

Total

24965.9694

159

157.018675

Number of obs

=

160

F( 7, 152)

=

499.53

Prob > F

=

0.0000

R-squared

=

0.9583

Adj R-squared

=

0.9564

Root MSE

=

2.6158


liq

Coef.

Std. Err.

t

P>|t|

[95% Conf.

Interval]

llr

-.3288658

.1848442

-1.78

0.077

-.6940614

.0363299

size

-1.330127

.3459204

-3.85

0.000

-2.01356

-.6466945

ldr

.7711189

.0161669

47.70

0.000

.7391781

.8030596

cap

-.5343982

.1076637

-4.96

0.000

-.7471088

-.3216876

roa

.7008307

.5349821

1.31

0.192

-.3561302

1.757792

inf

-.3746466

.0481105

-7.79

0.000

-.4696982

-.2795951

gdp

.1521229

.3942509

0.39

0.700

-.6267962

.931042

_cons

53.93969

12.16591

4.43

0.000

29.90357

77.9758


Fixed-effects (within) regression

Number of obs

=

160

Group variable: stt

Number of groups

=

20

R-sq: within

=

0.9436

Obs

per

group:

min

=

8

between

=

0.8974




avg

=

8.0

overall

=

0.9067




max

=

8




F(7,133)

=

317.67

corr(u_i, Xb)

=

-0.4741

Prob > F

=

0.0000



liq

Coef.

Std. Err.


t P>|t|


[95% Conf.

Interval]

llr

-.0637266

.1869031


-0.34 0.734


-.4334137

.3059605

size

2.164963

.7032338


3.08 0.003


.7739939

3.555932

ldr

.7989638

.0214917


37.18 0.000


.7564542

.8414735

cap

-.3346026

.1058841


-3.16 0.002


-.5440373

-.125168

roa

-.208649

.5355128


-0.39 0.697


-1.267872

.8505745

inf

-.2022211

.0476316


-4.25 0.000


-.2964345

-.1080077

gdp

-.029855

.3334755


-0.09 0.929


-.6894565

.6297466

_cons

-62.2695

23.28494


-2.67 0.008


-108.3262

-16.21279

sigma_u

3.8505437







sigma_e

2.0919242







rho

.77210932

(fraction

of

variance due

to

u_i)


F test that all u_i=0: F(19, 133) = 5.51 Prob > F = 0.0000


.


Random-effects GLS regression

Number of obs

=

160

Group variable: stt

Number of groups

=

20

R-sq: within

=

0.9358

Obs

per

group:

min

=

8

between

=

0.9714




avg

=

8.0

overall

=

0.9559




max

=

8




Wald chi2(7)

=

2562.58

corr(u_i, X)

=

0 (assumed)

Prob > chi2

=

0.0000


liq

Coef.

Std. Err.


z P>|z|


[95% Conf.

Interval]

llr

-.147162

.185352


-0.79 0.427


-.5104453

.2161213

size

-.6517105

.4358801


-1.50 0.135


-1.50602

.2025989

ldr

.7830578

.0189564


41.31 0.000


.745904

.8202116

cap

-.466585

.1059283


-4.40 0.000


-.6742007

-.2589693

roa

.1897917

.5399621


0.35 0.725


-.8685147

1.248098

inf

-.3192243

.0449899


-7.10 0.000


-.4074029

-.2310457

gdp

.1766115

.3482895


0.51 0.612


-.5060233

.8592464

_cons

30.29753

14.83956


2.04 0.041


1.212528

59.38253

sigma_u

1.3392198







sigma_e

2.0919242







rho

.29069846

(fraction

of

variance due

to

u_i)



Dynamic panel-data estimation, one-step system GMM


Group variable: stt

Number of obs

=

140

Time variable : nm

Number of groups

=

20

Number of instruments = 36

Obs per group: min

=

7

Wald chi2(7) = 894.73

avg

=

7.00

Prob > chi2 = 0.000

max

=

7



liq


Coef.

Robust Std. Err.


z


P>|z|


[95% Conf.


Interval]

llr

-.128746

.593368

-0.22

0.828

-1.291726

1.034234

size

-2.705092

1.20886

-2.24

0.025

-5.074415

-.3357701

ldr

.874899

.0429911

20.35

0.000

.790638

.95916

cap

-1.069733

.3255415

-3.29

0.001

-1.707782

-.431683

roa

.9381612

.7759511

1.21

0.227

-.5826749

2.458997

inf

-.2665436

.0745557

-3.58

0.000

-.41267

-.1204171

gdp

.3141882

.4958502

0.63

0.526

-.6576604

1.286037

_cons

95.03698

41.29835

2.30

0.021

14.09371

175.9803

Instruments for orthogonal deviations equation Standard

FOD.L.roa

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

Instruments for levels equation Standard

L.roa

_cons

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

Arellano-Bond test for AR(1) in first differences: z = -1.81 Pr > z = 0.070 Arellano-Bond test for AR(2) in first differences: z = 0.67 Pr > z = 0.503

Sargan test of overid. restrictions: chi2(28) = 40.84 Prob > chi2 = 0.055 (Not robust, but not weakened by many instruments.)

Hansen test of overid. restrictions: chi2(28) = 10.75 Prob > chi2 = 0.999 (Robust, but weakened by many instruments.)


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

Hansen test excluding group: chi2(21) = 9.06 Prob > chi2 = 0.989 Difference (null H = exogenous): chi2(7) = 1.69 Prob > chi2 = 0.975

iv(L.roa)

Hansen test excluding group: chi2(27) = 10.89 Prob > chi2 = 0.997 Difference (null H = exogenous): chi2(1) = -0.14 Prob > chi2 = 1.000

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