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 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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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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Ngày đăng: 09/12/2023