PHỤ LỤC 2
KẾT QUẢ TỪ PHẦN MỀM STATA 13
PHỤ LỤC 2.1: THỐNG KÊ MÔ TẢ CÁC BIẾN
mean | sd | min | p50 | max | N | |
nim | .0290582 | .0129076 | -.0205086 | .0281317 | .077488 | 272 |
plltl | .0090924 | .0078974 | -.0099182 | .0065124 | .0496472 | 272 |
liq | .0186142 | .0259446 | .0000597 | .0099211 | .1915832 | 272 |
eqta | .0966686 | .0699088 | .0224425 | .0746381 | .4438351 | 272 |
lern | .5057591 | .1831588 | -.9077377 | .5299601 | 1 | 272 |
eff | .0148716 | .0052332 | 0 | .0143491 | .0305522 | 272 |
teata | .8558666 | .0667316 | .5909949 | .8695208 | .9637032 | 272 |
cbrtea | .031314 | .0269839 | .0003381 | .0251877 | .2519484 | 272 |
size | 31.61036 | 1.350422 | 27.44139 | 31.71619 | 34.54539 | 272 |
loans | .5127853 | .1355838 | .1139039 | .5171331 | .8516832 | 272 |
gdpgr | .0608571 | .006166 | .0524737 | .0621 | .071295 | 272 |
inf | .0915807 | .0631958 | .0063061 | .0738579 | .2311632 | 272 |
tbill | 8.377604 | 2.51155 | 5.125 | 7.333333 | 13.33333 | 272 |
cr3 | 61.85472 | 26.2993 | 36.69261 | 49.57914 | 99.99817 | 272 |
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PHỤ LỤC 2.2: MA TRẬN TƯƠNG QUAN GIỮA CÁC BIẾN ĐỘC LẬP
nim | plltl | liq | eqta | lern | eff | teata | |
nim | 1.0000 | ||||||
plltl | 0.2335 | 1.0000 | |||||
0.0001 | |||||||
liq | 0.0391 | -0.1811 | 1.0000 | ||||
0.5205 | 0.0027 | ||||||
eqta | 0.2939 | -0.1900 | -0.0201 | 1.0000 | |||
0.0000 | 0.0016 | 0.7414 | |||||
lern | 0.3065 | 0.0606 | 0.1693 | 0.0467 | 1.0000 | ||
0.0000 | 0.3196 | 0.0051 | 0.4426 | ||||
eff | 0.6233 | 0.2825 | -0.0272 | 0.1550 | -0.3465 | 1.0000 | |
0.0000 | 0.0000 | 0.6547 | 0.0105 | 0.0000 | |||
teata | 0.2964 | 0.1310 | -0.2541 | -0.0818 | 0.3154 | 0.0676 | 1.0000 |
0.0000 | 0.0308 | 0.0000 | 0.1788 | 0.0000 | 0.2663 | ||
cbrtea | 0.0446 | -0.0436 | 0.0383 | -0.0813 | -0.0263 | 0.0053 | -0.1576 |
0.4643 | 0.4744 | 0.5296 | 0.1814 | 0.6662 | 0.9309 | 0.0092 | |
size | -0.1393 | 0.3266 | -0.1303 | -0.7310 | -0.0883 | 0.0290 | 0.0998 |
0.0216 | 0.0000 | 0.0317 | 0.0000 | 0.1465 | 0.6335 | 0.1005 | |
loans | 0.3039 | 0.0113 | 0.1420 | -0.0990 | 0.1281 | 0.2679 | 0.2350 |
0.0000 | 0.8527 | 0.0192 | 0.1032 | 0.0348 | 0.0000 | 0.0001 | |
gdpgr | -0.0963 | -0.0648 | 0.1025 | -0.0361 | 0.2821 | -0.3278 | 0.1558 |
0.1132 | 0.2866 | 0.0914 | 0.5534 | 0.0000 | 0.0000 | 0.0101 | |
inf | 0.1316 | -0.1412 | 0.1350 | 0.2187 | 0.0788 | 0.0257 | -0.1528 |
0.0300 | 0.0198 | 0.0260 | 0.0003 | 0.1953 | 0.6726 | 0.0116 | |
tbill | 0.1847 | -0.0146 | -0.0128 | 0.0849 | -0.1362 | 0.2112 | -0.2542 |
0.0022 | 0.8103 | 0.8332 | 0.1624 | 0.0247 | 0.0005 | 0.0000 | |
cr3 | -0.0957 | 0.2389 | -0.2472 | -0.2121 | -0.3561 | 0.1724 | 0.1057 |
0.1152 | 0.0001 | 0.0000 | 0.0004 | 0.0000 | 0.0044 | 0.0820 |
cbrtea | size | loans | gdpgr | inf | tbill | cr3 | |
cbrtea | 1.0000 | ||||||
size | 0.0340 | 1.0000 | |||||
0.5769 | |||||||
loans | 0.0232 | 0.0844 | 1.0000 | ||||
0.7035 | 0.1652 | ||||||
gdpgr | 0.0581 | -0.1506 | 0.0568 | 1.0000 | |||
0.3398 | 0.0129 | 0.3511 | |||||
inf | 0.0811 | -0.2240 | -0.1509 | -0.2016 | 1.0000 | ||
0.1826 | 0.0002 | 0.0127 | 0.0008 | ||||
tbill | 0.0273 | 0.0446 | -0.1909 | -0.4295 | 0.7732 | 1.0000 | |
0.6541 | 0.4643 | 0.0016 | 0.0000 | 0.0000 | |||
cr3 | -0.0596 | 0.3620 | 0.1257 | -0.0102 | -0.6804 | -0.5237 | 1.0000 |
0.3273 | 0.0000 | 0.0383 | 0.8674 | 0.0000 | 0.0000 |
PHỤ LỤC 3.3 KẾT QUẢ PHÂN TÍCH HỒI QUY
Dynamic panel-data estimation, two-step system GMM
Number of obs | = | 245 | |
Time variable : time | Number of groups | = | 27 |
Number of instruments = 37 | Obs per group: min | = | 6 |
Wald chi2(10) = 562.41 | avg | = | 9.07 |
Prob > chi2 = 0.000 | max | = | 10 |
Coef. | Std. Err. | z | P>|z| | [95% Conf. | Interval] | |
nim | ||||||
L1. | .1162242 | .0605774 | 1.92 | 0.055 | -.0025053 | .2349536 |
plltl | .068841 | .1438758 | 0.48 | 0.632 | -.2131503 | .3508323 |
liq | .0915388 | .0352381 | 2.60 | 0.009 | .0224734 | .1606042 |
eqta | .0633279 | .0233857 | 2.71 | 0.007 | .0174927 | .109163 |
lern | .038998 | .0057335 | 6.80 | 0.000 | .0277605 | .0502354 |
eff | 1.683979 | .2572714 | 6.55 | 0.000 | 1.179736 | 2.188221 |
teata | .0393909 | .0109033 | 3.61 | 0.000 | .0180207 | .060761 |
cbrtea | .1679377 | .0357565 | 4.70 | 0.000 | .0978563 | .2380191 |
size | .0044638 | .0015409 | 2.90 | 0.004 | .0014436 | .007484 |
loans | -.0443869 | .0090722 | -4.89 | 0.000 | -.062168 | -.0266058 |
_cons | -.184687 | .0539481 | -3.42 | 0.001 | -.2904233 | -.0789508 |
Warning: Uncorrected two-step standard errors are unreliable.
Instruments for first differences equation
GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/4).(nim plltl liq eqta lern eff teata cbrtea size) collapsed
Instruments for levels equation Standard
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed) DL.(nim plltl liq eqta lern eff teata cbrtea size) collapsed
AR(1) in | first differences: | z = | -2.20 | Pr > z | = | 0.028 | |
Arellano-Bond test for | AR(2) in | first differences: | z = | 1.11 | Pr > z | = | 0.265 |
Sargan test of overid. restrictions: chi2(26) = 24.48 Prob > chi2 = 0.548 (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(26) = 15.79 Prob > chi2 = 0.941 (Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels
= 17.67 Prob > | chi2 | = | 0.410 | |
Difference (null H = exogenous): chi2(9) | = -1.87 Prob > | chi2 | = | 1.000 |
= | 245 | ||
Time variable : time | Number of groups | = | 27 |
Number of instruments = 37 | Obs per group: min | = | 6 |
Wald chi2(11) = 551.19 | avg | = | 9.07 |
Prob > chi2 = 0.000 | max | = | 10 |
Group variable: id
Coef. | Std. Err. | z | P>|z| | [95% Conf. | Interval] | |
nim | ||||||
L1. | .1470063 | .106442 | 1.38 | 0.167 | -.0616162 | .3556288 |
plltl | -.0895941 | .120422 | -0.74 | 0.457 | -.3256169 | .1464286 |
liq | .1141734 | .0426488 | 2.68 | 0.007 | .0305834 | .1977634 |
eqta | .0137509 | .0295544 | 0.47 | 0.642 | -.0441747 | .0716765 |
lern | .0221353 | .0061345 | 3.61 | 0.000 | .010112 | .0341586 |
eff | 2.061306 | .326015 | 6.32 | 0.000 | 1.422328 | 2.700283 |
teata | .0134825 | .0078417 | 1.72 | 0.086 | -.0018869 | .028852 |
cbrtea | .0583342 | .0251596 | 2.32 | 0.020 | .0090222 | .1076462 |
size | .00248 | .0012235 | 2.03 | 0.043 | .000082 | .004878 |
loans | -.0341228 | .0064433 | -5.30 | 0.000 | -.0467515 | -.021494 |
gdpgr | .3017294 | .1206315 | 2.50 | 0.012 | .0652961 | .5381628 |
_cons | -.1121367 | .0335538 | -3.34 | 0.001 | -.177901 | -.0463724 |
Warning: Uncorrected two-step standard errors are unreliable.
Instruments for first differences equation
GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/4).(nim plltl liq eqta lern eff teata cbrtea size) collapsed
Instruments for levels equation Standard
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed) DL.(nim plltl liq eqta lern eff teata cbrtea size) collapsed
AR(1) in | first differences: | z = | -1.96 | Pr > z | = | 0.051 | |
Arellano-Bond test for | AR(2) in | first differences: | z = | 0.12 | Pr > z | = | 0.901 |
Sargan test of overid. restrictions: chi2(25) = 49.06 Prob > chi2 = 0.003 (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(25) = 19.99 Prob > chi2 = 0.747 (Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels
= 20.26 Prob > | chi2 | = | 0.209 | |
Difference (null H = exogenous): chi2(9) | = -0.27 Prob > | chi2 | = | 1.000 |
= | 245 | ||
Time variable : time | Number of groups | = | 27 |
Number of instruments = 37 | Obs per group: min | = | 6 |
Wald chi2(11) = 917.78 | avg | = | 9.07 |
Prob > chi2 = 0.000 | max | = | 10 |
Group variable: id
Coef. | Std. Err. | z | P>|z| | [95% Conf. | Interval] | |
nim | ||||||
L1. | .1642057 | .0687103 | 2.39 | 0.017 | .0295359 | .2988754 |
plltl | -.0022561 | .2037197 | -0.01 | 0.991 | -.4015394 | .3970271 |
liq | .050705 | .0400225 | 1.27 | 0.205 | -.0277376 | .1291477 |
eqta | .0765334 | .0280751 | 2.73 | 0.006 | .0215073 | .1315595 |
lern | .0355317 | .0058789 | 6.04 | 0.000 | .0240093 | .0470541 |
eff | 1.449013 | .2866524 | 5.05 | 0.000 | .8871849 | 2.010842 |
teata | .0480361 | .0178425 | 2.69 | 0.007 | .0130654 | .0830068 |
cbrtea | .1549516 | .036452 | 4.25 | 0.000 | .083507 | .2263962 |
size | .0060735 | .0016148 | 3.76 | 0.000 | .0029086 | .0092384 |
loans | -.0358216 | .0120489 | -2.97 | 0.003 | -.0594369 | -.0122063 |
inf | .016724 | .0071419 | 2.34 | 0.019 | .0027261 | .0307219 |
_cons | -.2457617 | .0607734 | -4.04 | 0.000 | -.3648755 | -.1266479 |
Warning: Uncorrected two-step standard errors are unreliable.
Instruments for first differences equation
GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/4).(nim plltl liq eqta lern eff teata cbrtea size) collapsed
Instruments for levels equation Standard
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed) DL.(nim plltl liq eqta lern eff teata cbrtea size) collapsed
AR(1) in | first differences: | z = | -2.34 | Pr > z | = | 0.019 | |
Arellano-Bond test for | AR(2) in | first differences: | z = | 0.87 | Pr > z | = | 0.386 |
Sargan test of overid. restrictions: chi2(25) = 22.38 Prob > chi2 = 0.614 (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(25) = 17.20 Prob > chi2 = 0.874 (Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels
= 15.82 Prob > | chi2 | = | 0.466 | |
Difference (null H = exogenous): chi2(9) | = 1.38 Prob > | chi2 | = | 0.998 |
= | 245 | ||
Time variable : time | Number of groups | = | 27 |
Number of instruments = 37 | Obs per group: min | = | 6 |
Wald chi2(11) = 2339.47 | avg | = | 9.07 |
Prob > chi2 = 0.000 | max | = | 10 |
Group variable: id
Coef. | Std. Err. | z | P>|z| | [95% Conf. | Interval] | |
nim | ||||||
L1. | .2678603 | .0711298 | 3.77 | 0.000 | .1284485 | .4072721 |
plltl | .0081413 | .2108958 | 0.04 | 0.969 | -.4052068 | .4214894 |
liq | .0073142 | .0370037 | 0.20 | 0.843 | -.0652117 | .07984 |
eqta | .0509201 | .0234844 | 2.17 | 0.030 | .0048914 | .0969487 |
lern | .026824 | .0060603 | 4.43 | 0.000 | .014946 | .038702 |
eff | .8969005 | .3427288 | 2.62 | 0.009 | .2251643 | 1.568637 |
teata | .0689244 | .0189644 | 3.63 | 0.000 | .0317548 | .1060939 |
cbrtea | .164423 | .0293248 | 5.61 | 0.000 | .1069475 | .2218985 |
size | .0044505 | .001247 | 3.57 | 0.000 | .0020064 | .0068946 |
loans | -.0033826 | .0167044 | -0.20 | 0.840 | -.0361226 | .0293575 |
tbill | .0014291 | .0003486 | 4.10 | 0.000 | .0007458 | .0021124 |
_cons | -.2273013 | .0445124 | -5.11 | 0.000 | -.314544 | -.1400586 |
Warning: Uncorrected two-step standard errors are unreliable.
Instruments for first differences equation
GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/4).(nim plltl liq eqta lern eff teata cbrtea size) collapsed
Instruments for levels equation Standard
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed) DL.(nim plltl liq eqta lern eff teata cbrtea size) collapsed
AR(1) in | first differences: | z = | -2.74 | Pr > z | = | 0.006 | |
Arellano-Bond test for | AR(2) in | first differences: | z = | 0.33 | Pr > z | = | 0.741 |
Sargan test of overid. restrictions: chi2(25) = 16.31 Prob > chi2 = 0.905 (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(25) = 13.16 Prob > chi2 = 0.974 (Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels
= | 8.47 Prob > | chi2 | = | 0.934 | |
Difference (null H = exogenous): chi2(9) | = | 4.69 Prob > | chi2 | = | 0.860 |
= | 245 | ||
Time variable : time | Number of groups | = | 27 |
Number of instruments = 28 | Obs per group: min | = | 6 |
Wald chi2(11) = 3166.70 | avg | = | 9.07 |
Prob > chi2 = 0.000 | max | = | 10 |
Group variable: id
Coef. | Std. Err. | z | P>|z| | [95% Conf. | Interval] | |
nim | ||||||
L1. | .1141289 | .0838178 | 1.36 | 0.173 | -.050151 | .2784088 |
plltl | .2744147 | .1528992 | 1.79 | 0.073 | -.0252623 | .5740918 |
liq | .0437482 | .0263003 | 1.66 | 0.096 | -.0077995 | .0952958 |
eqta | .0571814 | .0365372 | 1.57 | 0.118 | -.0144302 | .128793 |
lern | .0197802 | .0073667 | 2.69 | 0.007 | .0053416 | .0342187 |
eff | 1.253291 | .2912476 | 4.30 | 0.000 | .6824558 | 1.824126 |
teata | .0480331 | .0190597 | 2.52 | 0.012 | .0106767 | .0853894 |
cbrtea | .1778105 | .0485559 | 3.66 | 0.000 | .0826426 | .2729784 |
size | .0080309 | .001608 | 4.99 | 0.000 | .0048792 | .0111825 |
loans | -.0227187 | .0117871 | -1.93 | 0.054 | -.045821 | .0003836 |
cr3 | -.000115 | .0000338 | -3.40 | 0.001 | -.0001814 | -.0000487 |
_cons | -.2955742 | .0602891 | -4.90 | 0.000 | -.4137387 | -.1774097 |
Warning: Uncorrected two-step standard errors are unreliable.
Instruments for first differences equation
GMM-type (missing=0, separate instruments for each period unless collapsed) L(4/5).(nim plltl liq eqta lern eff teata cbrtea size) collapsed
Instruments for levels equation Standard
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed) DL3.(nim plltl liq eqta lern eff teata cbrtea size) collapsed
for | AR(1) in first differences: | z = | -2.54 | Pr > z | = | 0.011 | |
Arellano-Bond test | for | AR(2) in first differences: | z = | 1.30 | Pr > z | = | 0.193 |
Sargan test of overid. restrictions: chi2(16) = 20.42 Prob > chi2 = 0.202 (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(16) = 14.25 Prob > chi2 = 0.580 (Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels
= 3.58 Prob > | chi2 | = | 0.827 | |
Difference (null H = exogenous): chi2(9) | = 10.67 Prob > | chi2 | = | 0.299 |