Var sd = sqrt(Var) | |
NPL e u | 4.035716 2.008909 3.122708 1.767118 0 0 |
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Test: Var(u) = 0
chibar2(01) = 0.00 Prob > chibar2 = 1.0000
Kiểm định FEM với REM
---- Coefficients ----
(b) | (B) | (b-B) | sqrt(diag(V_b-V_B)) | |
fe | re | Difference | S.E. | |
Nplt1 | .0640367 | .1755874 | -.1115507 | .0165025 |
llp | 3.7199140 | 2.1245520 | 1.5953630 | .3760353 |
lev | .0039862 | .0015412 | .0024450 | .0113639 |
size | .0014794 | -.0058818 | .0073612 | .0050616 |
Roat1 | -.1965281 | -.1814664 | -.0150617 | .0947685 |
lg | .0000419 | -.0007528 | .0007947 | .0005325 |
inf | .0288595 | .0049421 | .0239174 | .0116679 |
gdp | -.3592396 | -.4873099 | .1280703 | .0231310 |
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)
= 57.51
Prob>chi2 = 0.0000
(V_b-V_B is not positive definite)
Phụ lục 6: Kiểm định hiện tượng phương sai thay đổi Breusch-Pagan / Cook-Weisberg test for heteroskedasticity
Ho: Constant variance
Variables: fitted values of NPL chi2(1) = 85.16
Prob > chi2 = 0.0000
Phụ lục 7: Kiểm định hiện tượng tự tương quan Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation
F( 1, 24) = 13.299 Prob > F = 0.0013
Phụ lục 8: Kết quả mô hình hồi quy
Mô hình Pooled OLS
asdoc reg NPLt NPLt1 LLP LEV SIZE ROAt1 LG INF GDP USA
(File Myfile.doc already exists, option append was assumed) Source | SS df MS Number of obs = 272
-------------+---------------------------------- F(9, 262) = 9.49
Model | .026892488 9 .002988054 Prob > F = 0.0000
Residual | .082453475 262 .000314708 R-squared = 0.2459
-------------+---------------------------------- Adj R-squared = 0.2200 Total | .109345963 271 .000403491 Root MSE = .01774
------------------------------------------------------------------------------
NPLt | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
.1861826 | .0561799 | 3.31 | 0.001 | . 075561 | .2968042 | |
LLP | | 1.98893 | .3795311 | 5.24 | 0.000 | 1.24161 | 2.736249 |
LEV | | .0005384 | .0187919 | 0.03 | 0.977 | -.0364639 | .0375408 |
SIZE | | -.007072 | .003 | -2.36 | 0.019 | -.0129793 | -.0011648 |
ROAt1| | -.115392 | .1629087 | -0.71 | 0.479 | -.436169 | .205385 |
LG | | -.0001136 | .0010989 | -0.10 | 0.918 | -.0022774 | .0020503 |
INF | | .0351753 | .0229357 | 1.53 | 0.126 | -.0099865 | .080337 |
GDP | | -.5684979 | .190393 | -2.99 | 0.003 | -.9433931 | -.1936027 |
USA | | 1.58e-06 | 7.68e-07 | 2.06 | 0.041 | 6.69e-08 | 3.09e-06 |
_cons | | .0615492 | .0225281 | 2.73 | 0.007 | .01719 | .1059084 |
Mô hình FEM
xtreg NPLt NPLt1 LLP LEV SIZE ROAt1 LG INF GDP USA, fe
Fixed-effects (within) regression Number of obs = 272
Group variable: id Number of groups = 25
R-sq: Obs per group:
within = 0.2595 min = 9
avg = | 10.9 | |
overall = 0.2302 | max = | 11 |
F(9,238) = 9.27
corr(u_i, Xb) = -0.3209 Prob > F = 0.0000
------------------------------------------------------------------------------
NPLt | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
.0590218 | 1.82 | 0.069 | -.0085995 | .2239442 | |
LLP | 3.018031 | .5079648 | 5.94 | 0.000 | 2.017349 | 4.018712 |
LEV | .0016099 | .0222 | 0.07 | 0.942 | -.0421238 | .0453435 |
SIZE | -.0076388 | .0093187 | -0.82 | 0.413 | -.0259965 | .0107188 |
ROAt1 |-.1265315 | .1916084 | -0.66 | 0.510 | -.5039965 | .2509335 |
LG | -.0001035 | .0011928 | -0.09 | 0.931 | -.0024533 | .0022462 |
INF | .0341123 | .0233107 | 1.46 | 0.145 | -.0118092 | .0800339 |
GDP | -.4963271 | .1954998 | -2.54 | 0.012 | -.881458 | -.1111962 |
USA | 1.35e-06 | 1.31e-06 | 1.04 | 0.301 | -1.22e-06 | 3.93e-06 |
_cons | .0602793 | .0480466 | 1.25 | 0.211 | -.0343716 | .1549303 |
-------------+----------------------------------------------------------------
sigma_u | .00649269
sigma_e | .0176622
rho | .11904551 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(24, 238) = 1.10 Prob > F = 0.3485
Mô hình REM
xtreg NPLt NPLt1 LLP LEV SIZE ROAt1 LG INF GDP USA, re
Random-effects GLS regression Number of obs = 272
Group variable: id Number of groups = 25
Obs per group: | ||
within = 0.2452 | min = | 9 |
between = 0.3261 | avg = | 10.9 |
overall = 0.2459 | max = | 11 |
Wald chi2(9) = 85.45
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
------------------------------------------------------------------------------
NPLt | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
.1861826 | .0561799 | 3.31 | 0.001 | .076072 | .2962932 | |
LLP | | 1.98893 | .3795311 | 5.24 | 0.000 | 1.245062 | 2.732797 |
LEV | | .0005384 | .0187919 | 0.03 | 0.977 | -.036293 | .0373698 |
SIZE | -.007072 .003 | -2.36 | 0.018 | -.012952 | -.0011921 | ||
lROA | -.115392 .1629087 | -0.71 | 0.479 | -.4346872 | .2039032 | ||
LG | -.0001136 .0010989 | -0.10 | 0.918 | -.0022674 | .0020403 | ||
INF | .0351753 .0229357 | 1.53 | 0.125 | -.0097778 | .0801284 |
GDP | -.5684979 .190393 -2.99 0.003 -.9416614 -.1953344 USA | 1.58e-06 7.68e-07 2.06 0.040 7.39e-08 3.08e-06
_cons | .0615492 .0225281 2.73 0.006 .0173949 .1057035
-------------+----------------------------------------------------------------
sigma_u | 0
sigma_e | .0176622
rho | 0 (fraction of variance due to u_i)
----------------------------------------------------------------------------
Phụ lục 9: Kết quả hồi quy mô hình GLS
xtabond2 NPLt NPLt1 LLP LEV SIZE ROAt1 LG INF GDP USA,gmm( L.NPLt
GDP, lag(1 1)) iv( LLP LEV SIZE INF USA) twostep
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
Warning: Number of instruments may be large relative to number of observations. Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estimation.
Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, two-step system GMM
------------------------------------------------------------------------------
Group variable: id Number of obs = 272
Time variable : year Number of groups = 25
Number of instruments = 35 Obs per group: min = 9
Wald chi2(9) = 2851.34 avg = 10.88
Prob > chi2 = 0.000 max = 11
------------------------------------------------------------------------------
NPLt | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
12.61 | 0.000 | .1555266 | .2127919 | |
LLP | 2.204471 .1888969 | 11.67 | 0.000 | 1.83424 | 2.574702 |
LEV | -.0084897 .0040082 | -2.12 | 0.034 | -.0163456 | -.0006337 |
SIZE | -.0076483 .0013626 | -5.61 | 0.000 | -.0103189 | -.0049777 |
lROA | .229951 .100055 | 2.30 | 0.022 | .0338468 | .4260551 |
LG | -.0007796 .000464 | -1.68 | 0.093 | -.001689 | .0001298 |
INF | .0195488 .0050399 | 3.88 | 0.000 | .0096708 | .0294268 |
GDP | -.3978581 .0424801 | -9.37 | 0.000 | -.4811175 | -.3145986 |
USA | 1.46e-06 2.35e-07 | 6.20 | 0.000 | 9.95e-07 | 1.92e-06 |
_cons | .0623395 .0094716 | 6.58 | 0.000 | .0437755 | .0809035 |
------------------------------------------------------------------------------
Warning: Uncorrected two-step standard errors are unreliable.
Instruments for first differences equation Standard
D.(LLP LEV SIZE INF USA)
GMM-type (missing=0, separate instruments for each period unless collapsed) L.(L.NPLt GDP)
Instruments for levels equation Standard
LLP LEV SIZE INF USA