Number of obs | = | 215 | ||||||
Group variable: stt | Number of groups | = | 24 | |||||
R-sq: within | = | 0.1807 | Obs | per | group: | min | = | 6 |
between | = | 0.8778 | avg | = | 9.0 | |||
overall | = | 0.2962 | max | = | 10 | |||
Wald | chi2(11) | = | 85.45 | |||||
corr(u_i, | X) = | 0 | (assumed) | Prob | > chi2 | = | 0.0000 | |
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Các yếu tố tác động đến nợ xấu tại các ngân hàng thương mại Việt Nam - 11 -
Các yếu tố tác động đến nợ xấu tại các ngân hàng thương mại Việt Nam - 12
Xem toàn bộ 104 trang tài liệu này.
Coef. | Std. Err. | z P>|z| | [95% Conf. | Interval] | |||
lnpl | .386649 | .0643752 | 6.01 0.000 | .2604759 | .512822 | ||
gdp | -.4435218 | .1945987 | -2.28 0.023 | -.8249282 | -.0621153 | ||
cpi | -.0922522 | .0603279 | -1.53 0.126 | -.2104927 | .0259884 | ||
une | .0769753 | .1893914 | 0.41 0.684 | -.294225 | .4481757 | ||
awprt | .2884685 | .1270009 | 2.27 0.023 | .0395513 | .5373857 | ||
ope | .0050487 | .0040554 | 1.24 0.213 | -.0028997 | .012997 | ||
roa | -.3842338 | .1716328 | -2.24 0.025 | -.7206279 | -.0478396 | ||
la | .0047586 | .007115 | 0.67 0.504 | -.0091866 | .0187037 | ||
grlt1 | -.1522686 | .1129494 | -1.35 0.178 | -.3736453 | .0691081 | ||
lnsize | -.0495305 | .0778554 | -0.64 0.525 | -.2021242 | .1030632 | ||
lnoilprice | -.4472334 | .4149087 | -1.08 0.281 | -1.26044 | .3659727 | ||
_cons | 4.193111 | 2.368791 | 1.77 0.077 | -.4496346 | 8.835857 | ||
sigma_u | 0 | ||||||
sigma_e | 1.2530934 | ||||||
rho | 0 | (fraction | of | variance due | to | u_i) |
.
. xttest0
Breusch and Pagan Lagrangian multiplier test for random effects
npl[stt,t] = Xb + u[stt] + e[stt,t]
Estimated results:
Var sd = sqrt(Var)
npl 2.185909 1.478482
e 1.570243 1.253093
u 0 0
Test: Var(u) = 0
chibar2(01) = 0.00
Prob > chibar2 = 1.0000
. hausman tenmohinhfe1 tenmohinhre1
Coefficients
(b) tenmohinhfe1 | (B) tenmohinhre1 | (b-B) Difference | sqrt(diag(V_b-V_B)) S.E. | |
lnpl | .2140504 | .386649 | -.1725986 | .0341961 |
gdp | -.2440693 | -.4435218 | .1994525 | .0906467 |
cpi | -.0800494 | -.0922522 | .0122027 | . |
une | -.3295989 | .0769753 | -.4065743 | .2573462 |
awprt | .2297415 | .2884685 | -.058727 | . |
ope | .0023601 | .0050487 | -.0026886 | .0020421 |
roa | -.332478 | -.3842338 | .0517557 | .1219731 |
la | .007137 | .0047586 | .0023784 | .0100719 |
grlt1 | -.2154614 | -.1522686 | -.0631928 | .0360878 |
lnsize | -.4437692 | -.0495305 | -.3942387 | .3271175 |
lnoilprice | -.3598521 | -.4472334 | .0873813 | .0928512 |
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(11) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 28.14
Prob>chi2 = 0.0031
(V_b-V_B is not positive definite)
PHỤ LỤC 05: KIỂM ĐỊNH PHƯƠNG SAI THAY ĐỔI
Modified Wald test for groupwise heteroskedasticity in fixed effect regression model
H0: sigma(i)^2 = sigma^2 for all i
chi2 (24) = 3678.56
Prob>chi2 = 0.0000
Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation
F( 1, 23) = 49.917
Prob > F = 0.0000
Mô hình Pooled OLS
Source | SS | df | MS |
Model | 138.580291 | 11 | 12.5982083 |
Residual | 329.204212 | 203 | 1.62169563 |
Total | 467.784503 | 214 | 2.18590889 |
Number of obs | = | 215 |
F( 11, 203) | = | 7.77 |
Prob > F | = | 0.0000 |
R-squared | = | 0.2962 |
Adj R-squared | = | 0.2581 |
Root MSE | = | 1.2735 |
Coef. | Std. Err. | t | P>|t| | [95% Conf. | Interval] | |
lnpl | .386649 | .0643752 | 6.01 | 0.000 | .2597192 | .5135787 |
gdp | -.4435218 | .1945987 | -2.28 | 0.024 | -.8272157 | -.0598278 |
cpi | -.0922522 | .0603279 | -1.53 | 0.128 | -.2112018 | .0266975 |
une | .0769753 | .1893914 | 0.41 | 0.685 | -.2964513 | .450402 |
awprt | .2884685 | .1270009 | 2.27 | 0.024 | .0380584 | .5388786 |
ope | .0050487 | .0040554 | 1.24 | 0.215 | -.0029474 | .0130447 |
roa | -.3842338 | .1716328 | -2.24 | 0.026 | -.7226455 | -.0458221 |
la | .0047586 | .007115 | 0.67 | 0.504 | -.0092702 | .0187874 |
grlt1 | -.1522686 | .1129494 | -1.35 | 0.179 | -.374973 | .0704358 |
lnsize | -.0495305 | .0778554 | -0.64 | 0.525 | -.2030394 | .1039784 |
lnoilprice | -.4472334 | .4149087 | -1.08 | 0.282 | -1.265317 | .3708499 |
_cons | 4.193111 | 2.368791 | 1.77 | 0.078 | -.4774794 | 8.863702 |
Number of obs | = | 215 | ||||||
Group variable: stt | Number of groups | = | 24 | |||||
R-sq: within | = | 0.2033 | Obs | per | group: | min | = | 6 |
between | = | 0.2196 | avg | = | 9.0 | |||
overall | = | 0.1870 | max | = | 10 | |||
F(11,180) | = | 4.18 | ||||||
corr(u_i, | Xb) | = | -0.2291 | Prob > F | = | 0.0000 | ||
Coef. | Std. Err. | t P>|t| | [95% Conf. | Interval] | |||
lnpl | .2140504 | .072894 | 2.94 0.004 | .0702137 | .3578871 | ||
gdp | -.2440693 | .2146753 | -1.14 0.257 | -.6676732 | .1795346 | ||
cpi | -.0800494 | .0596993 | -1.34 0.182 | -.1978499 | .037751 | ||
une | -.3295989 | .3195249 | -1.03 0.304 | -.9600954 | .3008975 | ||
awprt | .2297415 | .1269416 | 1.81 0.072 | -.0207436 | .4802266 | ||
ope | .0023601 | .0045405 | 0.52 0.604 | -.0065994 | .0113196 | ||
roa | -.332478 | .2105594 | -1.58 0.116 | -.7479603 | .0830043 | ||
la | .007137 | .0123316 | 0.58 0.563 | -.017196 | .03147 | ||
grlt1 | -.2154614 | .1185744 | -1.82 0.071 | -.4494361 | .0185132 | ||
lnsize | -.4437692 | .3362549 | -1.32 0.189 | -1.107278 | .2197393 | ||
lnoilprice | -.3598521 | .4251712 | -0.85 0.398 | -1.198813 | .4791089 | ||
_cons | 11.48808 | 7.142085 | 1.61 0.109 | -2.604905 | 25.58106 | ||
sigma_u | .72211663 | ||||||
sigma_e | 1.2530934 | ||||||
rho | .24929651 | (fraction | of | variance due | to | u_i) |
F test that all u_i=0: F(23, 180) = 1.29 Prob > F = 0.1799
Dynamic panel-data estimation, two-step system GMM
Number of obs | = | 215 | ||
Time variable : year | Number of groups | = | 24 | |
Number of instruments | = 49 | Obs per group: min | = | 6 |
Wald chi2(11) = 99777.02 | avg | = | 8.96 | |
Prob > chi2 = 0.000 | max | = | 10 | |
Coef. | Std. Err. | z | P>|z| | [95% Conf. | Interval] | |
lnpl | .0642996 | .0687109 | 0.94 | 0.349 | -.0703713 | .1989705 |
gdp | -.2597798 | .0844859 | -3.07 | 0.002 | -.4253691 | -.0941905 |
cpi | -.1290084 | .0132293 | -9.75 | 0.000 | -.1549373 | -.1030795 |
une | .6681846 | .136582 | 4.89 | 0.000 | .4004888 | .9358805 |
awprt | .2654306 | .0284399 | 9.33 | 0.000 | .2096895 | .3211717 |
ope | .0013205 | .0093384 | 0.14 | 0.888 | -.0169824 | .0196234 |
roa | -1.540376 | .3149387 | -4.89 | 0.000 | -2.157645 | -.9231077 |
la | -.0041116 | .008465 | -0.49 | 0.627 | -.0207026 | .0124794 |
grlt1 | -1.844055 | .5523575 | -3.34 | 0.001 | -2.926656 | -.7614546 |
lnsize | -.5123759 | .2462005 | -2.08 | 0.037 | -.9949201 | -.0298317 |
lnoilprice | .3095702 | .1484864 | 2.08 | 0.037 | .0185421 | .6005982 |
_cons | 10.79249 | 4.181404 | 2.58 | 0.010 | 2.597091 | 18.98789 |
Warning: Uncorrected two-step standard errors are unreliable.
Instruments for first differences equation Standard
D.(L.llp L.la L.roa L.oilprice)
GMM-type (missing=0, separate instruments for each period unless collapsed) L(3/10).(llp cpi oilprice)
Instruments for levels equation Standard
L.llp L.la L.roa L.oilprice
_cons
Arellano-Bond test for AR(1) in first differences: z = -3.07 Pr > z = 0.002 Arellano-Bond test for AR(2) in first differences: z = 0.64 Pr > z = 0.525
Sargan test of overid. restrictions: chi2(37) = 7.60 Prob > chi2 = 1.000 (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(37) = 13.89 Prob > chi2 = 1.000 (Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets: iv(L.llp L.la L.roa L.oilprice)
= 12.70 Prob > | chi2 | = | 0.999 | |
Difference (null H = exogenous): chi2(4) | = 1.19 Prob > | chi2 | = | 0.880 |
.