Các yếu tố tác động đến tăng trưởng tín dụng tại các ngân hàng thương mại Việt Nam - 10


12. Tehulu, T. A., & Olana, D. R. (2014). Bank-specific determinants of credit risk: Empirical evidence from Ethiopian banks. Research journal of finance and accounting, 5(7), 80-85.

Wesite


12. http://www.sbv.gov.vn: Tăng trưởng tín dụng ngân hàng năm 2015 và những vấn đề đặt ra cho năm 2016, PGS, TS Tô Ngọc Hưng.

13. http://ndh.vn: Tăng trưởng tín dụng và những mối lo năm, Cao sỹ kiêm (2015) Nguyên Thống đốc NHNN

14. http://www.hids.hochiminhcity.gov.vn: “Thực trạng hoạt động của các ngân hàng thương mại cổ phần trên địa bàn tp.hcm giải pháp tăng trưởng và phát triển bền vững”, Nguyễn Đức Lệnh (2012) NHNN chi nhánh Tp. HCM

PHỤ LỤC

1. Số liệu


unit

time

donvi

LGR

DEPTA

NPL

CAP

LIQ

SIZE

INR

GGDP

INF

CTG

2008

1

0.18

0.94

0.02

0.06

0.14

19.08

13.46

5.66

23.12

CTG

2009

1

0.35

0.95

0.01

0.05

0.13

19.31

10.37

5.40

7.05

CTG

2010

1

0.44

0.95

0.01

0.05

0.16

19.72

11.50

6.42

8.86

CTG

2011

1

0.25

0.94

0.01

0.06

0.18

19.95

13.00

6.24

18.68

CTG

2012

1

0.14

0.93

0.02

0.07

0.14

20.04

11.50

5.25

9.09

CTG

2013

1

0.13

0.91

0.01

0.09

0.15

20.17

8.48

5.42

6.59

CTG

2014

1

0.17

0.92

0.01

0.08

0.14

20.31

7.62

5.98

4.09

CTG

2015

1

0.22

0.93

0.01

0.07

0.11

20.47

6.50

6.68

0.63

BIDV

2008

2

0.22

0.95

0.03

0.05

0.18

19.32

13.46

5.66

23.12

BIDV

2009

2

0.28

0.94

0.03

0.06

0.16

19.51

10.37

5.40

7.05

BIDV

2010

2

0.23

1.04

0.03

0.07

0.19

19.72

11.50

6.42

8.86

BIDV

2011

2

0.16

1.13

0.03

0.07

0.17

19.82

13.00

6.24

18.68

BIDV

2012

2

0.16

0.02

0.03

0.00

0.15

20.00

11.50

5.25

9.09

BIDV

2013

2

0.15

0.94

0.02

0.06

0.12

20.12

8.48

5.42

6.59

BIDV

2014

2

0.14

0.95

0.02

0.05

0.12

20.29

7.62

5.98

4.09

BIDV

2015

2

0.34

0.95

0.02

0.05

0.11

20.56

6.50

6.68

0.63

VCB

2008

3

0.18

0.94

0.05

0.06

0.29

19.22

13.46

5.66

23.12

VCB

2009

3

0.21

0.93

0.03

0.07

0.30

19.36

10.37

5.40

7.05

VCB

2010

3

0.25

0.93

0.03

0.07

0.30

19.54

11.50

6.42

8.86

VCB

2011

3

0.22

0.92

0.02

0.08

0.33

19.72

13.00

6.24

18.68

VCB

2012

3

0.15

0.90

0.02

0.10

0.21

19.84

11.50

5.25

9.09

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Các yếu tố tác động đến tăng trưởng tín dụng tại các ngân hàng thương mại Việt Nam - 10



VCB

2013

3

0.14

0.91

0.03

0.09

0.26

19.97

8.48

5.42

6.59

VCB

2014

3

0.18

0.92

0.02

0.08

0.29

20.17

7.62

5.98

4.09

VCB

2015

3

0.20

0.93

0.02

0.07

0.24

20.33

6.50

6.68

0.63

ACB

2008

4

0.09

0.93

0.01

0.07

0.36

18.47

13.46

5.66

23.12

ACB

2009

4

0.79

0.94

0.00

0.06

0.27

18.94

10.37

5.40

7.05

ACB

2010

4

0.40

0.94

0.00

0.06

0.23

19.14

11.50

6.42

8.86

ACB

2011

4

0.18

0.96

0.01

0.04

0.34

19.45

13.00

6.24

18.68

ACB

2012

4

0.00

0.93

0.03

0.07

0.20

18.99

11.50

5.25

9.09

ACB

2013

4

0.04

0.92

0.03

0.08

0.07

18.93

8.48

5.42

6.59

ACB

2014

4

0.09

0.93

0.02

0.07

0.06

19.01

7.62

5.98

4.09

ACB

2015

4

0.15

0.94

0.01

0.06

0.09

19.12

6.50

6.68

0.63

Banviet

2008

5

0.23

0.69

0.01

0.31

0.42

15.02

13.46

5.66

23.12

Banviet

2009

5

0.79

0.67

0.04

0.33

0.14

15.02

10.37

5.40

7.05

Banviet

2010

5

0.58

0.75

0.04

0.25

0.35

15.92

11.50

6.42

8.86

Banviet

2011

5

0.20

0.81

0.03

0.19

0.29

16.65

13.00

6.24

18.68

Banviet

2012

5

0.78

0.84

0.02

0.16

0.39

16.84

11.50

5.25

9.09

Banviet

2013

5

0.29

0.86

0.04

0.14

0.31

16.95

8.48

5.42

6.59

Banviet

2014

5

0.29

0.87


0.13

0.18

17.07

7.62

5.98

4.09

Banviet

2015

5

0.22

0.89

0.01

0.11

0.16

17.18

6.50

6.68

0.63

HDB

2008

6

-0.31

0.83

0.02

0.17

0.26

16.07

13.46

5.66

23.12

HDB

2009

6

0.33

0.91

0.01

0.09

0.34

16.77

10.37

5.40

7.05

HDB

2010

6

0.42

0.93

0.01

0.07

0.29

17.35

11.50

6.42

8.86

HDB

2011

6

0.18

0.92

0.02

0.08

0.26

17.62

13.00

6.24

18.68

HDB

2012

6

0.53

0.90

0.02

0.10

0.17

17.78

11.50

5.25

9.09

HDB

2013

6

1.08

0.90

0.04

0.10

0.16

18.27

8.48

5.42

6.59

HDB

2014

6

-0.05

0.91

0.01

0.09

0.20

18.42

7.62

5.98

4.09

HDB

2015

6

0.35

0.91

0.01

0.09

0.15

18.48

6.50

6.68

0.63

Maritime

2008

7

0.72

0.94


0.06

0.51

17.30

13.46

5.66

23.12

Maritime

2009

7

1.13

0.94


0.06

0.41

17.97

10.37

5.40

7.05

Maritime

2010

7

0.33

0.95


0.05

0.28

18.56

11.50

6.42

8.86

Maritime

2011

7

0.19

0.92

0.02

0.08

0.27

18.55

13.00

6.24

18.68

Maritime

2012

7

-0.23

0.92

0.03

0.08

0.31

18.52

11.50

5.25

9.09

Maritime

2013

7

-0.05

0.91

0.03

0.09

0.25

18.49

8.48

5.42

6.59

Maritime

2014

7

-0.14

0.91

0.03

0.09

0.19

18.46

7.62

5.98

4.09

Maritime

2015

7

0.19

0.87

0.03

0.13

0.15

18.46

6.50

6.68

0.63

NAB

2008

8

0.39

0.78

0.03

0.22

0.20

15.59

13.46

5.66

23.12

NAB

2009

8

0.34

0.88

0.02

0.12

0.34

16.21

10.37

5.40

7.05

NAB

2010

8

0.06

0.85

0.02

0.15

0.22

16.49

11.50

6.42

8.86

NAB

2011

8

0.31

0.83

0.03

0.17

0.22

16.75

13.00

6.24

18.68

NAB

2012

8

-0.01

0.80

0.03

0.20

0.22

16.59

11.50

5.25

9.09

NAB

2013

8

0.69

0.89

0.02

0.11

0.27

17.18

8.48

5.42

6.59

NAB

2014

8

0.44

0.91

0.02

0.09

0.41

17.43

7.62

5.98

4.09



NAB

2015

8

0.25

0.90

0.01

0.10

0.22

17.38

6.50

6.68

0.63

STB

2008

9

-0.01

0.89

0.01

0.11

0.27

18.04

13.46

5.66

23.12

STB

2009

9

0.58

0.90

0.01

0.10

0.26

18.46

10.37

5.40

7.05

STB

2010

9

0.40

0.91

0.01

0.09

0.25

18.84

11.50

6.42

8.86

STB

2011

9

0.04

0.90

0.01

0.10

0.17

18.77

13.00

6.24

18.68

STB

2012

9

0.20

0.91

0.02

0.09

0.14

18.84

11.50

5.25

9.09

STB

2013

9

0.15

0.89

0.02

0.11

0.09

18.90

8.48

5.42

6.59

STB

2014

9

0.16

0.90

0.01

0.10

0.07

19.06

7.62

5.98

4.09

STB

2015

9

0.45

0.92

0.02

0.08

0.06

19.49

6.50

6.68

0.63

SGB

2008

10

0.08

0.87

0.01

0.13

0.18

16.23

13.46

5.66

23.12

SGB

2009

10

0.23

0.84

0.02

0.16

0.06

16.29

10.37

5.40

7.05

SGB

2010

10

0.08

0.79

0.02

0.21

0.14

16.64

11.50

6.42

8.86

SGB

2011

10

0.07

0.76

0.05

0.24

0.10

16.58

13.00

6.24

18.68

SGB

2012

10

-0.03

0.76

0.03

0.24

0.09

16.51

11.50

5.25

9.09

SGB

2013

10

-0.02

0.76

0.02

0.24

0.07

16.50

8.48

5.42

6.59

SGB

2014

10

0.05

0.79

0.02

0.21

0.05

16.61

7.62

5.98

4.09

SGB

2015

10

0.03

0.81

0.02

0.19

0.11

16.69

6.50

6.68

0.63

SHB

2008

11

0.49

0.84

0.02

0.16

0.22

16.48

13.46

5.66

23.12

SHB

2009

11

1.05

0.91

0.03

0.09

0.27

17.13

10.37

5.40

7.05

SHB

2010

11

0.90

0.92

0.01

0.08

0.24

17.75

11.50

6.42

8.86

SHB

2011

11

0.20

0.92

0.02

0.08

0.27

18.08

13.00

6.24

18.68

SHB

2012

11

0.95

0.92

0.09

0.08

0.29

18.57

11.50

5.25

9.09

SHB

2013

11

0.34

0.93

0.04

0.07

0.23

18.78

8.48

5.42

6.59

SHB

2014

11

0.36

0.94

0.02

0.06

0.20

18.95

7.62

5.98

4.09

SHB

2015

11

0.26

0.95

0.02

0.05

0.18

19.14

6.50

6.68

0.63

TCB

2008

12

0.33

0.91

0.03

0.09

0.33

17.90

13.46

5.66

23.12

TCB

2009

12

0.60

0.92

0.03

0.08

0.33

18.34

10.37

5.40

7.05

TCB

2010

12

0.26

0.94

0.02

0.06

0.36

18.83

11.50

6.42

8.86

TCB

2011

12

0.20

0.93

0.03

0.07

0.29

19.01

13.00

6.24

18.68

TCB

2012

12

0.08

0.93

0.03

0.07

0.23

19.01

11.50

5.25

9.09

TCB

2013

12

0.03

0.91

0.04

0.09

0.13

18.88

8.48

5.42

6.59

TCB

2014

12

0.14

0.91

0.02

0.09

0.27

18.99

7.62

5.98

4.09

TCB

2015

12

0.39

0.91

0.02

0.09

0.11

19.07

6.50

6.68

0.63

VIB

2008

13

0.18

0.93

0.02

0.07

0.26

17.36

13.46

5.66

23.12

VIB

2009

13

0.38

0.95

0.01

0.05

0.33

17.85

10.37

5.40

7.05

VIB

2010

13

0.75

0.93

0.02

0.07

0.30

18.36

11.50

6.42

8.86

VIB

2011

13

-0.09

0.92

0.03

0.08

0.32

18.39

13.00

6.24

18.68

VIB

2012

13

-0.22

0.87

0.03

0.13

0.15

17.99

11.50

5.25

9.09

VIB

2013

13

0.04

0.90

0.03

0.10

0.12

18.16

8.48

5.42

6.59

VIB

2014

13

0.08

0.89

0.03

0.11

0.12

18.21

7.62

5.98

4.09

VIB

2015

13

0.25

0.90

0.02

0.10

0.10

18.25

6.50

6.68

0.63

VPB

2008

14

-0.02

0.87

0.03

0.13

0.15

16.74

13.46

5.66

23.12



VPB

2009

14

0.22

0.91

0.02

0.09

0.31

17.13

10.37

5.40

7.05

VPB

2010

14

0.60

0.91

0.01

0.09

0.21

17.91

11.50

6.42

8.86

VPB

2011

14

0.15

0.93

0.02

0.07

0.30

18.23

13.00

6.24

18.68

VPB

2012

14

0.26

0.94

0.03

0.06

0.28

18.45

11.50

5.25

9.09

VPB

2013

14

0.42

0.94

0.03

0.06

0.12

18.61

8.48

5.42

6.59

VPB

2014

14

0.49

0.94

0.03

0.06

0.12

18.91

7.62

5.98

4.09

VPB

2015

14

0.49

0.94

0.03

0.06

0.10

19.08

6.50

6.68

0.63

Navi

2008

15

0.25

0.90

0.03

0.10

0.42

16.20

13.46

5.66

23.12

Navi

2009

15

0.82

0.94

0.03

0.06

0.31

16.74

10.37

5.40

7.05

Navi

2010

15

0.08

0.90

0.02

0.10

0.27

16.81

11.50

6.42

8.86

Navi

2011

15

0.20

0.86

0.03

0.14

0.19

16.93

13.00

6.24

18.68

Navi

2012

15

0.00

0.85

0.06

0.15

0.09

16.89

11.50

5.25

9.09

Navi

2013

15

0.05

0.89

0.06

0.11

0.21

17.19

8.48

5.42

6.59

Navi

2014

15

0.23

0.92

0.03

0.08

0.21

17.42

7.62

5.98

4.09

Navi

2015

15

-0.61

0.93

0.02

0.07

0.01

17.69

6.50

6.68

0.63

EIB

2008

16

0.15

0.73

0.05

0.27

0.36

17.69

13.46

5.66

23.12

EIB

2009

16

0.81

0.80

0.02

0.20

0.24

18.00

10.37

5.40

7.05

EIB

2010

16

0.62

0.90

0.01

0.10

0.31

18.69

11.50

6.42

8.86

EIB

2011

16

0.20

0.91

0.02

0.09

0.40

19.03

13.00

6.24

18.68

EIB

2012

16

0.00

0.91

0.01

0.09

0.43

18.95

11.50

5.25

9.09

EIB

2013

16

0.11

0.91

0.02

0.09

0.36

18.95

8.48

5.42

6.59

EIB

2014

16

0.05

0.91

0.02

0.09

0.28

18.90

7.62

5.98

4.09

EIB

2015

16

-0.03

0.89

0.02

0.11

0.10

18.64

6.50

6.68

0.63

Lienviet

2008

17


0.54


0.46

0.40

15.82

13.46

5.66

23.12

Lienviet

2009

17

1.25

0.78

0.00

0.22

0.24

16.67

10.37

5.40

7.05

Lienviet

2010

17

0.81

0.88

0.00

0.12

0.17

17.37

11.50

6.42

8.86

Lienviet

2011

17

0.30

0.88

0.02

0.12

0.38

17.84

13.00

6.24

18.68

Lienviet

2012

17

0.80

0.89

0.03

0.11

0.28

18.01

11.50

5.25

9.09

Lienviet

2013

17

0.29

0.91

0.03

0.09

0.23

18.19

8.48

5.42

6.59

Lienviet

2014

17

0.40

0.93

0.01

0.07

0.12

18.43

7.62

5.98

4.09

Lienviet

2015

17

0.36

0.93

0.01

0.07

0.07

18.49

6.50

6.68

0.63

KLB

2008

18

0.63

0.56

0.02

0.44

0.21

14.69

13.46

5.66

23.12

KLB

2009

18

1.22

0.85

0.01

0.15

0.22

15.83

10.37

5.40

7.05

KLB

2010

18

0.44

0.74

0.01

0.26

0.18

16.35

11.50

6.42

8.86

KLB

2011

18

0.20

0.81

0.03

0.19

0.29

16.70

13.00

6.24

18.68

KLB

2012

18

0.15

0.81

0.03

0.19

0.20

16.74

11.50

5.25

9.09

KLB

2013

18

0.25

0.84

0.03

0.16

0.19

16.88

8.48

5.42

6.59

KLB

2014

18

0.12

0.85

0.02

0.15

0.18

16.96

7.62

5.98

4.09

KLB

2015

18

0.20

0.87

0.01

0.13

0.11

17.05

6.50

6.68

0.63

ABB

2008

19

-0.05

0.71

0.04

0.29

0.24

16.42

13.46

5.66

23.12

ABB

2009

19

0.97

0.83

0.02

0.17

0.35

17.09

10.37

5.40

7.05

ABB

2010

19

0.54

0.88

0.01

0.12

0.25

17.45

11.50

6.42

8.86



ABB

2011

19

0.00

0.89

0.03

0.11

0.22

17.54

13.00

6.24

18.68

ABB

2012

19

-0.06

0.89

0.02

0.11

0.29

17.65

11.50

5.25

9.09

ABB

2013

19

0.26

0.90

0.07

0.10

0.31

17.87

8.48

5.42

6.59

ABB

2014

19

0.10

0.92

0.04

0.08

0.31

18.03

7.62

5.98

4.09

ABB

2015

19

0.19

0.91

0.02

0.09

0.22

17.98

6.50

6.68

0.63

OCB

2008

20

0.36

0.84

0.03

0.16

0.06

16.13

13.46

5.66

23.12

OCB

2009

20

0.19

0.82

0.03

0.18

0.13

16.36

10.37

5.40

7.05

OCB

2010

20

0.13

0.84

0.02

0.16

0.30

16.80

11.50

6.42

8.86

OCB

2011

20

0.20

0.85

0.03

0.15

0.18

17.05

13.00

6.24

18.68

OCB

2012

20

0.25

0.86

0.03

0.14

0.13

17.13

11.50

5.25

9.09

OCB

2013

20

0.17

0.88

0.03

0.12

0.14

17.31

8.48

5.42

6.59

OCB

2014

20

0.06

0.90

0.03

0.10

0.15

17.48

7.62

5.98

4.09

OCB

2015

20

0.29

0.91

0.02

0.09

0.15

17.72

6.50

6.68

0.63

PGB

2008

21

0.23

0.83

0.01

0.17

0.35

15.64

13.46

5.66

23.12

PGB

2009

21

1.65

0.90

0.01

0.10

0.25

16.16

10.37

5.40

7.05

PGB

2010

21

0.74

0.87

0.01

0.13

0.13

16.61

11.50

6.42

8.86

PGB

2011

21

0.11

0.85

0.02

0.15

0.14

16.68

13.00

6.24

18.68

PGB

2012

21

0.14

0.83

0.08

0.17

0.16

16.77

11.50

5.25

9.09

PGB

2013

21

0.01

0.87

0.03

0.13

0.29

17.03

8.48

5.42

6.59

PGB

2014

21

0.05

0.87

0.02

0.13

0.27

17.07

7.62

5.98

4.09

PGB

2015

21

0.09

0.86

0.03

0.14

0.15

17.02

6.50

6.68

0.63

SCB

2008

22

0.19

0.93

0.01

0.07

0.14

17.47

13.46

5.66

23.12

SCB

2009

22

0.36

0.92

0.01

0.08

0.11

17.81

10.37

5.40

7.05

SCB

2010

22

0.06

0.92

0.12

0.08

0.14

17.91

11.50

6.42

8.86

SCB

2011

22

0.99

0.92

0.07

0.08

0.07

18.79

13.00

6.24

18.68

SCB

2012

22

0.33

0.92

0.07

0.08

0.06

18.82

11.50

5.25

9.09

SCB

2013

22

0.01

0.93

0.02

0.07

0.07

19.01

8.48

5.42

6.59

SCB

2014

22

0.51

0.95

0.01

0.05

0.07

19.31

7.62

5.98

4.09

SCB

2015

22

0.27

0.95

0.01

0.05

0.08

19.56

6.50

6.68

0.63

VietA

2008

23

0.15

0.86

0.02

0.14

0.27

16.15

13.46

5.66

23.12

VietA

2009

23

0.82

0.89

0.01

0.11

0.18

16.58

10.37

5.40

7.05

VietA

2010

23

0.10

0.86

0.03

0.14

0.21

17.00

11.50

6.42

8.86

VietA

2011

23

-0.13

0.84

0.03

0.16

0.15

16.93

13.00

6.24

18.68

VietA

2012

23

0.11

0.86

0.05

0.14

0.14

17.02

11.50

5.25

9.09

VietA

2013

23

0.12

0.87

0.03

0.13

0.08

17.11

8.48

5.42

6.59

VietA

2014

23

0.10

0.90

0.02

0.10

0.09

17.39

7.62

5.98

4.09

VietA

2015

23

0.28

0.91

0.02

0.09

0.13

17.55

6.50

6.68

0.63

(Nguồn: Tác giả thu thập từ BCTC, ADB, Tổng cục thống kê)


2. Kết quả chạy mô hình


. sum lgr depta npl cap liq size inr ggdp inf


Variable | Obs Mean Std. Dev. Min Max

-------------+-------------------------------------------------------- lgr | 183 .2820415 .3059924 -.6140836 1.64959

depta |

184

.8821906

.0934208

.0152707

1.129474

npl |

179

.023593

.0155246

.003

.1246

cap |

184

.114111

.0650974

.0016372

.4624462

liq |

184

.2113482

.0966405

.0059239

.5058736

-------------+-------------------------------------------------------- size | 184 17.91902 1.244065 14.68807 20.56153

inr |

184 10.30375 2.380693

6.5

13.46

ggdp |

184 5.88125 .4961337

5.25

6.68

inf |

184 9.76375 7.021012

.63

23.12


.

. corr depta npl cap liq size inr ggdp inf (obs=179)


| depta npl cap liq size inr ggdp inf

-------------+------------------------------------------------------------------------

depta |

1.0000




npl |

-0.0777

1.0000


cap |

-0.5644

0.1032

1.0000

liq |

0.0069

-0.0463

0.0341

1.0000



size |

0.4218

-0.0949

-0.7467

-0.1285

1.0000


inr |

-0.1842

0.1039

0.2568

0.3995

-0.2859 1.0000


ggdp |

0.1750

-0.1972

-0.1239

-0.1532

0.1443 -0.2488 1.0000


inf |

-0.1558

0.0764

0.2652

0.3440

-0.2726 0.9016 -0.1731

1.0000


. reg lgr depta npl cap liq size inr ggdp inf


Source | SS df MS

Number of obs =

179

-------------+------------------------------

F( 8, 170) =

3.54

Model | 2.30124399 8 .287655498

Prob > F =

0.0008

Residual | 13.8191154 170 .081288914

R-squared =

0.1428

-------------+------------------------------

Adj R-squared =

0.1024

Total | 16.1203594 178 .090563817

Root MSE =

.28511


------------------------------------------------------------------------------

lgr | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-------------+---------------------------------------------------------------- depta | .1586218 .2889562 0.55 0.584 -.4117826 .7290262

npl |

-2.317275

1.418356

-1.63

0.104

-5.117134

.4825842

cap |

-.1905373

.5936447

-0.32

0.749

-1.362402

.9813274

liq |

.3947054

.2556987

1.54

0.125

-.1100481

.8994589

size |

-.0447144

.0262031

-1.71

0.090

-.0964398

.007011

inr |

.0731736

.0218949

3.34

0.001

.0299526

.1163946

ggdp |

-.0290246

.0457562

-0.63

0.527

-.119348

.0612988

inf |

-.0296917

.0072057

-4.12

0.000

-.0439158

-.0154676

_cons |

.6365661

.683728

0.93

0.353

-.7131244

1.986257

------------------------------------------------------------------------------


. vif


Variable | VIF 1/VIF

-------------+----------------------

inr |

5.95

0.168140

inf |

5.51

0.181581

cap |

2.79

0.358392

size |

2.34

0.427003

depta |

1.51

0.663830

liq |

1.24

0.809635

ggdp |

1.14

0.874179

npl |

1.06

0.941886

-------------+----------------------

Mean VIF | 2.69


. imtest, white


White's test for Ho: homoskedasticity

against Ha: unrestricted heteroskedasticity


chi2(36) = 65.39

Prob > chi2 = 0.0020


Cameron & Trivedi's decomposition of IM-test


---------------------------------------------------

Source | chi2 df p

---------------------+-----------------------------

Heteroskedasticity |

65.39

36 0.0020

Skewness |

11.82

8 0.1593

Kurtosis |

4.46

1 0.0347

---------------------+----------------------------- Total | 81.68 45 0.0007

---------------------------------------------------


. est sto P1


.

. xtreg lgr depta npl cap liq size inr ggdp inf,fe


Fixed-effects (within) regression

Number of obs

=

179

Group variable: donvi

Number of groups

=

23

R-sq: within = 0.1731

Obs per group: min =

5

between = 0.0559

avg =

7.8

overall = 0.0909

max =

8


F(8,148)

=

3.87

corr(u_i, Xb) = -0.5426

Prob > F

=

0.0004


------------------------------------------------------------------------------

lgr | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-------------+---------------------------------------------------------------- depta | .1584001 .2799955 0.57 0.572 -.3949052 .7117055

npl |

-1.838839

1.568523

-1.17

0.243

-4.938432

1.260754

cap |

-.3039196

.7301944

-0.42

0.678

-1.746873

1.139034

liq |

.3975658

.3415762

1.16

0.246

-.2774306

1.072562

size |

-.1474104

.0603639

-2.44

0.016

-.2666968

-.0281239

inr |

.0608559

.0215688

2.82

0.005

.0182334

.1034784

ggdp |

-.007339

.0451505

-0.16

0.871

-.0965619

.0818839

inf |

-.0302702

.0068684

-4.41

0.000

-.043843

-.0166974

_cons |

2.484158

1.17899

2.11

0.037

.1543287

4.813987

-------------+----------------------------------------------------------------

sigma_u | .18217765

sigma_e | .26869732

rho | .31492227 (fraction of variance due to u_i)

------------------------------------------------------------------------------

F test that all u_i=0: F(22, 148) = 1.97 Prob > F = 0.0093


.

. est sto F1


.

. xtreg lgr depta npl cap liq size inr ggdp inf,re


Random-effects GLS regression

Number of obs

=

179

Group variable: donvi

Number of groups

=

23

R-sq: within = 0.1547

Obs per group: min =

5

between = 0.1100

avg =

7.8

overall = 0.1420

max =

8



Wald chi2(8)

=

29.22

corr(u_i, X)

= 0 (assumed)

Prob > chi2

=

0.0003


------------------------------------------------------------------------------

lgr | Coef. Std. Err. z P>|z| [95% Conf. Interval]

-------------+----------------------------------------------------------------

depta |

.158961

.2807128

0.57

0.571

-.3912259

.7091479

npl |

-2.38169

1.425669

-1.67

0.095

-5.175951

.4125709

cap |

-.1577649

.6128006

-0.26

0.797

-1.358832

1.043302

liq |

.3793784

.2719137

1.40

0.163

-.1535627

.9123195



size | -.0504566

.0294156

-1.72

0.086

-.1081102

.007197

inr | .0717094

.0211988

3.38

0.001

.0301605

.1132584

ggdp | -.0286355

.0442093

-0.65

0.517

-.1152842

.0580132

inf | -.0294606

.0069444

-4.24

0.000

-.0430714

-.0158498

_cons | .7502941

.7155858

1.05

0.294

-.6522283

2.152816

-------------+----------------------------------------------------------------

sigma_u | .07367356

sigma_e | .26869732

rho | .06992233 (fraction of variance due to u_i)

------------------------------------------------------------------------------


.

. est sto R1


.

. hausman F1 R1


---- Coefficients ----

| (b) (B) (b-B) sqrt(diag(V_b-V_B))

| F1 R1 Difference S.E.

-------------+----------------------------------------------------------------

depta |

.1584001

.158961

-.0005609

.

npl |

-1.838839

-2.38169

.5428506

.6540106

cap |

-.3039196

-.1577649

-.1461547

.3970633

liq |

.3975658

.3793784

.0181874

.2067298

size |

-.1474104

-.0504566

-.0969538

.0527117

inr |

.0608559

.0717094

-.0108535

.0039775

ggdp |

-.007339

-.0286355

.0212965

.0091706

inf |

-.0302702

-.0294606

-.0008096

.

------------------------------------------------------------------------------

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)

= 3.53

Prob>chi2 = 0.8968

(V_b-V_B is not positive definite)


.

. xttest0


Breusch and Pagan Lagrangian multiplier test for random effects lgr[donvi,t] = Xb + u[donvi] + e[donvi,t]

Estimated results:

| Var sd = sqrt(Var)

---------+----------------------------- lgr | .0905638 .3009382

e | .0721982 .2686973

u | .0054278 .0736736


Test: Var(u) = 0

chibar2(01) = 3.77

Prob > chibar2 = 0.0261

.

. xtreg lgr depta npl cap liq size inr ggdp inf,fe


Fixed-effects (within) regression

Number of obs

=

179

Group variable: donvi

Number of groups

=

23

R-sq: within = 0.1731

Obs per group: min =

5

between = 0.0559

avg =

7.8

overall = 0.0909

max =

8


F(8,148)

=

3.87

corr(u_i, Xb) = -0.5426

Prob > F

=

0.0004


------------------------------------------------------------------------------

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