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

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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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

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