Wald | chi2(6) | = | 34.95 | |||
corr(u_i, | X) = 0 | (assumed) | Prob | > chi2 | = | 0.0000 |
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L3
Coef. | Std. Err. | z P>|z| | [95% Conf. | Interval] | |||
CAP | .199314 | .1400128 | 1.42 0.155 | -.0751061 | .4737341 | ||
NPL | .459672 | .5260264 | 0.87 0.382 | -.5713208 | 1.490665 | ||
ROE | .0409049 | .0786984 | 0.52 0.603 | -.1133411 | .195151 | ||
CAR | .003482 | .0089416 | 0.39 0.697 | -.0140432 | .0210072 | ||
GDP | -.3501687 | 1.293055 | -0.27 0.787 | -2.88451 | 2.184173 | ||
MIR | -1.264346 | .2328949 | -5.43 0.000 | -1.720812 | -.8078806 | ||
_cons | .5638247 | .1298307 | 4.34 0.000 | .3093612 | .8182881 | ||
sigma_u | .09798406 | ||||||
sigma_e | .08515644 | ||||||
Rho | .56970056 | (fraction | of | variance due | big | u_i) |
. hausman fe3 re3
Coefficients
(b) fe3 | (B) re3 | (bB) Difference | sqrt(diag(V_b-V_B)) SE | |
CAP | .1782048 | .199314 | -.0211092 | .0204572 |
NPL | .4143958 | .459672 | -.0452761 | .0814177 |
ROE | .0156434 | .0409049 | -.0252615 | .0115543 |
CAR | -.0000632 | .003482 | -.0035452 | .0037519 |
GDP | -.2865151 | -.3501687 | .0636536 | .119679 |
MIR | -1.281094 | -1.264346 | -.0167476 | .0348707 |
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(6) = (bB)'[(V_b-V_B)^(-1)](bB)
= 6.97
Prob>chi2 = 0.3233
(V_b-V_B is not positive definite)
Appendix 4. L4 regression results by Pool OLS, Fix effect, Random effect and F-test, Hausman
. regress L4 CAP NPL ROE TOA GDP MIR
Source | SS | df | MS |
Model | .907724198 | 6 | .151287366 |
Residual | 7.05140367 | 227 | .031063452 |
Total | 7.95912786 | 233 | .034159347 |
Number of obs = 234
F( 6, 227) = 4.87
Prob > F = 0.0001
R-squared= | 0.1140 | |
Adj R-squared | = | 0.0906 |
Root MSE | = | .17625 |
L4
Coef. | Std. Err. | t | P>|t| | [95% Conf. | Interval] | |
CAP | 1.165061 | .2537781 | 4.59 | 0.000 | .6649989 | 1.665123 |
NPL | 1.239809 | .9601433 | 1.29 | 0.198 | -.6521237 | 3.131742 |
ROE | .3604252 | .1478552 | 2.44 | 0.016 | .069081 | .6517694 |
CAR | .0251285 | .012298 | 2.04 | 0.042 | .0008957 | .0493614 |
GDP | .1036653 | 2.605874 | 0.04 | 0.968 | -5.031129 | 5.23846 |
MIR | -.7097228 | .4587585 | -1.55 | 0.123 | -1.613693 | .194247 |
_cons | .2296651 | .2256129 | 1.02 | 0.310 | -.2148983 | .6742284 |
. xtreg L4 CAP NPL ROE TOA GDP MIR,fe
regression | Number | of obs | = | 234 | ||||
Group variable: BANK1 | Number | of groups | = | 26 | ||||
R-sq: within | = | 0.1401 | Obs | per | group: | min | = | 9 |
between | = | 0.0329 | avg | = | 9.0 | |||
overall | = | 0.0747 | max | = | 9 | |||
F(6,202) | = | 5.49 | ||||||
corr(u_i, Xb) | = | -0.0429 | Prob > F | = | 0.0000 | |||
L4
Coef. | Std. Err. | t P>|t| | [95% Conf. | Interval] | |||
CAP | .9533545 | .1946556 | 4.90 0.000 | .569537 | 1.337172 | ||
NPL | .6512734 | .732252 | 0.89 0.375 | -.7925645 | 2.095111 | ||
ROE | .1061424 | .1094231 | 0.97 0.333 | -.1096156 | .3219005 | ||
CAR | .0008097 | .0133396 | 0.06 0.952 | -.025493 | .0271124 | ||
GDP | .292373 | 1.786412 | 0.16 0.870 | -3.230033 | 3.81478 | ||
MIR | -.7501403 | .3239564 | -2.32 0.022 | -1.38891 | -.1113704 | ||
_cons | .5497763 | .1835265 | 3.00 0.003 | .1879029 | .9116498 | ||
sigma_u | .14299926 | ||||||
sigma_e | .11714662 | ||||||
Rho | .59840565 | (fraction | of | variance due | big | u_i) |
F test that all u_i=0: F(25, 202) = 12.47 Prob > F = 0.0000
MIR,re | ||||
Random-effects GLS regression | Number of obs | = | 234 | |
Group variable: BANK1 | Number of groups | = | 26 | |
R-sq: within = 0.1388 | Obs per group: min | = | 9 | |
between = 0.0544 | avg | = | 9.0 | |
overall = 0.0885 | max | = | 9 | |
Wald chi2(6) | = | 34.04 | ||
corr(u_i, X) = 0 (assumed) | Prob > chi2 | = | 0.0000 | |
L4
Coef. | Std. Err. | z P>|z| | [95% Conf. | Interval] | |||
CAP | .9769671 | .1920973 | 5.09 0.000 | .6004632 | 1.353471 | ||
NPL | .6580931 | .7217232 | 0.91 0.362 | -.7564583 | 2.072645 | ||
ROE | .1384669 | .1079712 | 1.28 0.200 | -.0731528 | .3500866 | ||
CAR | .0068517 | .0122904 | 0.56 0.577 | -.017237 | .0309403 | ||
GDP | .1274603 | 1.773684 | 0.07 0.943 | -3.348896 | 3.603817 | ||
MIR | -.7083918 | .3195162 | -2.22 0.027 | -1.334632 | -.0821516 | ||
_cons | .4833583 | .1783063 | 2.71 0.007 | .1338843 | .8328323 | ||
sigma_u | .13703493 | ||||||
sigma_e | .11714662 | ||||||
Rho | .5777684 | (fraction | of | variance due | big | u_i) |
. hausman fe4 re4
Coefficients
(b) fe4 | (B) re4 | (bB) Difference | sqrt(diag(V_b-V_B)) SE | |
CAP | .9533545 | .9769671 | -.0236125 | .0314551 |
NPL | .6512734 | .6580931 | -.0068197 | .123728 |
ROE | .1061424 | .1384669 | -.0323245 | .0177662 |
CAR | .0008097 | .0068517 | -.006042 | .0051857 |
GDP | .292373 | .1274603 | .1649127 | .2128693 |
MIR | -.7501403 | -.7083918 | -.0417485 | .0534521 |
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(6) = (bB)'[(V_b-V_B)^(-1)](bB)
= 3.70
Prob>chi2 = 0.7171
Appendix 5. Multicollinearity test
. collin CAP NPL ROE TOA GDP MIR
(obs=234)
Collinearity Diagnostics
SQRT R-
Variable VIF VIF Tolerance Squared
-------------------------------------------------- -- CAP 1.89 1.37 0.5294 0.4706
NPL 1.13 1.06 0.8860 0.1140
ROE 1.18 1.08 0.8510 0.1490
TOA 2.03 1.42 0.4932 0.5068
GDP 1.17 1.08 0.8540 0.1460
MIR 1.23 1.11 0.8162 0.1838
-------------------------------------------------- -- Mean VIF 1.44
Appendix 6. Autocorrelation test
. xtserial L1 CAP NPL ROE TOA GDP MIR
Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation
F( 1, 25) = 18.914
Prob > F = 0.0002
. xtserial L2 CAP NPL ROE TOA GDP MIR
Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation
F( 1, 25) = 12.457
Prob > F = 0.0016
. xtserial L3 CAP NPL ROE TOA GDP MIR
Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation
F( 1, 25) = 62.055
Prob > F = 0.0000
. xtserial L4 CAP NPL ROE TOA GDP MIR
Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation
F( 1, 25) = 16.194
Prob > F = 0.0005
. xttest0
Appendix 7. Heteroscedasticity test
Breusch and Pagan Lagrangian multiplier test for random effects
L1[BANK1,t] = Xb + u[BANK1] + e[BANK1,t]
Estimated results:
Var sd = sqrt(Var)
L1 .0113308 .106446
e .0052377 .0723721
u .00433 .0658031
Test: Var(u) = 0
chibar2(01) = 169.58 Prob > chibar2 = 0.0000
. xttest0
Breusch and Pagan Lagrangian multiplier test for random effects
L2[BANK1,t] = Xb + u[BANK1] + e[BANK1,t]
Estimated results:
Var sd = sqrt(Var)
L2 .0222918 .1493044
e .0100214 .1001072
u .0063243 .0795254
Test: Var(u) = 0
chibar2(01) = 121.67 Prob > chibar2 = 0.0000
. xttest0
Breusch and Pagan Lagrangian multiplier test for random effects
L3[BANK1,t] = Xb + u[BANK1] + e[BANK1,t]
Estimated results:
Var sd = sqrt(Var)
L3 .0181084 .1345674
e .0072516 .0851564
u .0096009 .0979841
Test: Var(u) = 0
chibar2(01) = 273.40 Prob > chibar2 = 0.0000
Breusch and Pagan Lagrangian multiplier test for random effects
L4[BANK1,t] = Xb + u[BANK1] + e[BANK1,t]
Estimated results:
Var sd = sqrt(Var)
L4 .0341593 .1848225
e .0137233 .1171466
u .0187786 .1370349
Test: Var(u) = 0
chibar2(01) = 270.29 Prob > chibar2 = 0.0000
Appendix 8. GLS regression results
. xtgls L1 CAP NPL ROE TOA GDP MIR, panels(correlated)
Cross-sectional time-series FGLS regression
Coefficients: generalized least squares
Panels: heteroskedastic with cross-sectional correlation Correlation: no autocorrelation
covariance | = | 351 | Number of obs | = | 234 | |
Estimate | autocorrelations | = | 0 | Number of groups | = | 26 |
Estimate | coefficients | = | 7 | Time periods | = | 9 |
Wald chi2(6) | = | 103.37 | ||||
Prob > chi2 | = | 0.0000 |
L1
Coef. | Std. Err. | z | P>|z| | [95% Conf. | Interval] | |
CAP | -.1336323 | .0899655 | -1.49 | 0.137 | -.3099614 | .0426968 |
NPL | -1.048426 | .5116941 | -2.05 | 0.040 | -2.051328 | -.0455238 |
ROE | .085451 | .0766803 | 1.11 | 0.265 | -.0648396 | .2357416 |
CAR | -.0095086 | .0033038 | -2.88 | 0.004 | -.0159839 | -.0030333 |
GDP | -3.428545 | 1.226006 | -2.80 | 0.005 | -5.831473 | -1.025617 |
MIR | 1.512976 | .2332956 | 6.49 | 0.000 | 1.055725 | 1.970227 |
_cons | .4278216 | .0860633 | 4.97 | 0.000 | .2591406 | .5965026 |
covariance | = | 351 | Number of obs | = | 234 | |
Estimate | autocorrelations | = | 0 | Number of groups | = | 26 |
Estimate | coefficients | = | 7 | Time periods | = | 9 |
Wald chi2(6) | = | 59.02 | ||||
Prob > chi2 | = | 0.0000 |
L2
Coef. | Std. Err. | z | P>|z| | [95% Conf. | Interval] | |
CAP | .2194927 | .1567015 | 1.40 | 0.161 | -.0876367 | .5266221 |
NPL | -1.632101 | .5313774 | -3.07 | 0.002 | -2.673581 | -.5906199 |
ROE | .1645354 | .1086949 | 1.51 | 0.130 | -.0485028 | .3775735 |
CAR | -.0131394 | .0071267 | -1.84 | 0.065 | -.0271076 | .0008287 |
GDP | -3.702348 | 3.488315 | -1.06 | 0.289 | -10.53932 | 3.134623 |
MIR | 2.631954 | .630906 | 4.17 | 0.000 | 1.395401 | 3.868508 |
_cons | .4145577 | .2428879 | 1.71 | 0.088 | -.0614938 | .8906092 |
. xtgls L3 CAP NPL ROE TOA GDP MIR, panels(correlated)
Cross-sectional time-series FGLS regression
Coefficients: generalized least squares
Panels: heteroskedastic with cross-sectional correlation Correlation: no autocorrelation
covariance | = | 351 | Number of obs | = | 234 | |
Estimate | autocorrelations | = | 0 | Number of groups | = | 26 |
Estimate | coefficients | = | 7 | Time periods | = | 9 |
Wald chi2(6) | = | 56.56 | ||||
Prob > chi2 | = | 0.0000 |
L3
Coef. | Std. Err. | z | P>|z| | [95% Conf. | Interval] | |
CAP | .4457578 | .1290483 | 3.45 | 0.001 | .1928278 | .6986878 |
NPL | .8880482 | .4796989 | 1.85 | 0.064 | -.0521443 | 1.828241 |
ROE | .1591352 | .0786932 | 2.02 | 0.043 | .0048994 | .313371 |
CAR | .0146403 | .0079836 | 1.83 | 0.067 | -.0010073 | .0302878 |
GDP | -.1597238 | 1.18727 | -0.13 | 0.893 | -2.48673 | 2.167282 |
MIR | -1.148338 | .2238594 | -5.13 | 0.000 | -1.587094 | -.7095816 |
_cons | .3724828 | .1245873 | 2.99 | 0.003 | .1282961 | .6166695 |
covariance | = | 351 | Number of obs | = | 234 | |
Estimate | autocorrelations | = | 0 | Number of groups | = | 26 |
Estimate | coefficients | = | 7 | Time periods | = | 9 |
Wald chi2(6) | = | 64.30 | ||||
Prob > chi2 | = | 0.0000 |
L4
Coef. | Std. Err. | z | P>|z| | [95% Conf. | Interval] | |
CAP | .9821538 | .1438706 | 6.83 | 0.000 | .7001726 | 1.264135 |
NPL | 1.029679 | .6387252 | 1.61 | 0.107 | -.2221991 | 2.281558 |
ROE | .2161293 | .0700813 | 3.08 | 0.002 | .0787725 | .3534861 |
CAR | .0226033 | .005206 | 4.34 | 0.000 | .0123997 | .0328069 |
GDP | .0167516 | 1.804386 | 0.01 | 0.993 | -3.51978 | 3.553283 |
MIR | -.5775459 | .3009248 | -1.92 | 0.055 | -1.167348 | .0122559 |
_cons | .290608 | .1354857 | 2.14 | 0.032 | .025061 | .5561551 |