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Hiện đại hóa hoạt động của các ngân hàng thương mại Việt Nam - 16


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Phụ lục kiểm định khuyết tật của các mô hình kinh tế lượng

Mô hình 1: đánh giá ảnh hưởng của đầu tư công nghệ đến tỷ suất sinh lời trên vốn chủ sở hữu

ROE = a1 + a2 × FL + a3 × Scale + a4 × T/E + u (1)


Kiểm định phương sai sai số thay đổi


White Heteroskedasticity Test:

F-statistic 0.790917 Probability 0.615625

Obs*R-squared 6.884947 Probability 0.549096


Test Equation:

Dependent Variable: RESID^2 Method: Least Squares Sample: 1 33

Included observations: 33

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C

194.7031

306.1088

0.636059

0.5308

SCALE

-182.1156

282.9694

-0.643588

0.5259

SCALE*TE

15.28370

41.87834

0.364955

0.7183

SCALE*FL

5.992633

7.728292

0.775415

0.4457

TE

-38.20565

57.30945

-0.666655

0.5114

TE^2

1.207647

1.901770

0.635012

0.5314

TE*FL

0.723497

0.937655

0.771603

0.4479

FL

2.696958

8.637595

0.312235

0.7576

FL^2

-0.360021

0.266621

-1.350310

0.1895

R-squared

0.208635

Mean dependent var

16.02936

Adjusted R-squared

-0.055154

S.D. dependent var

38.80914

S.E. of regression

39.86501

Akaike info criterion

10.43588

Sum squared resid

38141.25

Schwarz criterion

10.84401

Log likelihood

-163.1920

F-statistic

0.790917

Durbin-Watson stat

2.381202

Prob(F-statistic)

0.615625

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Hiện đại hóa hoạt động của các ngân hàng thương mại Việt Nam - 16


Kiểm định tự tương quan

Breusch-Godfrey Serial Correlation LM Test:

F-statistic 1.031184

Probability

0.370205

Obs*R-squared 2.341796

Probability

0.310088


Test Equation:

Dependent Variable: RESID Method: Least Squares

Presample missing value lagged residuals set to zero.

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C

0.371017

3.387422

0.109528

0.9136

SCALE

-0.304040

2.717274

-0.111891

0.9117

TE

-0.039660

0.286136

-0.138604

0.8908

FL

0.005202

0.131970

0.039420

0.9688

RESID(-1)

0.084627

0.194134

0.435918

0.6664

RESID(-2)

-0.261707

0.188445

-1.388766

0.1763

R-squared

0.070964

Mean dependent var

2.87E-15

Adjusted R-squared

-0.101080

S.D. dependent var

4.065744

S.E. of regression

4.266282

Akaike info criterion

5.902328

Sum squared resid

491.4314

Schwarz criterion

6.174420

Log likelihood

-91.38842

F-statistic

0.412473

Durbin-Watson stat

1.822035

Prob(F-statistic)

0.835869


Kiểm định dạng hàm


Ramsey RESET Test:


F-statistic

2.640846

Probability

0.115353

Log likelihood ratio

2.974272

Probability

0.084598

Test Equation: Dependent Variable: ROE Method: Least Squares

Date: 01/10/09 Time: 17:00 Sample: 1 33

Included observations: 33

Variable

Coefficient

Std. Error t-Statistic

Prob.

C

19.72770

7.726993 2.553089

0.0164

SCALE

-1.827050

2.818820 -0.648161

0.5222

TE

-0.149207

0.287816 -0.518411

0.6082

FL

2.608857

1.361256 1.916507

0.0656

FITTED^2

-0.203991

0.125528 -1.625068

0.1154

R-squared

0.329314

Mean dependent var

12.06540

Adjusted R-squared

0.233501

S.D. dependent var

4.745795

S.E. of regression

4.154939

Akaike info criterion

5.825200

Sum squared resid

483.3786

Schwarz criterion

6.051944

Log likelihood

-91.11580

F-statistic

3.437068

Durbin-Watson stat

1.868138

Prob(F-statistic)

0.020906


Mô hình 2: đánh giá ảnh hưởng của đầu tư công nghệ đến tỷ lệ an toàn vốn

CAR = b1 + b2 × FL + b3 × Scale + b4 × T/E + v (2)


Kiểm định phương sai sai số: khuyết tật

White Heteroskedasticity Test:

F-statistic 10.36110 Probability 0.000004

Obs*R-squared 25.59043 Probability 0.001234


Test Equation:

Dependent Variable: RESID^2 Method: Least Squares Sample: 1 33

Included observations: 33

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C

362.0286

96.34021

3.757814

0.0010

FL

-8.864576

2.718470

-3.260869

0.0033

FL^2

0.262247

0.083912

3.125245

0.0046

FL*SCALE

0.995460

2.432289

0.409269

0.6860

FL*TE

0.621321

0.295104

2.105432

0.0459

SCALE

-291.9568

89.05763

-3.278291

0.0032

SCALE*TE

35.60049

13.18018

2.701063

0.0125

TE

-52.65480

18.03674

-2.919309

0.0075

TE^2

1.602157

0.598535

2.676796

0.0132

R-squared

0.775468

Mean dependent var

16.93219

Adjusted R-squared

0.700623

S.D. dependent var

22.93056

S.E. of regression

12.54653

Akaike info criterion

8.123766

Sum squared resid

3777.970

Schwarz criterion

8.531904

Log likelihood

-125.0421

F-statistic

10.36110

Durbin-Watson stat

2.156446

Prob(F-statistic)

0.000004


Kiểm định dạng hàm: khuyết tật

Ramsey RESET Test:

F-statistic 11.76988 Probability 0.001887 Log likelihood ratio 11.57988 Probability 0.000667


Test Equation:

Dependent Variable: CAR/CARF Method: Least Squares

Sample: 1 33

Included observations: 33

Variable

Coefficient

Std. Error

t-Statistic

Prob.

1/CARF

23.20226

4.262952

5.442768

0.0000

FL/CARF

-0.502556

0.107353

-4.681365

0.0001

SCALE/CARF

-5.550497

3.253736

-1.705884

0.0991

TE/CARF

-0.574378

0.311154

-1.845961

0.0755

FITTED^2

0.080872

0.023573

3.430726

0.0019

R-squared

0.960872

Mean dependent var

1.254681

Adjusted R-squared

0.955282

S.D. dependent var

1.530519

S.E. of regression

0.323653

Akaike info criterion

0.720440

Sum squared resid

2.933043

Schwarz criterion

0.947184

Log likelihood

-6.887265

Durbin-Watson stat

1.971738



đổi dạng mô hình


Dependent Variable: CAR/CARF


Method: Least Squares


Sample: 1 33


Included observations: 33


Variable Coefficient

Std. Error t-Statistic

Prob.

1/CARF 20.11611

3.311382 6.074838

0.0000

FL/CARF -0.425276

0.118863 -3.577850

0.0012

TE/CARF 0.016137

0.175951 0.091716

0.9276

ROE -0.026703

0.011877 -2.248272

0.0323

R-squared 0.952534

Mean dependent var

1.254681

Adjusted R-squared 0.947624

S.D. dependent var

1.530519

S.E. of regression 0.350271

Akaike info criterion

0.852995

Sum squared resid 3.558009

Schwarz criterion

1.034390

Log likelihood -10.07442

Durbin-Watson stat

1.716363


Estimation Command:

=====================

LS CAR/CARF 1/CARF FL/CARF TE/CARF ROE


Estimation Equation:

=====================

CAR/CARF = C(1)*(1/CARF) + C(2)*(FL/CARF) + C(3)*(TE/CARF) + C(4)*ROE


Substituted Coefficients:

=====================

CAR/CARF = 20.11611087*(1/CARF) - 0.4252755668*(FL/CARF) + 0.01613748714*(TE/CARF) - 0.026703244*ROE


Kiểm định tự tương quan


Breusch-Godfrey Serial Correlation LM Test:

F-statistic 1.746734

Probability

0.193472

Obs*R-squared 3.767798

Probability

0.151996


Test Equation:

Dependent Variable: RESID Method: Least Squares

Presample missing value lagged residuals set to zero.

Variable

Coefficient

Std. Error

t-Statistic

Prob.

1/CARF

-1.823309

3.483919

-0.523350

0.6050

FL/CARF

0.078961

0.126233

0.625520

0.5369

TE/CARF

-0.018169

0.176705

-0.102821

0.9189

ROE

0.006591

0.012377

0.532500

0.5987

RESID(-1)

0.113944

0.194298

0.586437

0.5625

RESID(-2)

-0.376624

0.207899

-1.811566

0.0812

R-squared

0.114176

Mean dependent var

0.006879

Adjusted R-squared

-0.049866

S.D. dependent var

0.333375

S.E. of regression

0.341586

Akaike info criterion

0.852531

Sum squared resid

3.150388

Schwarz criterion

1.124624

Log likelihood

-8.066769

Durbin-Watson stat

1.866306


Kiểm định phương sai sai số thay đổi

White Heteroskedasticity Test:

F-statistic 1.253526 Probability 0.318588

Obs*R-squared 15.23587 Probability 0.292860


Test Equation:

Dependent Variable: RESID^2 Method: Least Squares Sample: 1 33

Included observations: 33

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C

3.223330

4.006081

0.804609

0.4310

1/CARF

-106.8475

155.0494

-0.689119

0.4991

(1/CARF)^2

999.3174

1636.493

0.610646

0.5487

(1/CARF)*(FL/CARF)

-44.52284

116.2266

-0.383069

0.7059

(1/CARF)*(TE/CARF)

-25.94273

26.74345

-0.970059

0.3442

(1/CARF)*ROE

-0.634829

3.735543

-0.169943

0.8669

FL/CARF

2.640983

5.651841

0.467278

0.6456

(FL/CARF)^2

0.340985

2.108520

0.161717

0.8732

(FL/CARF)*(TE/CARF

0.406814

0.695718

0.584739

0.5656

)





(FL/CARF)*ROE

0.018359

0.130900

0.140253

0.8899

TE/CARF

0.553875

1.574236

0.351837

0.7288

(TE/CARF)*ROE

0.097461

0.095343

1.022213

0.3195

ROE

-0.016900

0.188794

-0.089518

0.9296

ROE^2

0.000989

0.001079

0.916275

0.3710

R-squared

0.461693

Mean dependent var

0.107818

Adjusted R-squared

0.093378

S.D. dependent var

0.156889

S.E. of regression

0.149385

Akaike info criterion

-0.668167

Sum squared resid

0.424000

Schwarz criterion

-0.033285

Log likelihood

25.02476

F-statistic

1.253526

Durbin-Watson stat

2.236480

Prob(F-statistic)

0.318588


Kiểm định dạng hàm


Ramsey RESET Test:

F-statistic 3.364521 Probability 0.077263 Log likelihood ratio 3.744603 Probability 0.052978


Test Equation:

Dependent Variable: CAR/CARF Method: Least Squares

Sample: 1 33

Included observations: 33

Variable

Coefficient

Std. Error

t-Statistic

Prob.

1/CARF

18.46154

3.309422

5.578478

0.0000

FL/CARF

-0.486988

0.119144

-4.087384

0.0003

TE/CARF

-0.115237

0.183724

-0.627230

0.5356

ROE

-0.010597

0.014406

-0.735569

0.4681

FITTED^2

0.042505

0.023173

1.834263

0.0773

R-squared

0.957626

Mean dependent var

1.254681

Adjusted R-squared

0.951573

S.D. dependent var

1.530519

S.E. of regression

0.336809

Akaike info criterion

0.800128

Sum squared resid

3.176336

Schwarz criterion

1.026872

Log likelihood

-8.202116

Durbin-Watson stat

1.880741

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