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/ // //

/ / // / // 12.0 Copyright 1985-2011 StataCorp LP Statistics/Data Analysis StataCorp

4905 Lakeway Drive

Special Edition College Station, Texas 77845 USA

800-STATA-PC http://www.stata.com 979-696-4600 stata@stata.com

979-696-4601 (fax)


Single-user Stata network perpetual license: Serial number: 93611859953

Licensed to: STATAforAll

STATA


Notes:

1. (/v# option or -set maxvar-) 5000 maximum variables


. use "E:LUAN ANCHUONG LUAN ANKET QUATTCK_VN_506_cb.dta", clear


. xtset CONGTY NAM

panel variable: CONGTY (strongly balanced) time variable: NAM, 2014 to 2016

delta: 1 unit PHAN TICH VOI PHUONG PHAP 2SLS

. ivregress 2sls CS_CBTT HDQT KTGD TVDL SHQT (QMCT= DBTC SHNN SGDCK) ROA TOBIN_Q CTKT,

vce(robust)

Instrumental variables (2SLS) regression Number of obs = 1452

Wald chi2(8) = 134.72

Prob > chi2 = 0.0000

R-squared = 0.1061

Root MSE = 5.4822


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

| Robust

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

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

QMCT

|

.4536714

.1616355

2.81

0.005

.1368717

.7704711

HDQT

|

.2142414

.1057671

2.03

0.043

.0069417

.421541

KTGD

|

-.8220971

.3299461

-2.49

0.013

-1.46878

-.1754146

TVDL

|

.7662775

.1539554

4.98

0.000

.4645305

1.068025

SHQT

|

.0052566

.0077749

0.68

0.499

-.009982

.0204952

ROA

|

9.98633

1.635039

6.11

0.000

6.781713

13.19095

TOBIN_Q

|

.2443437

.1779386

1.37

0.170

-.1044096

.593097

CTKT

|

.6614743

.4251043

1.56

0.120

-.1717149

1.494663

_cons

|

47.48094

4.12909

11.50

0.000

39.38808

55.57381

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Minh bạch và công bố thông tin của các công ty niêm yết trên thị trường chứng khoán Việt Nam - 34

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

Instrumented: QMCT

Instruments: HDQT KTGD TVDL SHQT ROA TOBIN_Q CTKT DBTC SHNN SGDCK

. estat endogenous


Tests of endogeneity

Ho: variables are exogenous


Robust score chi2(1) = 2.64683 (p = 0.1038) Robust regression F(1,1442) = 2.61328 (p = 0.1062)


. estat overid


Test of overidentifying restrictions:


Score chi2(2) = 11.0583 (p = 0.0040)


. estimates store MH1


. ivregress 2sls CS_CBTT l.CS_CBTT HDQT KTGD TVDL SHQT (QMCT= BGD SHNN) DBTC ROA TOBIN_Q

SGDCK CTKT, vce(rob

> ust)


Instrumental variables (2SLS) regression

Number of obs

=

968


Wald chi2(11)

=

525.57


Prob > chi2

=

0.0000


R-squared

=

0.3871


Root MSE

=

4.5538


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

| Robust

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

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

QMCT


CS_CBTT

|

|

|

1.378895

.4737611

2.91

0.004

.4503406

2.30745

L1.

|

.558873

.0351442

15.90

0.000

.4899917

.6277542


|







HDQT

|

-.1302895

.1294014

-1.01

0.314

-.3839115

.1233325

KTGD

|

-.3924002

.3492789

-1.12

0.261

-1.076974

.2921738

TVDL

|

.3677178

.1585813

2.32

0.020

.0569041

.6785316

SHQT

|

.0084404

.0088736

0.95

0.342

-.0089514

.0258323

DBTC

|

-3.891404

1.475666

-2.64

0.008

-6.783657

-.9991514

ROA

|

5.161648

1.999447

2.58

0.010

1.242803

9.080492

TOBIN_Q

|

.1998455

.1042987

1.92

0.055

-.0045762

.4042672

SGDCK

|

-1.294259

.6799591

-1.90

0.057

-2.626955

.0384362

CTKT

|

-1.68099

.6903502

-2.43

0.015

-3.034052

-.3279285

_cons

|

-6.334871

10.46806

-0.61

0.545

-26.8519

14.18216

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

Instrumented: QMCT

Instruments: L.CS_CBTT HDQT KTGD TVDL SHQT DBTC ROA TOBIN_Q SGDCK CTKT BGD SHNN

. estat endogenous


Tests of endogeneity

Ho: variables are exogenous


Robust score chi2(1) = 6.19647 (p = 0.0128) Robust regression F(1,955) = 5.90547 (p = 0.0153)


. estat overid


Test of overidentifying restrictions:


Score chi2(1) = 1.18272 (p = 0.2768)


. estimates store MH2


. ivregress 2sls CS_CBTT l.CS_CBTT HDQT KTGD TVDL DBTC TOBIN_Q ROA (QMCT= BGD SHNN),

vce(robust)


Instrumental variables (2SLS) regression


Number of obs


=


968


Wald chi2(8)

=

569.39


Prob > chi2

=

0.0000


R-squared

=

0.3999


Root MSE

=

4.5061


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

|

CS_CBTT |


Coef.

Robust

Std. Err.


z


P>|z|


[95% Conf. Interval]

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

QMCT


CS_CBTT

|

|

|

.9285234

.2817628

3.30

0.001

.3762785

1.480768

L1.


HDQT

|

|

|

.555406


-.0698672

.0361503


.1057455

15.36


-0.66

0.000


0.509

.4845526


-.2771245

.6262593


.1373902

KTGD

|

-.332126

.3463838

-0.96

0.338

-1.011026

.3467739

TVDL

|

.2197265

.164691

1.33

0.182

-.1030619

.542515

DBTC

|

-2.598235

1.03933

-2.50

0.012

-4.635285

-.5611861

TOBIN_Q

|

.1481376

.0811504

1.83

0.068

-.0109142

.3071893

ROA

|

5.260543

2.298253

2.29

0.022

.7560493

9.765037

_cons

|

4.287677

6.006104

0.71

0.475

-7.48407

16.05942

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

Instrumented: QMCT

Instruments: L.CS_CBTT HDQT KTGD TVDL DBTC TOBIN_Q ROA BGD SHNN


. estat endogenous


Tests of endogeneity

Ho: variables are exogenous


Robust score chi2(1)

= 7.0482

(p = 0.0079)

Robust regression F(1,958)

= 6.63392

(p = 0.0102)

. estat overid


Test of overidentifying restrictions:


Score chi2(1) = .001263 (p = 0.9717)


. estimates store MH3


. ivregress 2sls CS_CBTT l.CS_CBTT HDQT KTGD TVDL TOBIN_Q ROA ( QMCT= BGD SHQT SHNN DBTC),

vce(robust)


Instrumental variables (2SLS) regression


Number of obs


=


968


Wald chi2(7)

=

548.52


Prob > chi2

=

0.0000


R-squared

=

0.4227


Root MSE

=

4.4194


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

|

CS_CBTT |


Coef.

Robust

Std. Err.


z


P>|z|


[95% Conf. Interval]

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

QMCT


CS_CBTT

|

|

|

.4262009

.1716399

2.48

0.013

.0897929

.7626089

L1.


HDQT

|

|

|

.5863992


.0598568

.0318892


.0938516

18.39


0.64

0.000


0.524

.5238976


-.124089

.6489008


.2438025

KTGD

|

-.4168848

.3381377

-1.23

0.218

-1.079623

.2458529

TVDL

|

.2869585

.1624117

1.77

0.077

-.0313625

.6052796

TOBIN_Q

|

.1378175

.0772533

1.78

0.074

-.0135963

.2892312

ROA

|

6.59885

1.681179

3.93

0.000

3.303801

9.8939

_cons

|

14.0116

4.184691

3.35

0.001

5.80976

22.21345

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

Instrumented: QMCT

Instruments: L.CS_CBTT HDQT KTGD TVDL TOBIN_Q ROA BGD SHQT SHNN DBTC

. estat endogenous Tests of endogeneity

Ho: variables are exogenous


Robust score chi2(1) = 1.85247 (p = 0.1735) Robust regression F(1,959) = 1.8234 (p = 0.1772)


. estat overid


Test of overidentifying restrictions:


Score chi2(3) = 7.54497 (p = 0.0564)


. estimates store MH4

. ivregress 2sls CS_CBTT l.CS_CBTT HDQT KTGD TVDL SHQT DBTC ROA CTKT (QMCT= BGD SHNN

SGDCK), vce(robust)


Number of obs

=

968

Wald chi2(9)

=

554.74

Prob > chi2

=

0.0000

R-squared

=

0.4203

Root MSE

=

4.4286

Instrumental variables (2SLS) regression


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

| Robust

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

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

QMCT


CS_CBTT

|

|

|

.7024289

.219056

3.21

0.001

.273087

1.131771

L1.

|

.5816893

.0313837

18.53

0.000

.5201783

.6432002


|







HDQT

|

.0461519

.0958939

0.48

0.630

-.1417966

.2341004

KTGD

|

-.4468966

.3346415

-1.34

0.182

-1.102782

.2089886

TVDL

|

.2913152

.1600791

1.82

0.069

-.022434

.6050645

SHQT

|

.0058375

.0086603

0.67

0.500

-.0111364

.0228114

DBTC

|

-1.969219

.8607402

-2.29

0.022

-3.656239

-.2821992

ROA

|

5.939606

1.797921

3.30

0.001

2.415746

9.463466

CTKT

|

-.9567799

.4780109

-2.00

0.045

-1.893664

-.0198958

_cons

|

8.152284

5.14888

1.58

0.113

-1.939336

18.2439

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

Instrumented: QMCT

Instruments: L.CS_CBTT HDQT KTGD TVDL SHQT DBTC ROA CTKT BGD SHNN SGDCK

. estat endogenous Tests of endogeneity

Ho: variables are exogenous


Robust score chi2(1) = 4.30326 (p = 0.0380) Robust regression F(1,957) = 4.2658 (p = 0.0392)


. estat overid


Test of overidentifying restrictions:


Score chi2(2) = 5.80738 (p = 0.0548)


. estimates store MH5

. esttab MH1 MH2 MH3 MH4 MH5, r2 star(* 0.1 ** 0.05 *** 0.01) brackets nogap compress


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

(1)

(2)

(3)

(4)

(5)

CS_CBTT

CS_CBTT

CS_CBTT

CS_CBTT

CS_CBTT

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

QMCT

0.454***

1.379***

0.929***

0.426**

0.702***


[2.81]

[2.91]

[3.30]

[2.48]

[3.21]

HDQT

0.214**

-0.130

-0.0699

0.0599

0.0462


[2.03]

[-1.01]

[-0.66]

[0.64]

[0.48]

KTGD

-0.822**

-0.392

-0.332

-0.417

-0.447


[-2.49]

[-1.12]

[-0.96]

[-1.23]

[-1.34]

TVDL

0.766***

0.368**

0.220

0.287*

0.291*


[4.98]

[2.32]

[1.33]

[1.77]

[1.82]

SHQT

0.00526

0.00844



0.00584


[0.68]

[0.95]



[0.67]

ROA

9.986***

5.162***

5.261**

6.599***

5.940***


[6.11]

[2.58]

[2.29]

[3.93]

[3.30]

TOBIN_Q

0.244

0.200*

0.148*

0.138*



[1.37]

[1.92]

[1.83]

[1.78]


CTKT

0.661

-1.681**



-0.957**


[1.56]

[-2.43]



[-2.00]

L.CS_CBTT


0.559***

0.555***

0.586***

0.582***



[15.90]

[15.36]

[18.39]

[18.53]

DBTC


-3.891***

-2.598**


-1.969**



[-2.64]

[-2.50]


[-2.29]

SGDCK


-1.294*






[-1.90]




_cons

47.48***

-6.335

4.288

14.01***

8.152


[11.50]

[-0.61]

[0.71]

[3.35]

[1.58]

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

N

1452

968

968

968

968

R-sq

0.106

0.387

0.400

0.423

0.420

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

t statistics in brackets

* p<0.1, ** p<0.05, *** p<0.01

* PHAN TICH CHI SO CBTT VOI PHUONG PHAP GMM


. ivregress gmm CS_CBTT HDQT KTGD TVDL SHQT (QMCT= DBTC SHNN SGDCK) ROA TOBIN_Q CTKT,

vce(robust)

Instrumental variables (GMM) regression Number of obs = 1452

Wald chi2(8) = 134.10

Prob > chi2 = 0.0000

R-squared = 0.1030

GMM weight matrix: Robust Root MSE = 5.4916


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

| Robust

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

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

QMCT

|

.3549384

.1588518

2.23

0.025

.0435947

.6662822

HDQT

|

.2319379

.1053694

2.20

0.028

.0254177

.438458

KTGD

|

-.8239442

.3302539

-2.49

0.013

-1.47123

-.1766584

TVDL

|

.8111065

.1542753

5.26

0.000

.5087324

1.113481

SHQT

|

.0061777

.0077488

0.80

0.425

-.0090097

.0213651

ROA

|

9.737808

1.635576

5.95

0.000

6.532138

12.94348

TOBIN_Q

|

.2833039

.197285

1.44

0.151

-.1033676

.6699753

CTKT

|

.8590628

.4204636

2.04

0.041

.0349693

1.683156

_cons

|

49.92005

4.06174

12.29

0.000

41.95919

57.88091

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

Instrumented: QMCT

Instruments: HDQT KTGD TVDL SHQT ROA TOBIN_Q CTKT DBTC SHNN SGDCK


. estat endogenous


Test of endogeneity (orthogonality conditions) Ho: variables are exogenous


GMM C statistic chi2(1) = 4.66482 (p = 0.0308)


. estat overid


Test of overidentifying restriction: Hansen's J chi2(2) = 11.0583 (p = 0.0040)

. estimates store GMM1


. ivregress gmm CS_CBTT l.CS_CBTT HDQT KTGD TVDL SHQT (QMCT= BGD SHNN) DBTC ROA TOBIN_Q

SGDCK CTKT, vce(robu

> st)


Instrumental variables (GMM) regression

Number of obs

=

968


Wald chi2(11)

=

564.46


Prob > chi2

=

0.0000


R-squared

=

0.3831

GMM weight matrix: Robust

Root MSE

=

4.5689

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

| Robust

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

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

QMCT


CS_CBTT

|

|

|

1.429897

.4739609

3.02

0.003

.5009507

2.358843

L1.

|

.564869

.0347506

16.25

0.000

.4967591

.6329789


|







HDQT

|

-.1444553

.1293662

-1.12

0.264

-.3980083

.1090977

KTGD

|

-.3834485

.3499964

-1.10

0.273

-1.069429

.302532

TVDL

|

.376927

.1585472

2.38

0.017

.0661801

.6876739

SHQT

|

.0088987

.008894

1.00

0.317

-.0085333

.0263306

DBTC

|

-4.011634

1.477049

-2.72

0.007

-6.906596

-1.116672

ROA

|

5.09287

2.005189

2.54

0.011

1.162773

9.022968

TOBIN_Q

|

.2007405

.1038734

1.93

0.053

-.0028476

.4043287

SGDCK

|

-1.377503

.6788952

-2.03

0.042

-2.708113

-.046893

CTKT

|

-1.735271

.6919576

-2.51

0.012

-3.091483

-.3790595

_cons

|

-7.91179

10.43048

-0.76

0.448

-28.35515

12.53157

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

Instrumented: QMCT

Instruments: L.CS_CBTT HDQT KTGD TVDL SHQT DBTC ROA TOBIN_Q SGDCK CTKT BGD SHNN


. estat endogenous


Test of endogeneity (orthogonality conditions) Ho: variables are exogenous


GMM C statistic chi2(1) = 6.46883 (p = 0.0110)


. estat overid


Test of overidentifying restriction: Hansen's J chi2(1) = 1.18272 (p = 0.2768)

. estimates store GMM2


. ivregress gmm CS_CBTT l.CS_CBTT HDQT KTGD TVDL DBTC TOBIN_Q ROA (QMCT= BGD SHNN),

vce(robust)


Instrumental variables (GMM) regression


Number of obs


=


968


Wald chi2(8)

=

594.99


Prob > chi2

=

0.0000


R-squared

=

0.4000

GMM weight matrix: Robust

Root MSE

=

4.5058

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