KIỂM ĐỊNH HAUSMAN
Coefficients
(b) fe | (B) . | (b-B) Difference | sqrt(diag(V_b-V_B)) S.E. | |
cvnt | -.0002554 | -.0126792 | .0124238 | .0126326 |
tsnnt | .2216493 | .1150312 | .1066181 | .0507208 |
vcsh | .100462 | .1588311 | -.0583691 | .0404004 |
qmts | .0270024 | .0202788 | .0067236 | .0076214 |
cv | -.0437124 | -.0695559 | .0258435 | .0313031 |
vhdcv | .0126838 | .0068475 | .0058364 | .0047335 |
ttkt | -1.987262 | -1.544875 | -.4423868 | .2942216 |
lp | .0068559 | -.0273097 | .0341656 | .0399052 |
Có thể bạn quan tâm!
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Sufian Fadzlan And Habibullah Muzafar Shah., 2011. Globalizations And Bank Performance In China. Research In International Business And Finance, Elsevier, 26(2): 221-239. -
Nghiên cứu tác động của dịch vụ ngân hàng quốc tế đến hiệu quả hoạt động của các ngân hàng thương mại Việt Nam - 23 -
Nghiên cứu tác động của dịch vụ ngân hàng quốc tế đến hiệu quả hoạt động của các ngân hàng thương mại Việt Nam - 24 -
Nghiên cứu tác động của dịch vụ ngân hàng quốc tế đến hiệu quả hoạt động của các ngân hàng thương mại Việt Nam - 26 -
Nghiên cứu tác động của dịch vụ ngân hàng quốc tế đến hiệu quả hoạt động của các ngân hàng thương mại Việt Nam - 27
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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)
= 9.67
Prob>chi2 = 0.2888
(V_b-V_B is not positive definite)
KIỂM ĐỊNH BREUSCH-PAGAN LAGRANGIAN
Breusch and Pagan Lagrangian multiplier test for random effects
hqktt[bank,t] = Xb + u[bank] + e[bank,t]
Estimated results:
Var sd = sqrt(Var)
hqktt .0045186 .0672209
e .0027546 .0524847
u .0013903 .0372873
Test: Var(u) = 0
chi2(1) = 40.35
Prob > chi2 = 0.0000
KIỂM ĐỊNH WOOLDRIDGE
Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation
F( 1, 36) = 10.724
Prob > F = 0.0023
MÔ HÌNH FGLS VỚI BIẾN PHỤ THUỘC HQKTT
Cross-sectional time-series FGLS regression
Coefficients: generalized least squares Panels: heteroskedastic
Correlation: common AR(1) coefficient for all panels (0.4936)
= | 38 | Number of obs | = | 242 | |
Estimated autocorrelations | = | 1 | Number of groups | = | 38 |
Estimated coefficients | = | 9 | Obs per group: min | = | 2 |
avg | = | 6.368421 | |||
max | = | 7 | |||
Wald chi2(8) | = | 39.09 | |||
Prob > chi2 | = | 0.0000 | |||
Coef. | Std. Err. | z | P>|z| | [95% Conf. | Interval] | |
cvnt | -.0004067 | .0167505 | -0.02 | 0.981 | -.033237 | .0324236 |
tsnnt | .0671865 | .0327671 | 2.05 | 0.040 | .0029642 | .1314089 |
vcsh | .1634918 | .0519448 | 3.15 | 0.002 | .0616818 | .2653018 |
qmts | .0182934 | .004281 | 4.27 | 0.000 | .0099028 | .0266839 |
cv | -.0320864 | .0331425 | -0.97 | 0.333 | -.0970444 | .0328717 |
vhdcv | .0059352 | .0092168 | 0.64 | 0.520 | -.0121293 | .0239998 |
ttkt | -.8488412 | .5445592 | -1.56 | 0.119 | -1.916158 | .2184753 |
lp | -.0017012 | .039563 | -0.04 | 0.966 | -.0792432 | .0758409 |
_cons | .66676 | .0768905 | 8.67 | 0.000 | .5160574 | .8174627 |
PHỤ LỤC 12
MÔ HÌNH HỒI QUY VÀ PHƯƠNG PHÁP KIỂM ĐỊNH ĐỐI VỚI TOÀN BỘ CÁC NGÂN HÀNG NGHIÊN CỨU VỚI BIẾN PHỤ THUỘC HQQM
MÔ HÌNH POOLED VỚI BIẾN PHỤ THUỘC HQQM
Source | SS | df | MS |
Model | .057208422 | 8 | .007151053 |
Residual | .553755128 | 233 | .002376631 |
Total | .61096355 | 241 | .002535118 |
Number of obs | = | 242 |
F( 8, 233) | = | 3.01 |
Prob > F | = | 0.0031 |
R-squared | = | 0.0936 |
Adj R-squared | = | 0.0625 |
Root MSE | = | .04875 |
Coef. | Std. Err. | t | P>|t| | [95% Conf. | Interval] | |
cvnt | .002265 | .0158196 | 0.14 | 0.886 | -.0289027 | .0334328 |
tsnnt | .0520516 | .0356661 | 1.46 | 0.146 | -.0182177 | .1223209 |
vcsh | .0048439 | .0518601 | 0.09 | 0.926 | -.0973307 | .1070186 |
qmts | -.005817 | .0038971 | -1.49 | 0.137 | -.013495 | .0018611 |
cv | -.0853608 | .0317574 | -2.69 | 0.008 | -.1479291 | -.0227925 |
vhdcv | -.0061593 | .0108394 | -0.57 | 0.570 | -.027515 | .0151963 |
ttkt | .5987865 | .8237527 | 0.73 | 0.468 | -1.024169 | 2.221742 |
lp | -.1898781 | .0584308 | -3.25 | 0.001 | -.3049984 | -.0747579 |
_cons | 1.095848 | .0837498 | 13.08 | 0.000 | .9308439 | 1.260851 |
Fixed-effects (within) regression | Number of obs | = | 242 | |||||
Group variable: bank | Number of groups | = | 38 | |||||
R-sq: within | = | 0.1105 | Obs | per | group: | min | = | 2 |
between | = | 0.1345 | avg | = | 6.4 | |||
overall | = | 0.0165 | max | = | 7 | |||
F(8,196) | = | 3.04 | ||||||
corr(u_i, Xb) | = | -0.7022 | Prob > F | = | 0.0030 | |||
Coef. | Std. Err. | t P>|t| | [95% Conf. | Interval] | |||
cvnt | -.0070343 | .018964 | -0.37 0.711 | -.044434 | .0303654 | ||
tsnnt | -.0435729 | .057041 | -0.76 0.446 | -.1560658 | .06892 | ||
vcsh | .1273834 | .0631246 | 2.02 0.045 | .0028928 | .2518741 | ||
qmts | .028432 | .0075073 | 3.79 0.000 | .0136265 | .0432375 | ||
cv | .0087397 | .0400577 | 0.22 0.828 | -.0702597 | .0877392 | ||
vhdcv | -.0149486 | .0104527 | -1.43 0.154 | -.0355629 | .0056656 | ||
ttkt | -.3513773 | .724002 | -0.49 0.628 | -1.779211 | 1.076457 | ||
lp | .0165544 | .0598797 | 0.28 0.782 | -.1015368 | .1346456 | ||
_cons | .4886467 | .1401859 | 3.49 0.001 | .2121804 | .765113 | ||
sigma_u | .0500767 | ||||||
sigma_e | .03946075 | ||||||
rho | .61692073 | (fraction | of | variance due | to | u_i) |
F test that all u_i=0: F(37, 196) = 4.31 Prob > F = 0.0000
MÔ HÌNH REM VỚI BIẾN PHỤ THUỘC HQQM
Random-effects GLS regression Number of obs = 242
Group variable: bank Number of groups = 38
R-sq: within = 0.0490 Obs per group: min = 2
between = 0.0734 avg = 6.4
overall = 0.0509 max = 7
Random effects u_i ~ Gaussian Wald chi2(8) = 12.46
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.1318
Coef. | Std. Err. | z P>|z| | [95% Conf. | Interval] | |||
cvnt | .0039679 | .016857 | 0.24 0.814 | -.0290711 | .037007 | ||
tsnnt | -.0132859 | .0430567 | -0.31 0.758 | -.0976756 | .0711037 | ||
vcsh | .0535347 | .0568113 | 0.94 0.346 | -.0578134 | .1648829 | ||
qmts | .0040047 | .0048934 | 0.82 0.413 | -.0055863 | .0135956 | ||
cv | -.0682715 | .0332611 | -2.05 0.040 | -.133462 | -.003081 | ||
vhdcv | -.0122304 | .0101948 | -1.20 0.230 | -.0322117 | .007751 | ||
ttkt | .3552342 | .7178766 | 0.49 0.621 | -1.051778 | 1.762246 | ||
lp | -.1225975 | .0536342 | -2.29 0.022 | -.2277186 | -.0174764 | ||
_cons | .9301615 | .0938172 | 9.91 0.000 | .7462831 | 1.11404 | ||
sigma_u | .02543715 | ||||||
sigma_e | .03946075 | ||||||
rho | .29355267 | (fraction | of | variance due | to | u_i) |
KIỂM ĐỊNH HAUSMAN
Coefficients
(b) fe | (B) . | (b-B) Difference | sqrt(diag(V_b-V_B)) S.E. | |
cvnt | -.0070343 | .0039679 | -.0110022 | .0086877 |
tsnnt | -.0435729 | -.0132859 | -.030287 | .0374138 |
vcsh | .1273834 | .0535347 | .0738487 | .0275171 |
qmts | .028432 | .0040047 | .0244273 | .0056933 |
cv | .0087397 | -.0682715 | .0770112 | .0223231 |
vhdcv | -.0149486 | -.0122304 | -.0027182 | .0023079 |
ttkt | -.3513773 | .3552342 | -.7066115 | .0939796 |
lp | .0165544 | -.1225975 | .1391519 | .0266261 |
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)
= 29.96
Prob>chi2 = 0.0002
(V_b-V_B is not positive definite)
KIỂM ĐỊNH MODIFIED WALD
Modified Wald test for groupwise heteroskedasticity in fixed effect regression model
H0: sigma(i)^2 = sigma^2 for all i
chi2 (38) = 4880.16
Prob>chi2 = 0.0000
KIỂM ĐỊNH WOOLDRIDGE
Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation
F( 1, 36) = 4.653
Prob > F = 0.0377
MÔ HÌNH FGLS VỚI BIẾN PHỤ THUỘC HQQM
Cross-sectional time-series FGLS regression
Coefficients: generalized least squares Panels: heteroskedastic
Correlation: common AR(1) coefficient for all panels (0.3870)
= | 38 | Number of obs | = | 242 | |
Estimated autocorrelations | = | 1 | Number of groups | = | 38 |
Estimated coefficients | = | 9 | Obs per group: min | = | 2 |
avg | = | 6.368421 | |||
max | = | 7 | |||
Wald chi2(8) | = | 25.45 | |||
Prob > chi2 | = | 0.0013 | |||
Coef. | Std. Err. | z | P>|z| | [95% Conf. | Interval] | |
cvnt | -.0062644 | .010491 | -0.60 | 0.550 | -.0268265 | .0142976 |
tsnnt | -.0317596 | .0279002 | -1.14 | 0.255 | -.086443 | .0229237 |
vcsh | .028787 | .0306177 | 0.94 | 0.347 | -.0312225 | .0887965 |
qmts | .0048155 | .0034368 | 1.40 | 0.161 | -.0019205 | .0115514 |
cv | -.082662 | .020907 | -3.95 | 0.000 | -.123639 | -.041685 |
vhdcv | -.0187937 | .0071428 | -2.63 | 0.009 | -.0327933 | -.004794 |
ttkt | -.1710881 | .4381833 | -0.39 | 0.696 | -1.029912 | .6877354 |
lp | -.0696219 | .032509 | -2.14 | 0.032 | -.1333385 | -.0059054 |
_cons | .981067 | .0646598 | 15.17 | 0.000 | .8543361 | 1.107798 |
PHỤ LỤC 13
MÔ HÌNH HỒI QUY VÀ PHƯƠNG PHÁP KIỂM ĐỊNH ĐỐI VỚI CÁC NGÂN HÀNG NHÓM 1 VỚI BIẾN PHỤ THUỘC HQKT
MÔ HÌNH POOLED VỚI BIẾN PHỤ THUỘC HQKT
Source | SS | df | MS |
Model | .078368224 | 8 | .009796028 |
Residual | .302322451 | 67 | .004512275 |
Total | .380690676 | 75 | .005075876 |
Number of obs | = | 76 |
F( 8, 67) | = | 2.17 |
Prob > F | = | 0.0408 |
R-squared | = | 0.2059 |
Adj R-squared | = | 0.1110 |
Root MSE | = | .06717 |
Coef. | Std. Err. | t | P>|t| | [95% Conf. | Interval] | |
cvnt | -.0989029 | .0520511 | -1.90 | 0.062 | -.2027974 | .0049916 |
tsnnt | .0816045 | .0941882 | 0.87 | 0.389 | -.106396 | .269605 |
vcsh | .2103276 | .3060629 | 0.69 | 0.494 | -.4005765 | .8212317 |
qmts | .0142129 | .0159639 | 0.89 | 0.376 | -.0176511 | .046077 |
cv | -.2337826 | .1360365 | -1.72 | 0.090 | -.5053126 | .0377473 |
vhdcv | -.0500903 | .0443562 | -1.13 | 0.263 | -.1386255 | .038445 |
ttkt | -.828911 | 2.05012 | -0.40 | 0.687 | -4.920968 | 3.263147 |
lp | -.2211092 | .1445136 | -1.53 | 0.131 | -.5095595 | .0673411 |
_cons | .9323893 | .3080593 | 3.03 | 0.004 | .3175004 | 1.547278 |
Fixed-effects (within) regression | Number of obs | = | 76 | |||||
Group variable: bank | Number of groups | = | 11 | |||||
R-sq: within | = | 0.1339 | Obs | per | group: | min | = | 6 |
between | = | 0.0058 | avg | = | 6.9 | |||
overall | = | 0.0398 | max | = | 7 | |||
F(8,57) | = | 1.10 | ||||||
corr(u_i, Xb) | = | -0.5106 | Prob > | F | = | 0.3757 | ||
Coef. | Std. Err. | t P>|t| | [95% Conf. | Interval] | |||
cvnt | -.0564119 | .0973935 | -0.58 0.565 | -.2514391 | .1386153 | ||
tsnnt | .2122024 | .1683688 | 1.26 0.213 | -.1249503 | .5493551 | ||
vcsh | .4966837 | .386375 | 1.29 0.204 | -.277019 | 1.270386 | ||
qmts | .0393995 | .0217065 | 1.82 0.075 | -.0040671 | .0828661 | ||
cv | .0131097 | .2324369 | 0.06 0.955 | -.4523372 | .4785566 | ||
vhdcv | -.0215857 | .0657215 | -0.33 0.744 | -.1531908 | .1100194 | ||
ttkt | -1.343945 | 2.001207 | -0.67 0.505 | -5.351294 | 2.663404 | ||
lp | -.0454251 | .1869112 | -0.24 0.809 | -.4197082 | .3288581 | ||
_cons | .2218203 | .4600037 | 0.48 0.632 | -.6993212 | 1.142962 | ||
sigma_u | .05313308 | ||||||
sigma_e | .06257961 | ||||||
rho | .41890269 | (fraction | of | variance due | to | u_i) |
Prob | > F | = | 0.0478 | ||
Random-effects GLS regression | Number | of obs | = | 76 | |
Group variable: bank | Number | of groups | = | 11 | |
R-sq: within = 0.1044 | Obs per | group: min | = | 6 | |
between = 0.4036 | avg | = | 6.9 | ||
overall = 0.1938 | max | = | 7 | ||
Random effects u_i ~ Gaussian | Wald ch | i2(8) | = | 11.25 | |
corr(u_i, X) = 0 (assumed) | Prob > | chi2 | = | 0.1882 |
Coef. | Std. Err. | z P>|z| | [95% Conf. | Interval] | |||
cvnt | -.0827722 | .0652355 | -1.27 0.205 | -.2106315 | .045087 | ||
tsnnt | .0990759 | .1126068 | 0.88 0.379 | -.1216294 | .3197811 | ||
vcsh | .3794709 | .3222557 | 1.18 0.239 | -.2521388 | 1.011081 | ||
qmts | .0192601 | .0167431 | 1.15 0.250 | -.0135557 | .052076 | ||
cv | -.1716585 | .1553412 | -1.11 0.269 | -.4761216 | .1328047 | ||
vhdcv | -.0328833 | .0516899 | -0.64 0.525 | -.1341936 | .0684271 | ||
ttkt | -.7627531 | 1.912856 | -0.40 0.690 | -4.511881 | 2.986375 | ||
lp | -.1913941 | .1431033 | -1.34 0.181 | -.4718713 | .0890832 | ||
_cons | .747534 | .327944 | 2.28 0.023 | .1047756 | 1.390292 | ||
sigma_u | .03393222 | ||||||
sigma_e | .06257961 | ||||||
rho | .22720711 | (fraction | of | variance due | to | u_i) |
KIỂM TRA ĐA CỘNG TUYẾN
VIF | 1/VIF | |
cv | 4.57 | 0.218956 |
vhdcv | 3.05 | 0.328400 |
qmts | 2.81 | 0.355443 |
vcsh | 1.64 | 0.610306 |
tsnnt | 1.54 | 0.649014 |
cvnt | 1.37 | 0.731533 |
lp | 1.35 | 0.741087 |
ttkt | 1.26 | 0.796614 |
Mean VIF | 2.20 | |
KIỂM ĐỊNH HAUSMAN
Coefficients
(b) fe | (B) . | (b-B) Difference | sqrt(diag(V_b-V_B)) S.E. | |
cvnt | -.0564119 | -.0827722 | .0263603 | .0723176 |
tsnnt | .2122024 | .0990759 | .1131265 | .1251709 |
vcsh | .4966837 | .3794709 | .1172128 | .2131593 |
qmts | .0393995 | .0192601 | .0201394 | .0138146 |
cv | .0131097 | -.1716585 | .1847682 | .1729047 |
vhdcv | -.0215857 | -.0328833 | .0112976 | .0405891 |
ttkt | -1.343945 | -.7627531 | -.5811919 | .5880593 |
lp | -.0454251 | -.1913941 | .145969 | .1202382 |
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)
= 4.27
Prob>chi2 = 0.8323
KIỂM ĐỊNH BREUSCH-PAGAN LAGRANGIAN
Breusch and Pagan Lagrangian multiplier test for random effects
hqkt[bank,t] = Xb + u[bank] + e[bank,t]
Estimated results:
Var sd = sqrt(Var)
hqkt .0050759 .0712452
e .0039162 .0625796
u .0011514 .0339322
Test: Var(u) = 0
chi2(1) = 1.54
Prob > chi2 = 0.2140
KIỂM ĐỊNH WOOLDRIDGE
Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation
F( 1, 10) = 7.906
Prob > F = 0.0184
MÔ HÌNH FGLS VỚI BIẾN PHỤ THUỘC HQKT
Cross-sectional time-series FGLS regression
Coefficients: generalized least squares Panels: homoskedastic
Correlation: common AR(1) coefficient for all panels (0.4041)
= | 1 | Number of obs | = | 76 | |
Estimated autocorrelations | = | 1 | Number of groups | = | 11 |
Estimated coefficients | = | 9 | Obs per group: min | = | 6 |
avg | = | 6.909091 | |||
max | = | 7 | |||
Wald chi2(8) | = | 12.88 | |||
Prob > chi2 | = | 0.1161 | |||
Coef. | Std. Err. | z | P>|z| | [95% Conf. | Interval] | |
cvnt | -.1214874 | .0564355 | -2.15 | 0.031 | -.232099 | -.0108758 |
tsnnt | .1280488 | .1045611 | 1.22 | 0.221 | -.0768872 | .3329847 |
vcsh | .1258016 | .3243871 | 0.39 | 0.698 | -.5099855 | .7615887 |
qmts | .0056908 | .0171035 | 0.33 | 0.739 | -.0278316 | .0392131 |
cv | -.0732797 | .1439377 | -0.51 | 0.611 | -.3553924 | .2088331 |
vhdcv | -.0252933 | .0468556 | -0.54 | 0.589 | -.1171285 | .0665419 |
ttkt | -.2971461 | 1.699891 | -0.17 | 0.861 | -3.628871 | 3.034578 |
lp | -.148855 | .122328 | -1.22 | 0.224 | -.3886134 | .0909034 |
_cons | .9456188 | .3313764 | 2.85 | 0.004 | .296133 | 1.595105 |
PHỤ LỤC 14
MÔ HÌNH HỒI QUY VÀ PHƯƠNG PHÁP KIỂM ĐỊNH ĐỐI VỚI CÁC NGÂN HÀNG NHÓM 1 VỚI BIẾN PHỤ THUỘC HQKTT
MÔ HÌNH POOLED VỚI BIẾN PHỤ THUỘC HQKTT
Source | SS | df | MS |
Model | .051763307 | 8 | .006470413 |
Residual | .149826638 | 67 | .002236218 |
Total | .201589945 | 75 | .002687866 |
Number of obs | = | 76 |
F( 8, 67) | = | 2.89 |
Prob > F | = | 0.0079 |
R-squared | = | 0.2568 |
Adj R-squared | = | 0.1680 |
Root MSE | = | .04729 |
Coef. | Std. Err. | t | P>|t| | [95% Conf. | Interval] | |
cvnt | -.0726497 | .0366429 | -1.98 | 0.052 | -.1457892 | .0004898 |
tsnnt | .1540297 | .0663065 | 2.32 | 0.023 | .0216814 | .286378 |
vcsh | -.1156767 | .2154617 | -0.54 | 0.593 | -.54574 | .3143866 |
qmts | .015462 | .0112382 | 1.38 | 0.173 | -.0069696 | .0378937 |
cv | .1102052 | .0957668 | 1.15 | 0.254 | -.080946 | .3013564 |
vhdcv | .0090185 | .0312258 | 0.29 | 0.774 | -.0533084 | .0713454 |
ttkt | -.7535215 | 1.44324 | -0.52 | 0.603 | -3.634241 | 2.127199 |
lp | .1640911 | .1017344 | 1.61 | 0.111 | -.0389716 | .3671539 |
_cons | .6450415 | .2168671 | 2.97 | 0.004 | .212173 | 1.07791 |