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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


MÔ HÌNH FEM VỚI BIẾN PHỤ THUỘC HQKTT


Fixed-effects (within) regression

Number of obs

=

76

Group variable: bank

Number of groups

=

11

R-sq: within

=

0.3208

Obs

per

group:

min

=

6

between

=

0.0001




avg

=

6.9

overall

=

0.1043




max

=

7




F(8,57)


=

3.37

corr(u_i, Xb)

=

-0.4874

Prob >

F

=

0.0032

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hqktt

Coef.

Std. Err.


t P>|t|


[95% Conf.

Interval]

cvnt

-.09563

.0625797


-1.53 0.132


-.2209438

.0296837

tsnnt

.3023456

.1081845

2.79 0.007

.0857097

.5189814

vcsh

-.0269137

.2482634

-0.11 0.914

-.5240526

.4702252

qmts

-.003978

.0139474

-0.29 0.777

-.0319072

.0239513

cv

.1355143

.1493512

0.91 0.368

-.1635564

.434585

vhdcv

.0448697

.0422291

1.06 0.292

-.0396925

.129432

ttkt

.5601288

1.285866

0.44 0.665

-2.014774

3.135031

lp

-.0244686

.1200989

-0.20 0.839

-.2649624

.2160252

_cons

.8733539

.2955731

2.95 0.005

.2814789

1.465229

sigma_u

.04148588







sigma_e

.04021022






rho

.5156108

(fraction

of

variance due

to

u_i)


F test that all u_i=0: F(10, 57) = 3.57

MÔ HÌNH REM VỚI BIẾN PHỤ THUỘC HQKTT


Prob

> F

=

0.0010

Random-effects GLS regression

Number

of obs

=


76

Group variable: bank

Number

of groups

=


11

R-sq: within = 0.2985

Obs per

group: min

=


6

between = 0.1782


avg

=


6.9

overall = 0.2224


max

=


7

Random effects u_i ~ Gaussian

Wald ch

i2(8)

=


23.94

corr(u_i, X) = 0 (assumed)

Prob >

chi2

=


0.0023


hqktt

Coef.

Std. Err.


z P>|z|


[95% Conf.

Interval]

cvnt

-.0978926

.0458293


-2.14 0.033


-.1877165

-.0080688

tsnnt

.2441341

.0787878


3.10 0.002


.0897128

.3985553

vcsh

-.0874461

.218971


-0.40 0.690


-.5166214

.3417291

qmts

.0062579

.011392


0.55 0.583


-.0160701

.0285858

cv

.1996138

.1078


1.85 0.064


-.0116703

.4108979

vhdcv

.0346993

.0356912


0.97 0.331


-.0352542

.1046528

ttkt

-.0699193

1.270445


-0.06 0.956


-2.559946

2.420107

lp

.096351

.0968797


0.99 0.320


-.0935298

.2862318

_cons

.6976899

.2248918


3.10 0.002


.2569102

1.13847

sigma_u

.02638591







sigma_e

.04021022







rho

.30099115

(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

-.09563

-.0978926

.0022626

.0426133

tsnnt

.3023456

.2441341

.0582115

.0741376

vcsh

-.0269137

-.0874461

.0605324

.116989

qmts

-.003978

.0062579

-.0102358

.0080469

cv

.1355143

.1996138

-.0640995

.103368

vhdcv

.0448697

.0346993

.0101705

.0225706

ttkt

.5601288

-.0699193

.6300481

.1985466

lp

-.0244686

.096351

-.1208196

.0709793

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)

= 14.56

Prob>chi2 = 0.0683

(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 .0026879 .0518446

e .0016169 .0402102

u .0006962 .0263859


Test: Var(u) = 0

chi2(1) = 5.67

Prob > chi2 = 0.0173


KIỂM ĐỊNH WOOLDRIDGE

Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation

F( 1, 10) = 4.695

Prob > F = 0.0555



MÔ HÌNH FGLS VỚI BIẾN PHỤ THUỘC HQKTT

Cross-sectional time-series FGLS regression


Coefficients: generalized least squares Panels: heteroskedastic Correlation: no autocorrelation


Estimated covariances

=

11

Number of obs

=

76

Estimated autocorrelations

=

0

Number of groups

=

11

Estimated coefficients

=

9

Obs per group: min

=

6


avg

=

6.909091

max

=

7

Wald chi2(8)

=

30.29

Prob > chi2

=

0.0002



hqktt

Coef.

Std. Err.

z

P>|z|

[95% Conf.

Interval]

cvnt

-.0367651

.0285121

-1.29

0.197

-.0926478

.0191176

tsnnt

.0847568

.0371928

2.28

0.023

.0118601

.1576534

vcsh

-.0913024

.1805952

-0.51

0.613

-.4452625

.2626578

qmts

.0199237

.0082772

2.41

0.016

.0037007

.0361468

cv

.0685118

.0787681

0.87

0.384

-.0858708

.2228944

vhdcv

.0008527

.0292233

0.03

0.977

-.0564239

.0581293

ttkt

-.6161471

.7932508

-0.78

0.437

-2.17089

.9385959

lp

.0901457

.0589896

1.53

0.126

-.0254719

.2057632

_cons

.5903455

.1625765

3.63

0.000

.2717014

.9089896


PHỤ LỤC 15

MÔ HÌNH HỒI QUY VÀ PHƯƠNG PHÁP KIỂM ĐỊNH ĐỐI VỚI CÁC NGÂN HÀNG NHÓM 1 VỚI BIẾN PHỤ THUỘC HQQM

MÔ HÌNH POOLED VỚI BIẾN PHỤ THUỘC HQQM


Source

SS

df

MS

Model

.10633609

8

.013292011

Residual

.188955311

67

.002820229

Total

.2952914

75

.003937219

Number of obs

=

76

F( 8, 67)

=

4.71

Prob > F

=

0.0001

R-squared

=

0.3601

Adj R-squared

=

0.2837

Root MSE

=

.05311


hqqm

Coef.

Std. Err.

t

P>|t|

[95% Conf.

Interval]

cvnt

-.0276023

.0411504

-0.67

0.505

-.109739

.0545343

tsnnt

-.0731784

.0744631

-0.98

0.329

-.2218074

.0754505

vcsh

.3245717

.2419664

1.34

0.184

-.1583952

.8075387

qmts

-.0006776

.0126207

-0.05

0.957

-.0258686

.0245134

cv

-.3491417

.1075474

-3.25

0.002

-.5638072

-.1344763

vhdcv

-.060267

.035067

-1.72

0.090

-.130261

.009727

ttkt

-.0767315

1.620779

-0.05

0.962

-3.311819

3.158356

lp

-.3872294

.1142492

-3.39

0.001

-.6152717

-.1591871

_cons

1.281242

.2435447

5.26

0.000

.7951248

1.767359


MÔ HÌNH FEM VỚI BIẾN PHỤ THUỘC HQQM


Fixed-effects (within) regression

Number of obs

=

76

Group variable: bank

Number of groups

=

11

R-sq: within

=

0.2528

Obs

per

group:

min

=

6

between

=

0.5275




avg

=

6.9

overall

=

0.0228




max

=

7




F(8,57)


=

2.41

corr(u_i, Xb)

=

-0.6895

Prob >

F

=

0.0258


hqqm

Coef.

Std. Err.


t P>|t|


[95% Conf.

Interval]

cvnt

.0387694

.0703196


0.55 0.584


-.1020432

.179582

tsnnt

-.0877707

.1215648


-0.72 0.473


-.3312

.1556586

vcsh

.5209135

.2789686


1.87 0.067


-.0377114

1.079538

qmts

.0430017

.0156724


2.74 0.008


.0116181

.0743852

cv

-.1267759

.167823


-0.76 0.453


-.4628355

.2092838

vhdcv

-.0645584

.0474519


-1.36 0.179


-.1595793

.0304624

ttkt

-1.856164

1.444902


-1.28 0.204


-4.74953

1.037202

lp

-.030438

.1349527


-0.23 0.822


-.300676

.2398001

_cons

.3529386

.3321296


1.06 0.292


-.3121394

1.018017

sigma_u

.07036428







sigma_e

.04518342







rho

.70804565

(fraction

of

variance due

to

u_i)



F test that all u_i=0: F(10, 57) = 3.56

MÔ HÌNH REM VỚI BIẾN PHỤ THUỘC HQQM


Prob

> F

=

0.0010

Random-effects GLS regression

Number

of obs

=


76

Group variable: bank

Number

of groups

=


11

R-sq: within = 0.0744

Obs per

group: min

=


6

between = 0.7384


avg

=


6.9

overall = 0.3596


max

=


7

Random effects u_i ~ Gaussian

Wald ch

i2(8)

=


34.38

corr(u_i, X) = 0 (assumed)

Prob >

chi2

=


0.0000


hqqm

Coef.

Std. Err.


z P>|z|


[95% Conf.

Interval]

cvnt

-.0229074

.0424005


-0.54 0.589


-.1060109

.0601961

tsnnt

-.082754

.0760564


-1.09 0.277


-.2318218

.0663138

vcsh

.3495524

.2433472


1.44 0.151


-.1273994

.8265043

qmts

.0010299

.0126876


0.08 0.935


-.0238372

.0258971

cv

-.3542843

.1092018


-3.24 0.001


-.5683159

-.1402527

vhdcv

-.0606122

.0357906


-1.69 0.090


-.1307605

.0095361

ttkt

-.1336482

1.602445


-0.08 0.934


-3.274382

3.007085

lp

-.3777144

.1135805


-3.33 0.001


-.6003281

-.1551008

_cons

1.251849

.2447428


5.11 0.000


.7721616

1.731536

sigma_u

.00651012







sigma_e

.04518342







rho

.02033747

(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

.0387694

-.0229074

.0616768

.0560985

tsnnt

-.0877707

-.082754

-.0050167

.0948337

vcsh

.5209135

.3495524

.1713611

.1364023

qmts

.0430017

.0010299

.0419717

.0092006

cv

-.1267759

-.3542843

.2275084

.1274343

vhdcv

-.0645584

-.0606122

-.0039462

.0311564

ttkt

-1.856164

-.1336482

-1.722516

.

lp

-.030438

-.3777144

.3472765

.0728814

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)

= 9.70

Prob>chi2 = 0.2865

(V_b-V_B is not positive definite)


KIỂM ĐỊNH BREUSCH-PAGAN LAGRANGIAN

Breusch and Pagan Lagrangian multiplier test for random effects


hqqm[bank,t] = Xb + u[bank] + e[bank,t]


Estimated results:

Var sd = sqrt(Var)


hqqm .0039372 .0627473

e .0020415 .0451834

u .0000424 .0065101


Test: Var(u) = 0

chi2(1) = 0.94

Prob > chi2 = 0.3333


KIỂM ĐỊNH WOOLDRIDGE

Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation

F( 1, 10) = 4.084

Prob > F = 0.0709


PHỤ LỤC 16

MÔ HÌNH HỒI QUY VÀ PHƯƠNG PHÁP KIỂM ĐỊNH ĐỐI VỚI CÁC NGÂN HÀNG NHÓM 2 VỚI BIẾN PHỤ THUỘC HQKT

MÔ HÌNH POOLED VỚI BIẾN PHỤ THUỘC HQKT


Source

SS

df

MS

Model

.215941225

8

.026992653

Residual

.985085803

157

.006274432

Total

1.20102703

165

.007278952

Number of obs

=

166

F( 8, 157)

=

4.30

Prob > F

=

0.0001

R-squared

=

0.1798

Adj R-squared

=

0.1380

Root MSE

=

.07921


hqkt

Coef.

Std. Err.

t

P>|t|

[95% Conf.

Interval]

cvnt

.0075779

.0287573

0.26

0.793

-.0492233

.064379

tsnnt

.1018308

.0789949

1.29

0.199

-.0541992

.2578608

vcsh

.401728

.09948

4.04

0.000

.2052363

.5982197

qmts

.0409463

.011467

3.57

0.000

.0182969

.0635957

cv

-.0780945

.058642

-1.33

0.185

-.1939235

.0377344

vhdcv

.0077257

.0188011

0.41

0.682

-.0294101

.0448615

ttkt

-1.448569

1.645688

-0.88

0.380

-4.699113

1.801975

lp

-.0753591

.1225861

-0.61

0.540

-.3174898

.1667716

_cons

.2611162

.219746

1.19

0.237

-.1729237

.6951562


MÔ HÌNH FEM VỚI BIẾN PHỤ THUỘC HQKT


Fixed-effects (within) regression

Number

of obs

=

166

Group variable: bank

Number

of groups

=

27

R-sq: within

=

0.1784

Obs

per

group:

min

=

2

between

=

0.0762




avg

=

6.1

overall

=

0.0963




max

=

7




F(8,131)

=

3.55

corr(u_i, Xb)

=

-0.3136

Prob > F

=

0.0009


hqkt

Coef.

Std. Err.


t P>|t|


[95% Conf.

Interval]

cvnt

-.0032652

.0332665


-0.10 0.922


-.0690743

.0625439

tsnnt

.1132769

.1200583


0.94 0.347


-.1242272

.3507809

vcsh

.2179748

.1112491


1.96 0.052


-.0021024

.438052

qmts

.0611276

.0148774


4.11 0.000


.0316964

.0905587

cv

-.0287132

.0702489


-0.41 0.683


-.1676822

.1102558

vhdcv

-.0056092

.0178845


-0.31 0.754


-.0409891

.0297707

ttkt

-2.618872

1.468328


-1.78 0.077


-5.523576

.2858311

lp

.0718645

.1178646


0.61 0.543


-.1612998

.3050288

_cons

-.0083122

.2642345


-0.03 0.975


-.531031

.5144067

sigma_u

.06182206







sigma_e

.06437032







rho

.47981474

(fraction

of

variance due

to

u_i)


F test that all u_i=0: F(26, 131) = 4.11 Prob > F = 0.0000


MÔ HÌNH REM VỚI BIẾN PHỤ THUỘC HQKT


Random-effects GLS regression

Number of obs

=

166

Group variable: bank

Number of groups

=

27

R-sq: within = 0.1674

Obs per group: min

=

2

between = 0.1369

avg

=

6.1

overall = 0.1414

max

=

7

Random effects u_i ~ Gaussian

Wald chi2(8)

=

29.75

corr(u_i, X) = 0 (assumed)

Prob > chi2

=

0.0002


hqkt

Coef.

Std. Err.


z P>|z|


[95% Conf.

Interval]

cvnt

-.0008519

.0296573


-0.03 0.977


-.0589791

.0572753

tsnnt

.0654087

.0950758


0.69 0.491


-.1209363

.2517538

vcsh

.2630833

.1021426


2.58 0.010


.0628876

.4632791

qmts

.0494749

.0126666


3.91 0.000


.0246487

.074301

cv

-.0677006

.0613351


-1.10 0.270


-.1879152

.052514

vhdcv

-.0056723

.0169017


-0.34 0.737


-.038799

.0274544

ttkt

-2.021809

1.403096


-1.44 0.150


-4.771826

.7282084

lp

-.0012097

.109867


-0.01 0.991


-.216545

.2141256

_cons

.1845554

.2282526


0.81 0.419


-.2628114

.6319222

sigma_u

.05386469







sigma_e

.06437032







rho

.41184216

(fraction

of

variance due

to

u_i)



KIỂM TRA ĐA CỘNG TUYẾN


Variable

VIF

1/VIF

qmts

2.98

0.335159

vcsh

2.36

0.422991

vhdcv

2.20

0.455169

cv

2.13

0.470041

lp

1.51

0.662633

ttkt

1.29

0.777204

tsnnt

1.18

0.848270

cvnt

1.07

0.938586

Mean VIF

1.84

KIỂM ĐỊNH HAUSMAN

Coefficients


(b) fe

(B)

.

(b-B)

Difference

sqrt(diag(V_b-V_B)) S.E.

cvnt

-.0032652

-.0008519

-.0024133

.01507

tsnnt

.1132769

.0654087

.0478681

.0733117

vcsh

.2179748

.2630833

-.0451086

.0440823

qmts

.0611276

.0494749

.0116527

.0078035

cv

-.0287132

-.0677006

.0389874

.0342477

vhdcv

-.0056092

-.0056723

.0000631

.0058472

ttkt

-2.618872

-2.021809

-.5970634

.4327928

lp

.0718645

-.0012097

.0730742

.0426768

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)

= 5.85

Prob>chi2 = 0.6646



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 .007279 .0853168

e .0041435 .0643703

u .0029014 .0538647


Test: Var(u) = 0

chi2(1) = 32.11

Prob > chi2 = 0.0000


KIỂM ĐỊNH WOOLDRIDGE

Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation

F( 1, 25) = 9.990

Prob > F = 0.0041

MÔ HÌNH FGLS VỚI BIẾN PHỤ THUỘC HQKT

Cross-sectional time-series FGLS regression

Coefficients: generalized least squares Panels: heteroskedastic

Correlation: common AR(1) coefficient for all panels (0.3824)


Estimated

covariances

=

27

Number of obs

=

166

Estimated

autocorrelations

=

1

Number of groups

=

27

Estimated

coefficients

=

9

Obs per group: min

=

2


avg

=

6.148148

max

=

7

Wald chi2(8)

=

54.23

Prob > chi2

=

0.0000



hqkt

Coef.

Std. Err.

z

P>|z|

[95% Conf.

Interval]

cvnt

.0102921

.0236386

0.44

0.663

-.0360388

.0566229

tsnnt

.1230141

.0711734

1.73

0.084

-.0164832

.2625114

vcsh

.3038906

.0789031

3.85

0.000

.1492435

.4585378

qmts

.0414814

.0088869

4.67

0.000

.0240634

.0588994

cv

-.1511831

.0475824

-3.18

0.001

-.2444428

-.0579233

vhdcv

-.0200198

.0133082

-1.50

0.132

-.0461033

.0060638

ttkt

-2.440381

1.068111

-2.28

0.022

-4.533841

-.3469215

lp

-.0207302

.083462

-0.25

0.804

-.1843128

.1428524

_cons

.3921823

.1698437

2.31

0.021

.0592948

.7250698

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