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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 - 27


PHỤ LỤC 17

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

MÔ HÌNH POOLED VỚI BIẾN PHỤ THUỘC HQKTT


Source

SS

df

MS

Model

.120896092

8

.015112012

Residual

.718153365

157

.004574225

Total

.839049457

165

.005085148

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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 - 27

Number of obs

=

166

F( 8, 157)

=

3.30

Prob > F

=

0.0016

R-squared

=

0.1441

Adj R-squared

=

0.1005

Root MSE

=

.06763


hqktt

Coef.

Std. Err.

t

P>|t|

[95% Conf.

Interval]

cvnt

-.00178

.0245539

-0.07

0.942

-.0502786

.0467185

tsnnt

.0761245

.0674483

1.13

0.261

-.0570987

.2093476

vcsh

.26818

.084939

3.16

0.002

.1004094

.4359506

qmts

.0170754

.0097908

1.74

0.083

-.0022634

.0364141

cv

-.0840328

.0500703

-1.68

0.095

-.1829311

.0148654

vhdcv

.0117523

.016053

0.73

0.465

-.0199554

.0434599

ttkt

-1.550119

1.405138

-1.10

0.272

-4.325532

1.225294

lp

-.120405

.1046677

-1.15

0.252

-.3271435

.0863335

_cons

.7290852

.1876258

3.89

0.000

.3584888

1.099682


MÔ HÌNH FEM VỚI BIẾN PHỤ THUỘC HQKTT


Fixed-effects (within) regression

Number

of obs

=

166

Group variable: bank

Number

of groups

=

27

R-sq: within

=

0.1510

Obs

per

group:

min

=

2

between

=

0.0074




avg

=

6.1

overall

=

0.0426




max

=

7




F(8,131)

=

2.91

corr(u_i, Xb)

=

-0.3855

Prob > F

=

0.0051


hqktt

Coef.

Std. Err.


t P>|t|


[95% Conf.

Interval]

cvnt

-.0004984

.0287838


-0.02 0.986


-.0574396

.0564428

tsnnt

.0912243

.1038802


0.88 0.381


-.1142756

.2967241

vcsh

.1419431

.096258


1.47 0.143


-.0484782

.3323645

qmts

.0423004

.0128727


3.29 0.001


.0168352

.0677656

cv

-.0240399

.0607827


-0.40 0.693


-.1442825

.0962027

vhdcv

.0061754

.0154746


0.40 0.690


-.024437

.0367877

ttkt

-2.939926

1.270468


-2.31 0.022


-5.453214

-.4266375

lp

.0427291

.1019821


0.42 0.676


-.1590159

.244474

_cons

.3553797

.2286283


1.55 0.123


-.0969017

.807661

sigma_u

.05399571







sigma_e

.05569628







rho

.48450057

(fraction

of

variance due

to

u_i)


F test that all u_i=0: F(26, 131) = 3.87 Prob > F = 0.0000


MÔ HÌNH REM VỚI BIẾN PHỤ THUỘC HQKTT


Random-effects GLS regression

Number of obs

=

166

Group variable: bank

Number of groups

=

27

R-sq: within

=

0.1327

Obs

per

group:

min

=

2

between

=

0.0715




avg

=

6.1

overall

=

0.1020




max

=

7

Random effects

u_i ~ Gaussian

Wald

chi2(8)

=

21.52

corr(u_i, X)

= 0 (assumed)

Prob

> chi2

=

0.0059



hqktt

Coef.

Std. Err.


z P>|z|


[95% Conf.

Interval]

cvnt

-.0027622

.0255385


-0.11 0.914


-.0528167

.0472922

tsnnt

.0348507

.0811598

0.43 0.668

-.1242195

.193921

vcsh

.1783482

.0881107

2.02 0.043

.0056544

.3510421

qmts

.0282488

.0108694

2.60 0.009

.0069452

.0495524

cv

-.0661893

.0527421

-1.25 0.209

-.1695618

.0371833

vhdcv

.0038971

.0146417

0.27 0.790

-.0248001

.0325943

ttkt

-2.200606

1.217085

-1.81 0.071

-4.58605

.1848375

lp

-.0413342

.0950796

-0.43 0.664

-.2276868

.1450184

_cons

.5904594

.1962403

3.01 0.003

.2058355

.9750833

sigma_u

.04338156







sigma_e

.05569628






rho

.3775976

(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

-.0004984

-.0027622

.0022638

.0132775

tsnnt

.0912243

.0348507

.0563735

.0648397

vcsh

.1419431

.1783482

-.0364051

.038757

qmts

.0423004

.0282488

.0140516

.0068965

cv

-.0240399

-.0661893

.0421494

.0302127

vhdcv

.0061754

.0038971

.0022783

.0050083

ttkt

-2.939926

-2.200606

-.7393196

.3644053

lp

.0427291

-.0413342

.0840633

.0368811

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)

= 8.10

Prob>chi2 = 0.4242



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 .0050851 .0713102

e .0031021 .0556963

u .001882 .0433816


Test: Var(u) = 0

chi2(1) = 28.30

Prob > chi2 = 0.0000


KIỂM ĐỊNH WOOLDRIDGE

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

F( 1, 25) = 10.179

Prob > F = 0.0038

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 (0.4173)


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)

=

27.34

Prob > chi2

=

0.0006



hqktt

Coef.

Std. Err.

z

P>|z|

[95% Conf.

Interval]

cvnt

-.0016853

.0201198

-0.08

0.933

-.0411195

.0377489

tsnnt

.0776117

.0607484

1.28

0.201

-.0414531

.1966764

vcsh

.1759197

.0658513

2.67

0.008

.0468534

.304986

qmts

.0138718

.0085421

1.62

0.104

-.0028703

.030614

cv

-.0963768

.0394909

-2.44

0.015

-.1737776

-.018976

vhdcv

.002055

.0095541

0.22

0.830

-.0166707

.0207808

ttkt

-2.085647

.9351658

-2.23

0.026

-3.918538

-.2527554

lp

-.0537214

.0720377

-0.75

0.456

-.1949128

.0874699

_cons

.8495037

.1570778

5.41

0.000

.5416368

1.157371


PHỤ LỤC 18

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

MÔ HÌNH POOLED VỚI BIẾN PHỤ THUỘC HQQM


Source

SS

df

MS

Model

.045709353

8

.005713669

Residual

.245648482

157

.00156464

Total

.291357835

165

.001765805

Number of obs

=

166

F( 8, 157)

=

3.65

Prob > F

=

0.0006

R-squared

=

0.1569

Adj R-squared

=

0.1139

Root MSE

=

.03956


hqqm

Coef.

Std. Err.

t

P>|t|

[95% Conf.

Interval]

cvnt

.010094

.0143605

0.70

0.483

-.0182706

.0384587

tsnnt

.0355709

.0394475

0.90

0.369

-.0423453

.1134872

vcsh

.1509605

.049677

3.04

0.003

.052839

.2490821

qmts

.0253941

.0057262

4.43

0.000

.0140837

.0367045

cv

.0059055

.0292839

0.20

0.840

-.0519357

.0637467

vhdcv

-.0018776

.0093887

-0.20

0.842

-.020422

.0166668

ttkt

.1377362

.8218024

0.17

0.867

-1.485479

1.760951

lp

.0304117

.0612155

0.50

0.620

-.0905004

.1513238

_cons

.4965681

.109734

4.53

0.000

.2798228

.7133134


MÔ HÌNH FEM VỚI BIẾN PHỤ THUỘC HQQM


Fixed-effects (within) regression

Number

of obs

=

166

Group variable: bank

Number

of groups

=

27

R-sq: within

=

0.0871

Obs

per

group:

min

=

2

between

=

0.2399




avg

=

6.1

overall

=

0.1362




max

=

7




F(8,131)

=

1.56

corr(u_i, Xb)

=

0.0178

Prob > F

=

0.1420


hqqm

Coef.

Std. Err.


t P>|t|


[95% Conf.

Interval]

cvnt

-.0059199

.0186753


-0.32 0.752


-.0428641

.0310244

tsnnt

.0300795

.0673989


0.45 0.656


-.1032517

.1634106

vcsh

.0914793

.0624535


1.46 0.145


-.0320686

.2150273

qmts

.0225017

.008352


2.69 0.008


.0059795

.0390239

cv

-.0011626

.0394366


-0.03 0.977


-.0791777

.0768525

vhdcv

-.0107464

.0100401


-1.07 0.286


-.0306082

.0091153

ttkt

.258377

.824297


0.31 0.754


-1.372279

1.889033

lp

.0259915

.0661674


0.39 0.695


-.1049034

.1568864

_cons

.5704304

.1483372


3.85 0.000


.276984

.8638768

sigma_u

.02368048







sigma_e

.03613652







rho

.30041858

(fraction

of

variance due

to

u_i)


F test that all u_i=0: F(26, 131) = 2.20 Prob > F = 0.0020


MÔ HÌNH REM VỚI BIẾN PHỤ THUỘC HQQM


Random-effects GLS regression

Number of obs

=

166

Group variable: bank

Number of groups

=

27

R-sq: within

=

0.0827

Obs

per

group:

min

=

2

between

=

0.2927




avg

=

6.1

overall

=

0.1522




max

=

7

Random effects

u_i ~ Gaussian

Wald

chi2(8)

=

21.32

corr(u_i, X)

= 0 (assumed)

Prob

> chi2

=

0.0064



hqqm

Coef.

Std. Err.


z P>|z|


[95% Conf.

Interval]

cvnt

.0038658

.015371


0.25 0.801


-.0262608

.0339924

tsnnt

.037697

.0464264

0.81 0.417

-.0532971

.1286911

vcsh

.116519

.0534304

2.18 0.029

.0117975

.2212406

qmts

.0235767

.006405

3.68 0.000

.011023

.0361303

cv

-.0016857

.0315117

-0.05 0.957

-.0634474

.060076

vhdcv

-.0063504

.0091702

-0.69 0.489

-.0243236

.0116228

ttkt

.18228

.7702863

0.24 0.813

-1.327453

1.692013

lp

.0263917

.0592802

0.45 0.656

-.0897953

.1425787

_cons

.5425528

.1173575

4.62 0.000

.3125364

.7725692

sigma_u

.01834618







sigma_e

.03613652






rho

.2049295

(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

-.0059199

.0038658

-.0097857

.0106066

tsnnt

.0300795

.037697

-.0076176

.048859

vcsh

.0914793

.116519

-.0250397

.0323364

qmts

.0225017

.0235767

-.001075

.0053601

cv

-.0011626

-.0016857

.0005231

.0237121

vhdcv

-.0107464

-.0063504

-.004396

.004088

ttkt

.258377

.18228

.076097

.2934699

lp

.0259915

.0263917

-.0004002

.0293936

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)

= 3.86

Prob>chi2 = 0.8692



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 .0017658 .0420215

e .0013058 .0361365

u .0003366 .0183462


Test: Var(u) = 0

chi2(1) = 8.03

Prob > chi2 = 0.0046

KIỂM ĐỊNH WOOLDRIDGE

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

F( 1, 25) = 1.806

Prob > F = 0.1910

MÔ HÌNH FGLS VỚI BIẾN PHỤ THUỘC HQQM

Cross-sectional time-series FGLS regression


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


Estimated covariances

=

27

Number of obs

=

166

Estimated autocorrelations

=

0

Number of groups

=

27

Estimated coefficients

=

9

Obs per group: min

=

2


avg

=

6.148148

max

=

7

Wald chi2(8)

=

103.31

Prob > chi2

=

0.0000



hqqm

Coef.

Std. Err.

z

P>|z|

[95% Conf.

Interval]

cvnt

.0050155

.0094298

0.53

0.595

-.0134665

.0234976

tsnnt

.0124882

.0261436

0.48

0.633

-.0387524

.0637288

vcsh

.0803187

.0356561

2.25

0.024

.010434

.1502033

qmts

.0137401

.0036888

3.72

0.000

.0065101

.02097

cv

-.0326891

.0180833

-1.81

0.071

-.0681317

.0027535

vhdcv

-.007626

.0053583

-1.42

0.155

-.0181282

.0028761

ttkt

.1790037

.3573899

0.50

0.616

-.5214677

.879475

lp

-.0359849

.0327955

-1.10

0.273

-.1002629

.0282932

_cons

.7489874

.0763581

9.81

0.000

.5993283

.8986465

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