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Nghiên cứu tác động của nợ công, tham nhũng đến tăng trưởng kinh tế tại các quốc gia trên thế giới - 28


. xttest3


Modified Wald test for groupwise heteroskedasticity in fixed effect regression model


H0: sigma(i)^2 = sigma^2 for all i


chi2 (36) = 7278.95

Prob>chi2 = 0.0000


. xtserial TBY LOGY4 DEBT4 HUMAN4 INFLAT4 TO4 GSIZE4 DEFIC4 CRISIS1


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

F( 1, 35) = 524.941 Prob > F = 0.0000


. vif


Variable

VIF

1/VIF

HUMAN4

2.57

0.388527

TO4

2.41

0.415302

LOGY4

1.93

0.517763

GSIZE4

1.62

0.617403

DEFIC4

1.51

0.661484

DEBT4

1.37

0.732332

CRISIS1

1.30

0.771054

INFLAT4

1.18

0.843917

Mean VIF

1.74

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Nghiên cứu tác động của nợ công, tham nhũng đến tăng trưởng kinh tế tại các quốc gia trên thế giới - 28


3a2. Kết quả phân tích tác động của nợ công đến TTKT bằng POLS, FEM, REM

đối với nhóm thu nhập trung bình cao


. regress TBY LOGY4 DEBT4 HUMAN4 INFLAT4 TO4 GSIZE4 DEFIC4 CRISIS1

Source

SS

df

MS

Model

.290256212

8

.036282026

Residual

.315731641

447

.000706335

Total

.605987853

455

.001331841

Number of obs = 456

F( 8, 447) = 51.37

Prob > F = 0.0000

R-squared = 0.4790 Adj R-squared = 0.4697 Root MSE = .02658


TBY

Coef.

Std. Err.

t

P>|t|

[95% Conf.

Interval]

LOGY4

-.0373061

.0037583

-9.93

0.000

-.0446922

-.02992

DEBT4

-.00021

.000049

-4.29

0.000

-.0003063

-.0001138

HUMAN4

.0035936

.0003079

11.67

0.000

.0029885

.0041987

INFLAT4

.0000223

.0001765

0.13

0.900

-.0003247

.0003692

TO4

.0000295

.0000367

0.80

0.423

-.0000428

.0001017

GSIZE4

-.0002313

.0003259

-0.71

0.478

-.0008718

.0004091

DEFIC4

.0007183

.0005704

1.26

0.209

-.0004027

.0018393

CRISIS1

-.0262587

.0031597

-8.31

0.000

-.0324685

-.0200489

_cons

.1876705

.0335728

5.59

0.000

.1216903

.2536508


. xtreg TBY LOGY4 DEBT4 HUMAN4 INFLAT4 TO4 GSIZE4 DEFIC4 CRISIS1,fe


Fixed-effects (within) regression

Number of obs =

456

Group variable: CountryID

Number of groups =

29

R-sq: within = 0.6100

Obs per group: min =

12

between = 0.0184

avg =

15.7

overall = 0.1785

max =

16


F(8,419) =

81.93

corr(u_i, Xb) = -0.7182

Prob > F =

0.0000


TBY

Coef.

Std. Err.

t P>|t|


[95% Conf.

Interval]

LOGY4

-.0847854

.006001

-14.13 0.000


-.0965811

-.0729897

DEBT4

.0004027

.0000899

4.48 0.000


.0002261

.0005793

HUMAN4

.0035643

.0010194

3.50 0.001


.0015605

.005568

INFLAT4

-.0011198

.0001683

-6.65 0.000


-.0014507

-.0007889

TO4

.0006451

.0000899

7.18 0.000


.0004685

.0008218

GSIZE4

.0021888

.0006565

3.33 0.001


.0008983

.0034793

DEFIC4

.0009268

.0006048

1.53 0.126


-.0002619

.0021156

CRISIS1

-.002052

.0036078

-0.57 0.570


-.0091437

.0050397

_cons

.5126312

.0692725

7.40 0.000


.3764662

.6487961

sigma_u

.03939551






sigma_e

.01989971






rho

.79671585

(fraction

of variance due

to

u_i)


F test that all u_i=0: F(28, 419) = 13.51 Prob > F = 0.0000


. xtreg TBY LOGY4 DEBT4 HUMAN4 INFLAT4 TO4 GSIZE4 DEFIC4 CRISIS1,re


Random-effects GLS regression

Number of obs =

456

Group variable: CountryID

Number of groups =

29

R-sq: within = 0.5450

Obs per group: min =

12

between = 0.2902

avg =

15.7

overall = 0.4119

max =

16


Wald chi2(8) =

437.95

corr(u_i, X) = 0 (assumed)

Prob > chi2 =

0.0000


TBY

Coef.

Std. Err.

z P>|z|


[95% Conf.

Interval]

LOGY4

-.0588329

.0050141

-11.73 0.000


-.0686603

-.0490054

DEBT4

-.0000274

.0000698

-0.39 0.694


-.0001642

.0001093

HUMAN4

.0037498

.0005137

7.30 0.000


.002743

.0047567

INFLAT4

-.000496

.0001753

-2.83 0.005


-.0008396

-.0001524

TO4

.000154

.0000569

2.71 0.007


.0000425

.0002655

GSIZE4

.0004537

.0004822

0.94 0.347


-.0004915

.0013989

DEFIC4

.0013009

.0006233

2.09 0.037


.0000793

.0025225

CRISIS1

-.015672

.0033039

-4.74 0.000


-.0221475

-.0091965

_cons

.3464561

.0478364

7.24 0.000


.2526985

.4402138

sigma_u

.00939078






sigma_e

.01989971






rho

.18213427

(fraction

of variance due

to

u_i)



. hausman fem1 rem1


Coefficients


(b) fem1

(B)

rem1

(b-B)

Difference

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

LOGY4

-.0847854

-.0588329

-.0259525

.003297

DEBT4

.0004027

-.0000274

.0004301

.0000566

HUMAN4

.0035643

.0037498

-.0001855

.0008805

INFLAT4

-.0011198

-.000496

-.0006238

.

TO4

.0006451

.000154

.0004911

.0000696

GSIZE4

.0021888

.0004537

.0017351

.0004455

DEFIC4

.0009268

.0013009

-.0003741

.

CRISIS1

-.002052

-.015672

.01362

.0014494

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)

= 188.16

Prob>chi2 = 0.0000

(V_b-V_B is not positive definite)


. pwcorr u1 LOGY4 DEBT4 HUMAN4 INFLAT4 TO4 GSIZE4 DEFIC4 CRISIS1,sig



u1

LOGY4

DEBT4

HUMAN4

INFLAT4

TO4

GSIZE4

u1

1.0000








LOGY4


-0.6791


1.0000







0.0000







DEBT4

0.3313

-0.1396

1.0000






0.0000

0.0028






HUMAN4

0.0291

0.3812

-0.1017

1.0000





0.5354

0.0000

0.0297





INFLAT4

-0.2334

-0.0582

0.0850

0.0003

1.0000




0.0000

0.2114

0.0697

0.9946




TO4

0.4533

0.1214

0.0188

0.0670

0.0375

1.0000



0.0000

0.0089

0.6885

0.1499

0.4203



GSIZE4

0.1794

0.0856

0.0589

0.0059

0.0463

0.1187

1.0000


0.0001

0.0653

0.2087

0.8988

0.3201

0.0105


DEFIC4

0.0266

-0.0260

-0.1521

0.0425

0.4692

0.1144

0.0397


0.5714

0.5765

0.0011

0.3626

0.0000

0.0139

0.3952

CRISIS1

-0.4110

0.5902

-0.1283

0.2601

-0.1454

0.0097

0.0564


0.0000

0.0000

0.0060

0.0000

0.0017

0.8342

0.2252










DEFIC4

CRISIS1






DEFIC4

1.0000








CRISIS1


-0.0595


1.0000







0.2018








. xttest3


Modified Wald test for groupwise heteroskedasticity in fixed effect regression model


H0: sigma(i)^2 = sigma^2 for all i


chi2 (29) = 1237.35

Prob>chi2 = 0.0000

. xtserial TBY LOGY4 DEBT4 HUMAN4 INFLAT4 TO4 GSIZE4 DEFIC4 CRISIS1


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

F( 1, 28) = 109.952 Prob > F = 0.0000


. vif


Variable

VIF

1/VIF

LOGY4

1.76

0.569457

CRISIS1

1.58

0.633058

HUMAN4

1.19

0.840846

DEBT4

1.07

0.937485

TO4

1.05

0.953173

INFLAT4

1.05

0.954636

DEFIC4

1.04

0.965054

GSIZE4

1.02

0.975788

Mean VIF

1.22


3a3. Kết quả phân tích tác động của nợ công đến TTKT bằng POLS, FEM, REM

đối với nhóm thu nhập trung bình thấp


. regress TBY LOGY4 DEBT4 HUMAN4 INFLAT4 TO4 GSIZE4 DEFIC4 CRISIS1

Source

SS

df

MS

Model

.072834682

8

.009104335

Residual

.132681036

308

.000430783

Total

.205515717

316

.000650366

Number of obs = 317

F( 8, 308) = 21.13

Prob > F = 0.0000

R-squared = 0.3544 Adj R-squared = 0.3376 Root MSE = .02076


TBY

Coef.

Std. Err.

t

P>|t|

[95% Conf.

Interval]

LOGY4

-.0325915

.0042048

-7.75

0.000

-.0408653

-.0243176

DEBT4

.0000444

.0000605

0.74

0.463

-.0000745

.0001634

HUMAN4

.0030281

.000335

9.04

0.000

.0023689

.0036874

INFLAT4

.00015

.0001933

0.78

0.438

-.0002304

.0005304

TO4

9.06e-06

.0000454

0.20

0.842

-.0000802

.0000984

GSIZE4

-.0008142

.0003082

-2.64

0.009

-.0014207

-.0002078

DEFIC4

-.0005279

.0002481

-2.13

0.034

-.001016

-.0000399

CRISIS1

-.0061953

.0029999

-2.07

0.040

-.0120981

-.0002925

_cons

.147139

.0244904

6.01

0.000

.0989494

.1953287


. xtreg TBY LOGY4 DEBT4 HUMAN4 INFLAT4 TO4 GSIZE4 DEFIC4 CRISIS1,fe


Fixed-effects (within) regression

Number of obs =

317

Group variable: CountryID

Number of groups =

21

R-sq: within = 0.2976

Obs per group: min =

6

between = 0.5753

avg =

15.1

overall = 0.3199

max =

16


F(8,288) =

15.25

corr(u_i, Xb) = -0.7887

Prob > F =

0.0000


TBY

Coef.

Std. Err.


t P>|t|


[95% Conf.

Interval]

LOGY4

-.0775037

.0092976


-8.34 0.000


-.0958036

-.0592039

DEBT4

.0001406

.0000824


1.71 0.089


-.0000215

.0003027

HUMAN4

.0061782

.0011631


5.31 0.000


.003889

.0084675

INFLAT4

-.0005277

.0002392


-2.21 0.028


-.0009985

-.0000569

TO4

.0000306

.0000941


0.32 0.745


-.0001546

.0002157

GSIZE4

-.0020373

.0007283


-2.80 0.006


-.0034708

-.0006037

DEFIC4

-.0005022

.0002619


-1.92 0.056


-.0010177

.0000133

CRISIS1

.0074304

.0042166


1.76 0.079


-.0008689

.0157296

_cons

.3381751

.0694504


4.87 0.000


.2014804

.4748698

sigma_u

.01837085







sigma_e

.01856649







rho

.49470361

(fraction

of

variance due

to

u_i)


F test that all u_i=0: F(20, 288) = 4.85 Prob > F = 0.0000


. xtreg TBY LOGY4 DEBT4 HUMAN4 INFLAT4 TO4 GSIZE4 DEFIC4 CRISIS1,re


Random-effects GLS regression

Number of obs =

317

Group variable: CountryID

Number of groups =

21

R-sq: within = 0.2776

Obs per group: min =

6

between = 0.6196

avg =

15.1

overall = 0.3415

max =

16


Wald chi2(8) =

127.28

corr(u_i, X) = 0 (assumed)

Prob > chi2 =

0.0000


TBY

Coef.

Std. Err.


z P>|z|


[95% Conf.

Interval]

LOGY4

-.0463162

.0060693


-7.63 0.000


-.0582118

-.0344206

DEBT4

.0001012

.0000722


1.40 0.161


-.0000402

.0002427

HUMAN4

.003958

.0004999


7.92 0.000


.0029781

.0049378

INFLAT4

-.0002247

.0002154


-1.04 0.297


-.0006469

.0001976

TO4

-.0000119

.0000647


-0.18 0.854


-.0001388

.0001149

GSIZE4

-.0011331

.000459


-2.47 0.014


-.0020327

-.0002334

DEFIC4

-.0004445

.000256


-1.74 0.082


-.0009461

.0000572

CRISIS1

-.0011893

.0032756


-0.36 0.717


-.0076094

.0052307

_cons

.2081443

.0363603


5.72 0.000


.1368795

.2794091

sigma_u

.00756649







sigma_e

.01856649







rho

.14242943

(fraction

of

variance due

to

u_i)



. hausman fem1 rem1


Coefficients


(b) fem1

(B)

rem1

(b-B)

Difference

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

LOGY4

-.0775037

-.0463162

-.0311875

.0070434

DEBT4

.0001406

.0001012

.0000394

.0000397

HUMAN4

.0061782

.003958

.0022203

.0010502

INFLAT4

-.0005277

-.0002247

-.000303

.0001039

TO4

.0000306

-.0000119

.0000425

.0000683

GSIZE4

-.0020373

-.0011331

-.0009042

.0005655

DEFIC4

-.0005022

-.0004445

-.0000577

.0000556

CRISIS1

.0074304

-.0011893

.0086197

.0026552

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)

= 37.17

Prob>chi2 = 0.0000

(V_b-V_B is not positive definite)


. predict u1

(option xb assumed; fitted values) (103 missing values generated)


. pwcorr u1 LOGY4 DEBT4 HUMAN4 INFLAT4 TO4 GSIZE4 DEFIC4 CRISIS1,sig



u1

LOGY4

DEBT4

HUMAN4

INFLAT4

TO4

GSIZE4

u1

1.0000








LOGY4


-0.4115


1.0000







0.0000







DEBT4

0.0696

-0.1566

1.0000






0.2164

0.0040






HUMAN4

0.3381

0.7123

-0.1339

1.0000





0.0000

0.0000

0.0140





INFLAT4

0.0466

-0.1317

0.1236

-0.0232

1.0000




0.4087

0.0157

0.0235

0.6720




TO4

0.3750

0.1288

-0.1165

0.4615

0.0852

1.0000



0.0000

0.0182

0.0328

0.0000

0.1189



GSIZE4

-0.2005

0.2532

-0.0688

0.3091

-0.0730

0.2358

1.0000


0.0003

0.0000

0.2207

0.0000

0.1938

0.0000


DEFIC4

-0.2130

0.0991

0.0363

0.0291

0.0443

0.1071

0.0434


0.0001

0.0704

0.5085

0.5956

0.4193

0.0505

0.4411

CRISIS1

-0.2299

0.4435

-0.3787

0.2072

-0.0285

0.0167

0.0704


0.0000

0.0000

0.0000

0.0001

0.6033

0.7606

0.2096










DEFIC4

CRISIS1






DEFIC4

1.0000








CRISIS1


-0.1364


1.0000







0.0126








. xttest3


Modified Wald test for groupwise heteroskedasticity in fixed effect regression model


H0: sigma(i)^2 = sigma^2 for all i


chi2 (21) = 616.67

Prob>chi2 = 0.0000

. xtserial TBY LOGY4 DEBT4 HUMAN4 INFLAT4 TO4 GSIZE4 DEFIC4 CRISIS1


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

F( 1, 20) = 162.373 Prob > F = 0.0000


. vif


Variable

VIF

1/VIF

LOGY4

2.85

0.350452

HUMAN4

2.83

0.353674

CRISIS1

1.63

0.614305

TO4

1.50

0.666818

DEBT4

1.22

0.818187

GSIZE4

1.14

0.875833

DEFIC4

1.08

0.923820

INFLAT4

1.04

0.957229

Mean VIF

1.66


3b. Kết quả phân tích tác động của nợ công đến TTKT dưới điều kiện khủng hoảng

nợ công bằng DGMM

3b1. Kết quả phân tích tác động của nợ công đến TTKT bằng DGMM đối với nhóm thu nhập cao


. xtabond2 TBY LOGY4 DEBT4 HUMAN4 INFLAT4 TO4 GSIZE4 DEFIC4 DEBTCRISIS, gmm(l2.TO4, lag(1 2)) iv(l.LOGY4 DEBT4 l3.HUMAN4 INFLAT4

> l2.GSIZE4 l2.DEFIC4 DEBTCRISIS) twostep small noleveleq

Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm. Warning: Two-step estimated covariance matrix of moments is singular.

Using a generalized inverse to calculate optimal weighting matrix for two-step estimation. Difference-in-Sargan/Hansen statistics may be negative.


Dynamic panel-data estimation, two-step difference GMM


Group variable: CountryID

Number of obs =

427

Time variable : Year

Number of groups =

36

Number of instruments = 31

Obs per group: min =

7

F(8, 36) = 1423.22

avg =

11.86

Prob > F = 0.000

max =

12


TBY

Coef.

Std. Err.

t

P>|t|

[95% Conf.

Interval]

LOGY4

-.0624914

.0042166

-14.82

0.000

-.0710431

-.0539397

DEBT4

.0007108

.0000401

17.73

0.000

.0006295

.0007921

HUMAN4

-.0122994

.0007071

-17.39

0.000

-.0137335

-.0108652

INFLAT4

-.0012007

.0001403

-8.56

0.000

-.0014853

-.0009161

TO4

-.0003556

.0000253

-14.04

0.000

-.000407

-.0003043

GSIZE4

.0033474

.0006293

5.32

0.000

.0020711

.0046238

DEFIC4

.0001645

.0001831

0.90

0.375

-.0002069

.0005359

DEBTCRISIS

-.0000433

.0000125

-3.46

0.001

-.0000687

-.0000179

Warning: Uncorrected two-step standard errors are unreliable.


Instruments for first differences equation Standard

D.(L.LOGY4 DEBT4 L3.HUMAN4 INFLAT4 L2.GSIZE4 L2.DEFIC4 DEBTCRISIS)

GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/2).L2.TO4

Arellano-Bond test for AR(1) in first differences: z = 2.40 Pr > z = 0.016 Arellano-Bond test for AR(2) in first differences: z = 0.55 Pr > z = 0.584

Sargan test of overid. restrictions: chi2(23) = 173.56 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.)

Hansen test of overid. restrictions: chi2(23) = 29.17 Prob > chi2 = 0.175 (Robust, but weakened by many instruments.)


Difference-in-Hansen tests of exogeneity of instrument subsets: iv(L.LOGY4 DEBT4 L3.HUMAN4 INFLAT4 L2.GSIZE4 L2.DEFIC4 DEBTCRISIS)

Hansen test excluding group: chi2(16) = 24.97 Prob > chi2 = 0.070 Difference (null H = exogenous): chi2(7) = 4.20 Prob > chi2 = 0.756



3b2. Kết quả phân tích tác động của nợ công đến TTKT bằng DGMM đối với nhóm thu nhập trung bình cao

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