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Nghiên cứu ứng dụng lý thuyết người đại diện trong quản trị ngân hàng thương mại Việt Nam - 20


Bỏ biến ASSET

Dependent Variable: LOG(ROA) Method: Least Squares

Date: 05/15/15 Time: 14:55 Sample (adjusted): 6 115

Included observations: 54 after adjustments

Variable

Coefficient

Std. Error t-Statistic

Prob.

LOG(X1TONG)

-0.072887

0.030914 -2.357738

0.0223

LOG(CAPITAL)

0.325474

0.157019 2.072829

0.0433

C

-0.988515

0.391007 -2.528123

0.0146

R-squared

0.168721

Mean dependent var

0.057470

Adjusted R-squared

0.136121

S.D. dependent var

0.629525

S.E. of regression

0.585112

Akaike info criterion

1.819927

Sum squared resid

17.46018

Schwarz criterion

1.930426

Log likelihood

-46.13803

Hannan-Quinn criter.

1.862542

F-statistic

5.175605

Durbin-Watson stat

1.380902

Prob(F-statistic)

0.008986



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Nghiên cứu ứng dụng lý thuyết người đại diện trong quản trị ngân hàng thương mại Việt Nam - 20


Kiểm định tự tương quan

Breusch-Godfrey Serial Correlation LM Test:

Obs*R-squared 0.000000 Prob. Chi-Square(2) 1.0000


Test Equation:

Dependent Variable: RESID Method: Least Squares Date: 05/15/15 Time: 14:56 Sample: 6 115

Included observations: 54

Presample and interior missing value lagged residuals set to zero.

Variable

Coefficient

Std. Error t-Statistic

Prob.

LOG(X1TONG)

0.005410

0.034415 0.157202

0.8757

LOG(CAPITAL)

0.013651

0.182196 0.074924

0.9406

C

-0.009490

0.425694 -0.022292

0.9823

RESID(-1)

0.044936

0.194836 0.230635

0.8186

RESID(-2)

-0.116986

0.190437 -0.614306

0.5419

R-squared

-0.019208

Mean dependent var

-5.45E-17

Adjusted R-squared

-0.102409

S.D. dependent var

0.573966

S.E. of regression

0.602640

Akaike info criterion

1.913027

Sum squared resid

17.79555

Schwarz criterion

2.097192

Log likelihood

-46.65173

Hannan-Quinn criter.

1.984052

Durbin-Watson stat

1.486621




Kiểm định phương sai thay đổi

Heteroskedasticity Test: Breusch-Pagan-Godfrey

F-statistic

0.797191

Prob. F(2,51)

0.4561

Obs*R-squared

1.636992

Prob. Chi-Square(2)

0.4411

Scaled explained SS

3.377823

Prob. Chi-Square(2)

0.1847


Test Equation:

Dependent Variable: RESID^2 Method: Least Squares

Date: 05/15/15 Time: 14:56 Sample: 6 115

Included observations: 54

Variable

Coefficient

Std. Error t-Statistic

Prob.

C

0.631761

0.470936 1.341501

0.1857

LOG(X1TONG)

0.045023

0.037233 1.209211

0.2322

LOG(CAPITAL)

-0.057646

0.189117 -0.304817

0.7617

R-squared

0.030315

Mean dependent var

0.323337

Adjusted R-squared

-0.007712

S.D. dependent var

0.702017

S.E. of regression

0.704719

Akaike info criterion

2.191917

Sum squared resid

25.32806

Schwarz criterion

2.302416

Log likelihood

-56.18176

Hannan-Quinn criter.

2.234532

F-statistic

0.797191

Durbin-Watson stat

1.383628

Prob(F-statistic)

0.456127




Kiểm định RAMSEY RESET

Ramsey RESET Test Equation: H1C

Specification: LOG(ROA) LOG(X1TONG) LOG(CAPITAL) C

Omitted Variables: Squares of fitted values

Value df Probability


t-statistic

0.801501

50

0.4266

F-statistic

0.642404

(1, 50)

0.4266

Likelihood ratio

0.689377

1

0.4064

F-test summary:




Mean

Sum of Sq. df Squares

Test SSR

0.221484

1

0.221484

Restricted SSR

17.46018

51

0.342356

Unrestricted SSR

17.23869

50

0.344774

Unrestricted SSR

17.23869

50

0.344774

LR test summary:




Value df

Restricted LogL

-46.13803

51

Unrestricted LogL

-45.79334

50


Unrestricted Test Equation: Dependent Variable: LOG(ROA) Method: Least Squares

Date: 09/29/15 Time: 14:02 Sample: 6 115

Included observations: 54

Variable

Coefficient

Std. Error t-Statistic

Prob.

LOG(X1TONG)

-0.089829

0.037540 -2.392915

0.0205

LOG(CAPITAL)

0.422808

0.198939 2.125316

0.0385

C

-1.233446

0.497345 -2.480061

0.0165

FITTED^2

-0.714512

0.891468 -0.801501

0.4266

R-squared

0.179265

Mean dependent var

0.057470

Adjusted R-squared

0.130021

S.D. dependent var

0.629525

S.E. of regression

0.587174

Akaike info criterion

1.844198

Sum squared resid

17.23869

Schwarz criterion

1.991530

Log likelihood

-45.79334

Hannan-Quinn criter.

1.901018

F-statistic

3.640345

Durbin-Watson stat

1.363899

Prob(F-statistic)

0.018787




Phụ lục 8. Kết quả giả thiết H2A

Hồi quy gốc

Dependent Variable: COI Method: Least Squares Date: 05/25/15 Time: 11:29 Sample (adjusted): 6 115

Included observations: 54 after adjustments

Variable

Coefficient

Std. Error t-Statistic

Prob.

X1DH

25.25786

21.90519 1.153053

0.2544

CAPITAL

-0.127094

0.130858 -0.971236

0.3361

LN_ASSETS

0.880833

0.880081 1.000855

0.3217

C

78.12707

16.95826 4.607021

0.0000

R-squared

0.142399

Mean dependent var

92.69241

Adjusted R-squared

0.090943

S.D. dependent var

5.711927

S.E. of regression

5.446007

Akaike info criterion

6.298830

Sum squared resid

1482.950

Schwarz criterion

6.446162

Log likelihood

-166.0684

Hannan-Quinn criter.

6.355650

F-statistic

2.767392

Durbin-Watson stat

1.395168

Prob(F-statistic)

0.051333




Hồi quy log

Dependent Variable: LOG(COI) Method: Least Squares

Date: 05/25/15 Time: 11:30 Sample (adjusted): 6 115

Included observations: 54 after adjustments

Variable

Coefficient

Std. Error t-Statistic

Prob.

LOG(X1DH)

0.007161

0.004424 1.618813

0.1118

LOG(CAPITAL)

0.011772

0.030756 0.382746

0.7035

LN_ASSETS

0.025409

0.013798 1.841524

0.0715

C

4.090105

0.296570 13.79138

0.0000

R-squared

0.143103

Mean dependent var

4.527207

Adjusted R-squared

0.091689

S.D. dependent var

0.066953

S.E. of regression

0.063810

Akaike info criterion

-2.594635

Sum squared resid

0.203584

Schwarz criterion

-2.447303

Log likelihood

74.05514

Hannan-Quinn criter.

-2.537815

F-statistic

2.783346

Durbin-Watson stat

1.321124

Prob(F-statistic)

0.050389




Bỏ biến CAPITAL

Dependent Variable: LOG(COI) Method: Least Squares

Date: 05/25/15 Time: 11:30 Sample (adjusted): 6 115

Included observations: 54 after adjustments

Variable

Coefficient

Std. Error t-Statistic

Prob.

LOG(X1DH)

0.006432

0.003959 1.624719

0.1104

LN_ASSETS

0.021020

0.007610 2.762056

0.0080

C

4.191706

0.131132 31.96549

0.0000

R-squared

0.140592

Mean dependent var

4.527207

Adjusted R-squared

0.106890

S.D. dependent var

0.066953

S.E. of regression

0.063274

Akaike info criterion

-2.628746

Sum squared resid

0.204181

Schwarz criterion

-2.518247

Log likelihood

73.97615

Hannan-Quinn criter.

-2.586131

F-statistic

4.171584

Durbin-Watson stat

1.341382

Prob(F-statistic)

0.020994




Phụ lục 9. Kết quả giả thuyết H2B

Hồi quy gốc

Dependent Variable: COI Method: Least Squares Date: 05/15/15 Time: 15:03 Sample (adjusted): 6 115

Included observations: 62 after adjustments

Variable

Coefficient

Std. Error t-Statistic

Prob.

X1HDQT

21.86557

8.712495 2.509680

0.0149

CAPITAL

-0.039847

0.127676 -0.312097

0.7561

LN_ASSETS

1.417325

0.861724 1.644756

0.1054

C

65.87452

16.77428 3.927114

0.0002

R-squared

0.187390

Mean dependent var

92.33806

Adjusted R-squared

0.145359

S.D. dependent var

5.728993

S.E. of regression

5.296271

Akaike info criterion

6.234224

Sum squared resid

1626.928

Schwarz criterion

6.371458

Log likelihood

-189.2609

Hannan-Quinn criter.

6.288106

F-statistic

4.458331

Durbin-Watson stat

1.319409

Prob(F-statistic)

0.006930




Hồi quy log

Dependent Variable: LOG(COI) Method: Least Squares

Date: 05/15/15 Time: 15:04 Sample (adjusted): 6 115

Included observations: 62 after adjustments

Variable

Coefficient

Std. Error t-Statistic

Prob.

LOG(X1HDQT)

0.009562

0.003156 3.030054

0.0036

LOG(CAPITAL)

0.030012

0.028499 1.053090

0.2967

LN_ASSETS

0.034558

0.012973 2.663723

0.0100

C

3.877519

0.282708 13.71562

0.0000

R-squared

0.210328

Mean dependent var

4.523372

Adjusted R-squared

0.169483

S.D. dependent var

0.066742

S.E. of regression

0.060823

Akaike info criterion

-2.699342

Sum squared resid

0.214571

Schwarz criterion

-2.562107

Log likelihood

87.67960

Hannan-Quinn criter.

-2.645460

F-statistic

5.149398

Durbin-Watson stat

1.330872

Prob(F-statistic)

0.003174




Bỏ biến CAPITAL

Dependent Variable: LOG(COI) Method: Least Squares

Date: 05/15/15 Time: 15:05 Sample (adjusted): 6 115

Included observations: 62 after adjustments

Variable

Coefficient

Std. Error t-Statistic

Prob.

LOG(X1HDQT)

0.007948

0.002761 2.878517

0.0056

LN_ASSETS

0.023129

0.007115 3.250771

0.0019

C

4.145218

0.123825 33.47635

0.0000

R-squared

0.195229

Mean dependent var

4.523372

Adjusted R-squared

0.167948

S.D. dependent var

0.066742

S.E. of regression

0.060880

Akaike info criterion

-2.712660

Sum squared resid

0.218673

Schwarz criterion

-2.609734

Log likelihood

87.09245

Hannan-Quinn criter.

-2.672249

F-statistic

7.156376

Durbin-Watson stat

1.391011

Prob(F-statistic)

0.001649




Kiểm định tự tương quan

Breusch-Godfrey Serial Correlation LM Test:

F-statistic

1.039285 Prob. F(2,57)

0.3603

Obs*R-squared

2.181355 Prob. Chi-Square(2)

0.3360


Test Equation:

Dependent Variable: RESID Method: Least Squares Date: 05/15/15 Time: 15:06 Sample: 6 115

Included observations: 62

Presample and interior missing value lagged residuals set to zero.

Variable

Coefficient

Std. Error t-Statistic

Prob.

LOG(X1HDQT)

-0.000921

0.002847 -0.323506

0.7475

LN_ASSETS

-0.001980

0.007468 -0.265184

0.7918

C

0.032394

0.129884 0.249404

0.8039

RESID(-1)

0.235210

0.150991 1.557776

0.1248

RESID(-2)

-0.095862

0.163274 -0.587123

0.5594

R-squared

0.035183

Mean dependent var

7.05E-17

Adjusted R-squared

-0.032523

S.D. dependent var

0.059873

S.E. of regression

0.060839

Akaike info criterion

-2.683961

Sum squared resid

0.210980

Schwarz criterion

-2.512418

Log likelihood

88.20278

Hannan-Quinn criter.

-2.616609

F-statistic

0.519642

Durbin-Watson stat

1.855641

Prob(F-statistic)

0.721605




Kiểm định phương sai thay đổi

Phương pháp Breusch-Pagan-Godfrey

Heteroskedasticity Test: Breusch-Pagan-Godfrey

F-statistic

4.993543

Prob. F(2,59)

0.0099

Obs*R-squared

8.975583

Prob. Chi-Square(2)

0.0112

Scaled explained SS

20.43292

Prob. Chi-Square(2)

0.0000

Test Equation:

Dependent Variable: RESID^2 Method: Least Squares

Date: 05/15/15 Time: 15:06 Sample: 6 115

Included observations: 62

Variable

Coefficient

Std. SS

2.689491

Prob. Chi-Square(2)

0.2606

Test Equation:

Dependent Variable: LRESID2 Method: Least Squares

Date: 05/15/15 Time: 15:06 Sample: 6 115

Included observations: 62

Variable

Coefficient

Std. Error t-Statistic

Prob.

C

0.113745

4.596090 0.024748

0.9803

LOG(X1HDQT)

-0.035296

0.102487 -0.344394

0.7318

LN_ASSETS

-0.423070

0.264084 -1.602028

0.1145

R-squared

0.042195

Mean dependent var

-7.280027

Adjusted R-squared

0.009727

S.D. dependent var

2.270773

S.E. of regression

2.259702

Akaike info criterion

4.515520

Sum squared resid

301.2688

Schwarz criterion

4.618446

Log likelihood

-136.9811

Hannan-Quinn criter.

4.555931

F-statistic

1.299594

Durbin-Watson stat

1.796581

Prob(F-statistic)

0.280332



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