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Tác động của rủi ro thanh khoản đến hiệu quả hoạt động kinh doanh ngân hàng: nghiên cứu trường hợp các quốc gia Đông Nam Á 1670316926 - 23


size2 |

-.0166818

.0082685

-2.02

0.044

-.0328878

-.0004759

eta |

.0589139

.0060886

9.68

0.000

.0469805

.0708474

llp |

.0000953

.0005956

0.16

0.873

-.0010721

.0012627

gdp |

.0020885

.0002954

7.07

0.000

.0015095

.0026675

infl |

.0170199

.0037032

4.60

0.000

.0097618

.024278

m2 |

-.0000502

.0000146

-3.44

0.001

-.0000787

-.0000216

d_cris |

-.2837137

.0394027

-7.20

0.000

-.3609415

-.2064858

_cons |

-1.268747

.3064362

-4.14

0.000

-1.869351

-.6681429

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Tác động của rủi ro thanh khoản đến hiệu quả hoạt động kinh doanh ngân hàng: nghiên cứu trường hợp các quốc gia Đông Nam Á 1670316926 - 23

------------------------------------------------------------------------------

Warning: gmm two-step standard errors are biased; robust standard errors are recommended.

Instruments for differenced equation GMM-type: L(2/.).nim

Standard: D.fgap D.nlst D.nlta D.lia D.llr D.lads D.size D.size2 D.eta D.llp D.gdp D.infl D.m2 D.d_cris

Instruments for level equation Standard: _cons


.

. estat sargan

Sargan test of overidentifying restrictions

H0: overidentifying restrictions are valid


chi2(65) = 92.23431

Prob > chi2 = 0.0148


.

. estat abond


Arellano-Bond test for zero autocorrelation in first-differenced errors

+-----------------------+

|Order | z Prob > z|

|------+----------------|

| 1 | -3.99 0.0001 |

| 2 | .1899 0.8494 |

+-----------------------+

H0: no autocorrelation


.

. est sto GMM66


.

. esttab P66 F66 R66 GMM66,r2 star(* 0.1 ** 0.05 *** 0.01) brackets nogap


----------------------------------------------------------------------------

(1)

(2)

(3)

(4)

nim

nim

nim

nim

----------------------------------------------------------------------------

L.nim

0.836***

0.546***

0.806***

0.668***


[80.34]

[27.93]

[69.44]

[32.38]

fgap

0.108

0.438

0.270

0.185


[0.21]

[0.80]

[0.52]

[0.68]

nlst

-0.000863*

-0.00196**

-0.00113**

-0.00106***


[-1.65]

[-2.14]

[-1.97]

[-4.21]

nlta

0.0101*

0.0281***

0.0127**

0.0299***


[1.79]

[4.15]

[2.17]

[8.54]

lia

0.00864

0.0129

0.00796

-0.0114


[0.92]

[0.99]

[0.80]

[-1.01]

llr

0.00000555

-0.0000162

0.000000626

0.0000102


[0.26]

[-0.69]

[0.03]

[1.29]

lads

0.00148

0.00145

0.00151

-0.00112


[1.11]

[0.89]

[1.07]

[-1.34]

size

-0.0487

-0.0281

-0.0292

0.312***


[-1.24]

[-0.19]

[-0.67]

[2.92]

size2

0.0130***

0.00804

0.0110***

-0.0167**


[3.28]

[0.69]

[2.61]

[-2.02]

eta

0.0111*

0.0253***

0.0148**

0.0589***


[1.87]

[3.23]

[2.39]

[9.68]

llp

-0.000352

0.00122

0.00000349

0.0000953


[-0.46]

[1.29]

[0.00]

[0.16]

gdp

0.00219***

0.00202***

0.00211***

0.00209***


[3.35]

[3.43]

[3.29]

[7.07]

infl

0.0248***

0.0175**

0.0242***

0.0170***


[3.60]

[2.23]

[3.39]

[4.60]

m2

-0.0000356

-0.0000129

-0.0000241

-0.0000502***


[-1.59]

[-0.34]

[-0.98]

[-3.44]

d_cris

-0.0156

-0.292***

-0.0616

-0.284***


[-0.26]

[-5.01]

[-1.05]

[-7.20]

d_deve

-0.247***

.

-0.361***



[-3.15]

.

[-3.85]


_cons

0.0146

0.169

0.115

-1.269***


[0.03]

[0.26]

[0.19]

[-4.14]

----------------------------------------------------------------------------

N

1372

1372

1372

1194

R-sq

0.883

0.478



----------------------------------------------------------------------------

t statistics in brackets

* p<0.1, ** p<0.05, *** p<0.01

. *Viet Nam


.

. xtset donvi year

panel variable: donvi (strongly balanced) time variable: year, 2004 to 2016

delta: 1 unit


.

. sum fgap llr nlta nlst lads latd size size2 lia eta llp nim gdp infl m2 d_cris


Variable | Obs Mean Std. Dev. Min Max

-------------+-------------------------------------------------------- fgap | 192 -.3445858 .1631459 -.78796 .05345

llr |

192

137.1926

196.8343

9.45889

1683.111

nlta |

192

55.5571

15.66953

14.483

83.479

nlst |

192

68.88844

27.09285

18.519

318.357

lads |

192

4.03169

1.488041

1.91566

10.65552

-------------+-------------------------------------------------------- latd | 192 21.6864 22.45203 4.86256 113.5764

size |

192

.2445018

.1309541

.03218

.67959

size2 |

192

.0768407

.0794264

.00104

.46184

lia |

192

9.984318

5.01795

3.799

38.675

eta |

192

1.234719

.7392908

.013

4.082

-------------+-------------------------------------------------------- llp | 192 53.94209 44.88811 5.66945 243.7545

nim |

192

2.952948

1.137427

-.96

7.205

gdp |

192

6.141427

.6868361

5.24737

7.7898

infl |

192

8.774971

5.980287

.63

23.08776

m2 |

192

3038.496

1809.798

7.47143

7125.801

-------------+-------------------------------------------------------- d_cris | 192 .703125 .4580754 0 1


.

. sum roa roe nim lia llr nlta nlst nltd lads latd size size2 eta llp gdp infl m2 d_cris


Variable | Obs Mean Std. Dev. Min Max

-------------+-------------------------------------------------------- roa | 192 1.104396 .8635003 -5.993 4.352

roe |

192 11.65761

8.727465

-56.326

44.253

nim |

192 2.952948

1.137427

-.96

7.205

lia |

192 9.984318

5.01795

3.799

38.675

llr |

192 137.1926

196.8343

9.45889

1683.111

-------------+-------------------------------------------------------- nlta | 192 55.5571 15.66953 14.483 83.479

nlst |

192

68.88844

27.09285

18.519

318.357

nltd |

192

28.48467

16.70695

2.279

103.381

lads |

192

4.03169

1.488041

1.91566

10.65552

latd |

192

21.6864

22.45203

4.86256

113.5764

-------------+-------------------------------------------------------- size | 192 .2445018 .1309541 .03218 .67959

size2 |

192

.0768407

.0794264

.00104

.46184

eta |

192

1.234719

.7392908

.013

4.082

llp |

192

53.94209

44.88811

5.66945

243.7545

gdp |

192

6.141427

.6868361

5.24737

7.7898

-------------+--------------------------------------------------------

infl |

192 8.774971 5.980287

.63

23.08776

m2 |

192 3038.496 1809.798

7.47143

7125.801

d_cris |

192 .703125 .4580754

0

1


.

. corr size size2 lia llr lads eta llp nim gdp infl m2 d_cris (obs=192)


| size size2 lia llr lads eta llp nim gdp infl

m2 d_cris

-------------+---------------------------------------------------------------------------------------------

---------------

size | 1.0000

size2 | 0.9663 1.0000

lia | 0.2053 0.1994 1.0000

llr | 0.6083 0.6109 0.0340 1.0000

lads | -0.1644 -0.1499 -0.3282 0.1312 1.0000

eta | -0.1902 -0.1836 -0.2327 0.0616 0.2401 1.0000

llp | 0.8653 0.8607 0.1208 0.9104 0.0191 -0.0464 1.0000

nim | -0.2251 -0.2165 0.2560 -0.2946 -0.0669 0.1041 -0.3034 1.0000

gdp | -0.0042 -0.0027 -0.0187 -0.1906 -0.1766 -0.3509 -0.1444 -0.1255 1.0000

infl | 0.2124 0.1722 0.1175 0.0550 -0.2002 -0.1231 0.1230 0.0163 -0.1413 1.0000

m2 | -0.1920 -0.1945 -0.0979 0.0281 0.4529 0.3384 -0.0515 0.0123 -0.3307 -0.3710

1.0000

d_cris | -0.3310 -0.3364 -0.1599 -0.0372 0.3092 0.3231 -0.1662 0.0598 -0.0939 -0.3125

0.5356 1.0000


.

. corr fgap nlst nlta lia llr lads size size2 eta llp gdp infl m2 d_cris (obs=192)


| fgap nlst nlta lia llr lads size size2 eta llp

gdp infl

> m2 d_cris

-------------+---------------------------------------------------------------------------------------------

-------------------

> --------------


fgap

|

1.0000







nlst

|

0.7776

1.0000





nlta

|

0.9516

0.7905

1.0000




lia

|

0.2798

0.0599

-0.0289

1.0000



llr

|

-0.6869

-0.5325

-0.7261

0.0340

1.0000


lads

|

-0.2459

-0.0835

-0.1509

-0.3282

0.1312

1.0000

size

|

-0.4958

-0.4191

-0.5820

0.2053

0.6083

-0.1644

1.0000





size2

|

-0.4658

-0.3944

-0.5489

0.1994

0.6109

-0.1499

0.9663

1.0000




eta

|

-0.0884

-0.1044

-0.0176

-0.2327

0.0616

0.2401

-0.1902

-0.1836

1.0000



llp

|

-0.7204

-0.5782

-0.7887

0.1208

0.9104

0.0191

0.8653

0.8607

-0.0464

1.0000


gdp

|

0.2368

0.2280

0.2526

-0.0187

-0.1906

-0.1766

-0.0042

-0.0027

-0.3509

-0.1444


1.0000















infl

|

0.0436

0.0686

0.0077

0.1175

0.0550

-0.2002

0.2124

0.1722

-0.1231

0.1230

-

0.1413

1.0000












m2 |

-0.1854

-0.1922

-0.1617

-0.0979

0.0281

0.4529

-0.1920

-0.1945

0.3384

-0.0515

-

0.3307 -0.3710

1











> .0000












d_cris |

-0.1321

-0.1587

-0.0863

-0.1599

-0.0372

0.3092

-0.3310

-0.3364

0.3231

-0.1662

-

0.0939 -0.3125

0











> .5356 1.0000













.

.

.

. Mo hinh 1

unrecognized command: Mo r(199);


.

. *fgap


.

-------------+------------------------------

F( 13, 143) =

115.29

Model | 3.90372512 13 .300286548

Prob > F =

0.0000

Residual | .372458133 143 .002604602

R-squared =

0.9129

-------------+------------------------------

Adj R-squared =

0.9050

Total | 4.27618325 156 .027411431

Root MSE =

.05104

. reg fgap l.fgap size size2 lia llr lads eta llp nim gdp infl m2 d_cris Source | SS df MS Number of obs = 157


------------------------------------------------------------------------------

fgap | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-------------+----------------------------------------------------------------

fgap

|


L1.

|

.3956278

.0448573

8.82

0.000

.3069588

.4842968


|







size

|

.3688323

.1653682

2.23

0.027

.0419504

.6957143

size2

|

1.17549

.2665872

4.41

0.000

.6485291

1.702451

lia

|

.007181

.0011448

6.27

0.000

.0049182

.0094438

llr

|

.0007097

.0001253

5.66

0.000

.000462

.0009574

lads

|

.0022707

.0036611

0.62

0.536

-.0049662

.0095076

eta

|

.0105102

.0063857

1.65

0.102

-.0021123

.0231326

llp

|

-.0074231

.0009973

-7.44

0.000

-.0093945

-.0054517

nim

|

.0057354

.0043308

1.32

0.188

-.0028253

.014296

gdp

|

.0058

.0079588

0.73

0.467

-.0099321

.0215321

infl

|

-.000118

.0007679

-0.15

0.878

-.0016359

.0013998

m2

|

-2.92e-06

3.15e-06

-0.93

0.355

-9.14e-06

3.30e-06

d_cris

|

-.0092391

.0128294

-0.72

0.473

-.034599

.0161207

_cons

|

-.2167044

.0647447

-3.35

0.001

-.3446847

-.0887241

------------------------------------------------------------------------------


.

. vif


Variable | VIF 1/VIF

-------------+----------------------

llp

|

119.29

0.008383

llr

|

41.09

0.024334

size

|

24.57

0.040694

size2

|

21.39

0.046757

fgap

|



L1.

|

3.32

0.301601

d_cris

|

2.06

0.486571

m2

|

1.89

0.527848

lia

|

1.57

0.635554

lads

|

1.57

0.638418

nim

|

1.53

0.654529

infl

|

1.46

0.683409

eta

|

1.34

0.747191

gdp

|

1.32

0.756547

-------------+----------------------

Mean VIF | 17.11

.

. reg fgap l.fgap size lia llr lads eta llp nim gdp infl m2 d_cris


Source | SS df MS

Number of obs =

157

-------------+------------------------------

F( 12, 144) =

109.28

Model | 3.8530843 12 .321090359

Prob > F =

0.0000

Residual | .42309895 144 .002938187

R-squared =

0.9011

-------------+------------------------------

Adj R-squared =

0.8928

Total | 4.27618325 156 .027411431

Root MSE =

.05421


------------------------------------------------------------------------------

fgap | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-------------+----------------------------------------------------------------

fgap

|


L1.

|

.4759563

.0435373

10.93

0.000

.3899015

.5620111


|







size

|

.6212939

.1647757

3.77

0.000

.2956024

.9469855

lia

|

.0063447

.0011991

5.29

0.000

.0039746

.0087147

llr

|

.0004498

.0001174

3.83

0.000

.0002176

.0006819

lads

|

.0022722

.0038885

0.58

0.560

-.0054138

.0099581

eta

|

.0099271

.0067808

1.46

0.145

-.0034757

.0233299

llp

|

-.0051345

.0009045

-5.68

0.000

-.0069224

-.0033466

nim

|

.0067005

.0045939

1.46

0.147

-.0023797

.0157807

gdp

|

.0042702

.0084451

0.51

0.614

-.0124222

.0209626

infl

|

-.0008431

.0007966

-1.06

0.292

-.0024177

.0007315

m2

|

-4.16e-06

3.33e-06

-1.25

0.214

-.0000107

2.42e-06

d_cris

|

-.0129319

.0135972

-0.95

0.343

-.0398077

.013944

_cons

|

-.221343

.0687568

-3.22

0.002

-.357246

-.08544

------------------------------------------------------------------------------


.

. est sto P4


.

. imtest, white


White's test for Ho: homoskedasticity

against Ha: unrestricted heteroskedasticity

chi2(88) = 122.96

Prob > chi2 = 0.0082


Cameron & Trivedi's decomposition of IM-test


---------------------------------------------------

Source | chi2 df p

---------------------+-----------------------------

Heteroskedasticity | 122.96 88 0.0082

Skewness | 20.51 12 0.0581

Kurtosis | 1.95 1 0.1625

---------------------+----------------------------- Total | 145.42 101 0.0025

---------------------------------------------------


.

. xtreg fgap l.fgap size size2 lia llr lads eta llp nim gdp infl m2 d_cris,fe


Fixed-effects (within) regression

Number of obs

=

157

Group variable: donvi

Number of groups

=

25

R-sq: within = 0.8036

Obs per group: min =

1

between = 0.8850

avg =

6.3

overall = 0.8819

max =

11


F(13,119)

=

37.46

corr(u_i, Xb) = 0.4150

Prob > F

=

0.0000


------------------------------------------------------------------------------

fgap | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-------------+----------------------------------------------------------------

fgap

|


L1.

|

.1524946

.0508069

3.00

0.003

.0518919

.2530974


|







size

|

.2909684

.1769017

1.64

0.103

-.0593146

.6412514

size2

|

1.253782

.3208643

3.91

0.000

.6184385

1.889125

lia

|

.0078018

.0014249

5.48

0.000

.0049803

.0106233

llr

|

.0008267

.0001409

5.87

0.000

.0005477

.0011056

lads

|

-.0004649

.004921

-0.09

0.925

-.0102089

.0092791

eta

|

-.0071861

.0076853

-0.94

0.352

-.0224039

.0080316

llp

|

-.0079349

.0011495

-6.90

0.000

-.0102111

-.0056586

nim

|

.0148634

.0047404

3.14

0.002

.005477

.0242498

gdp

|

.012348

.0071713

1.72

0.088

-.0018518

.0265478

infl

|

-.0001008

.0006493

-0.16

0.877

-.0013865

.0011849

m2

|

-2.22e-06

2.64e-06

-0.84

0.402

-7.44e-06

3.01e-06

d_cris

|

-.0071395

.0110933

-0.64

0.521

-.0291054

.0148264

_cons

|

-.3197629

.0707549

-4.52

0.000

-.4598648

-.1796611

-------------+----------------------------------------------------------------

sigma_u | .06031909

sigma_e | .0405736

rho | .68848841 (fraction of variance due to u_i)

------------------------------------------------------------------------------

F test that all u_i=0: F(24, 119) = 4.47 Prob > F = 0.0000


.

. est sto F4


.

. xtreg fgap l.fgap size size2 lia llr lads eta llp nim gdp infl m2 d_cris,re


Random-effects GLS regression

Number of obs

=

157

Group variable: donvi

Number of groups

=

25

R-sq: within = 0.7718

Obs per group: min =

1

between = 0.9415

avg =

6.3

overall = 0.9118

max =

11



Wald chi2(13)

=

1141.72

corr(u_i, X)

= 0 (assumed)

Prob > chi2

=

0.0000


------------------------------------------------------------------------------

fgap | Coef. Std. Err. z P>|z| [95% Conf. Interval]

-------------+----------------------------------------------------------------

fgap

|


L1.

|

.3507546

.0450046

7.79

0.000

.2625472

.4389619


|







size

|

.3884086

.1664617

2.33

0.020

.0621497

.7146675

size2

|

1.25366

.2658609

4.72

0.000

.7325818

1.774737

lia

|

.0071311

.001196

5.96

0.000

.004787

.0094751

llr

|

.0007579

.0001249

6.07

0.000

.0005132

.0010026

lads

|

.0014796

.0038926

0.38

0.704

-.0061497

.0091089

eta

|

.0061418

.0068881

0.89

0.373

-.0073586

.0196422

llp

|

-.0078723

.0010015

-7.86

0.000

-.0098352

-.0059094

nim

|

.0073339

.0045104

1.63

0.104

-.0015063

.0161741

gdp

|

.005447

.0076165

0.72

0.475

-.009481

.0203751

infl

|

-.0001866

.0007261

-0.26

0.797

-.0016096

.0012365

m2

|

-2.60e-06

2.96e-06

-0.88

0.381

-8.40e-06

3.21e-06

d_cris

|

-.0092754

.0121997

-0.76

0.447

-.0331864

.0146356

_cons

|

-.2203054

.0646118

-3.41

0.001

-.3469422

-.0936685

-------------+----------------------------------------------------------------

sigma_u | .01363676

sigma_e | .0405736

rho | .10149731 (fraction of variance due to u_i)

------------------------------------------------------------------------------


.

. xttest0


Breusch and Pagan Lagrangian multiplier test for random effects fgap[donvi,t] = Xb + u[donvi] + e[donvi,t]

Estimated results:

| Var sd = sqrt(Var)

---------+----------------------------- fgap | .0274114 .165564

e | .0016462 .0405736

u | .000186 .0136368


Test: Var(u) = 0


.

. est sto R4


.

. hausman F4 R4

chibar2(01) = 6.57

Prob > chibar2 = 0.0052


Note: the rank of the differenced variance matrix (12) does not equal the number of coefficients being tested (13); be sure

this is what you expect, or there may be problems computing the test. Examine the output of your estimators for

anything unexpected and possibly consider scaling your variables so that the coefficients are on a similar scale.


---- Coefficients ----

| (b) (B) (b-B) sqrt(diag(V_b-V_B))

| F4 R4 Difference S.E.

-------------+----------------------------------------------------------------

L.fgap

|

.1524946

.3507546

-.1982599

.0235781

size

|

.2909684

.3884086

-.0974402

.0598725

size2

|

1.253782

1.25366

.0001223

.1796438

lia

|

.0078018

.0071311

.0006707

.0007746

llr

|

.0008267

.0007579

.0000688

.0000652

lads

|

-.0004649

.0014796

-.0019445

.0030106

eta

|

-.0071861

.0061418

-.0133279

.0034086

llp

|

-.0079349

-.0078723

-.0000625

.0005643

nim

|

.0148634

.0073339

.0075295

.0014586

gdp

|

.012348

.005447

.006901

.

infl

|

-.0001008

-.0001866

.0000858

.

m2

|

-2.22e-06

-2.60e-06

3.79e-07

.

d_cris | -.0071395 -.0092754 .0021359 .

------------------------------------------------------------------------------

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(12) = (b-B)'[(V_b-V_B)^(-1)](b-B)

= 80.75

Prob>chi2 = 0.0000

(V_b-V_B is not positive definite)


.

. xtabond fgap size size2 lia llr lads eta llp nim gdp infl m2 d_cris,twostep


Number of obs

=

130

Number of groups

=

24

Obs per group:

min =

1


avg =

5.416667


max =

10

Wald chi2(13)

=

8124.42

Prob > chi2

=

0.0000

Arellano-Bond dynamic panel-data estimation Group variable: donvi

Time variable: year

Number of instruments = 71


Two-step results

------------------------------------------------------------------------------

fgap | Coef. Std. Err. z P>|z| [95% Conf. Interval]

-------------+----------------------------------------------------------------

fgap

|


L1.

|

-.1222918

.0913869

-1.34

0.181

-.3014069

.0568232


|







size

|

-.3063641

.3252198

-0.94

0.346

-.9437831

.331055

size2

|

1.669025

.6304951

2.65

0.008

.4332777

2.904773

lia

|

.0136579

.0020436

6.68

0.000

.0096526

.0176632

llr

|

.0007067

.0001838

3.85

0.000

.0003465

.001067

lads

|

.0087458

.0023509

3.72

0.000

.0041381

.0133534

eta

|

-.0078657

.0061846

-1.27

0.203

-.0199872

.0042558

llp

|

-.0064368

.0016357

-3.94

0.000

-.0096426

-.003231

nim

|

.0160898

.0036339

4.43

0.000

.0089675

.0232122

gdp

|

.0292828

.0058103

5.04

0.000

.0178948

.0406708

infl

|

.0004937

.0004019

1.23

0.219

-.000294

.0012814

m2

|

-3.32e-06

1.18e-06

-2.80

0.005

-5.64e-06

-1.00e-06

d_cris

|

-.0071579

.0093392

-0.77

0.443

-.0254624

.0111467

_cons

|

-.5516546

.0586983

-9.40

0.000

-.6667012

-.436608

------------------------------------------------------------------------------

Warning: gmm two-step standard errors are biased; robust standard errors are recommended.

Instruments for differenced equation GMM-type: L(2/.).fgap

Standard: D.size D.size2 D.lia D.llr D.lads D.eta D.llp D.nim D.gdp D.infl D.m2 D.d_cris Instruments for level equation

Standard: _cons


.

. estat sargan

Sargan test of overidentifying restrictions

H0: overidentifying restrictions are valid


chi2(57) = 12.07193

Prob > chi2 = 1.0000


.

. estat abond


Arellano-Bond test for zero autocorrelation in first-differenced errors

+-----------------------+

|Order | z Prob > z|

|------+----------------|

| 1 | 1.1722 0.2411 |

| 2 |-2.5903 0.0096 |

+-----------------------+

H0: no autocorrelation


.

. est sto GMM4


.

. esttab P4 F4 R4 GMM4,r2 star(* 0.1 ** 0.05 *** 0.01) brackets nogap


----------------------------------------------------------------------------

(1)

(2)

(3)

(4)

fgap

fgap

fgap

fgap

----------------------------------------------------------------------------

L.fgap

0.476***

0.152***

0.351***

-0.122


[10.93]

[3.00]

[7.79]

[-1.34]

size

0.621***

0.291

0.388**

-0.306


[3.77]

[1.64]

[2.33]

[-0.94]

lia

0.00634***

0.00780***

0.00713***

0.0137***


[5.29]

[5.48]

[5.96]

[6.68]

llr

0.000450***

0.000827***

0.000758***

0.000707***



[3.83]

[5.87]

[6.07]

[3.85]

lads

0.00227

-0.000465

0.00148

0.00875***


[0.58]

[-0.09]

[0.38]

[3.72]

eta

0.00993

-0.00719

0.00614

-0.00787


[1.46]

[-0.94]

[0.89]

[-1.27]

llp

-0.00513***

-0.00793***

-0.00787***

-0.00644***


[-5.68]

[-6.90]

[-7.86]

[-3.94]

nim

0.00670

0.0149***

0.00733

0.0161***


[1.46]

[3.14]

[1.63]

[4.43]

gdp

0.00427

0.0123*

0.00545

0.0293***


[0.51]

[1.72]

[0.72]

[5.04]

infl

-0.000843

-0.000101

-0.000187

0.000494


[-1.06]

[-0.16]

[-0.26]

[1.23]

m2

-0.00000416

-0.00000222

-0.00000260

-0.00000332***


[-1.25]

[-0.84]

[-0.88]

[-2.80]

d_cris

-0.0129

-0.00714

-0.00928

-0.00716


[-0.95]

[-0.64]

[-0.76]

[-0.77]

size2


1.254***

1.254***

1.669***



[3.91]

[4.72]

[2.65]

_cons

-0.221***

-0.320***

-0.220***

-0.552***


[-3.22]

[-4.52]

[-3.41]

[-9.40]

----------------------------------------------------------------------------

N

157

157

157

130

R-sq

0.901

0.804



----------------------------------------------------------------------------

t statistics in brackets

* p<0.1, ** p<0.05, *** p<0.01


.

.

.

. *nlta


.

. reg nlta l.nlta size lia llr lads eta llp nim gdp infl m2 d_cris


Source | SS df MS

Number of obs =

157

-------------+------------------------------

F( 12, 144) =

104.63

Model | 33838.2445 12 2819.85371

Prob > F =

0.0000

Residual | 3880.95492 144 26.9510758

R-squared =

0.8971

-------------+------------------------------

Adj R-squared =

0.8885

Total | 37719.1994 156 241.78974

Root MSE =

5.1914


------------------------------------------------------------------------------

nlta | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-------------+----------------------------------------------------------------

nlta

|


L1.

|

.5234748

.0437326

11.97

0.000

.4370341

.6099155


|







size

|

60.40916

15.73126

3.84

0.000

29.31515

91.50317

lia

|

.0578568

.1091289

0.53

0.597

-.1578447

.2735583

llr

|

.044157

.0111874

3.95

0.000

.0220442

.0662698

lads

|

.2203331

.3720913

0.59

0.555

-.5151334

.9557996

eta

|

.5282749

.6531888

0.81

0.420

-.7628019

1.819352

llp

|

-.4881937

.0867206

-5.63

0.000

-.6596034

-.316784

nim

|

.4813405

.4427705

1.09

0.279

-.3938286

1.35651

gdp

|

.5149935

.8080187

0.64

0.525

-1.082116

2.112103

infl

|

-.058544

.0758349

-0.77

0.441

-.2084374

.0913494

m2

|

-.0003727

.0003185

-1.17

0.244

-.0010022

.0002569

d_cris

|

-.361966

1.316913

-0.27

0.784

-2.964943

2.241011

_cons

|

27.17798

6.508883

4.18

0.000

14.31268

40.04327

------------------------------------------------------------------------------


.

. vif


Variable | VIF 1/VIF

-------------+----------------------

llp

|

87.16

0.011473

llr

|

31.66

0.031589

size

|

21.49

0.046531

nlta

|



L1.

|

2.73

0.365783

d_cris

|

2.09

0.477838

m2

|

1.88

0.533069

lads

|

1.56

0.639543

nim

|

1.54

0.647952

lia

|

1.38

0.723660

infl

|

1.38

0.724987

eta

|

1.35

0.738925

gdp

|

1.32

0.759494

-------------+----------------------

Mean VIF | 12.96

.

. reg nlta l.nlta size size2 lia llr lads eta llp nim gdp infl m2 d_cris


Source | SS df MS

Number of obs =

157

-------------+------------------------------

F( 13, 143) =

108.86

Model | 34257.4294 13 2635.18688

Prob > F =

0.0000

R-squared =

0.9082

-------------+------------------------------

Adj R-squared =

0.8999

Total | 37719.1994 156 241.78974

Root MSE =

4.9202

Residual | 3461.77 143 24.2081818


------------------------------------------------------------------------------

nlta | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-------------+----------------------------------------------------------------

nlta

|


L1.

|

.4438732

.0456489

9.72

0.000

.3536393

.5341071


|







size

|

37.38432

15.90291

2.35

0.020

5.949158

68.81948

size2

|

107.6376

25.86677

4.16

0.000

56.50693

158.7682

lia

|

.0690444

.1034617

0.67

0.506

-.1354675

.2735563

llr

|

.0679495

.0120462

5.64

0.000

.0441378

.0917612

lads

|

.222552

.3526494

0.63

0.529

-.4745273

.9196312

eta

|

.650906

.6197597

1.05

0.295

-.5741682

1.87598

llp

|

-.7004238

.0967277

-7.24

0.000

-.8916248

-.5092228

nim

|

.4185263

.4199064

1.00

0.321

-.4114994

1.248552

gdp

|

.639795

.7663854

0.83

0.405

-.8751131

2.154703

infl

|

.0035349

.0734044

0.05

0.962

-.141563

.1486328

m2

|

-.0002667

.0003029

-0.88

0.380

-.0008655

.0003321

d_cris

|

-.1581124

1.249063

-0.13

0.899

-2.627125

2.3109

_cons

|

35.37515

6.475674

5.46

0.000

22.57473

48.17556

------------------------------------------------------------------------------


.

. est sto P7


.

. imtest, white


White's test for Ho: homoskedasticity

against Ha: unrestricted heteroskedasticity

chi2(102) = 134.52

Prob > chi2 = 0.0171


Cameron & Trivedi's decomposition of IM-test


---------------------------------------------------

Source | chi2 df p

---------------------+-----------------------------

Heteroskedasticity | 134.52 102 0.0171

Skewness | 16.51 13 0.2228

Kurtosis | 2.09 1 0.1486

---------------------+----------------------------- Total | 153.11 116 0.0119

---------------------------------------------------


.

. xtreg nlta l.nlta size size2 lia llr lads eta llp nim gdp infl m2 d_cris ,fe


Fixed-effects (within) regression

Number of obs

=

157

Group variable: donvi

Number of groups

=

25

R-sq: within = 0.7946

Obs per group: min =

1

between = 0.8825

avg =

6.3

overall = 0.8766

max =

11


F(13,119)

=

35.41

corr(u_i, Xb) = 0.3708

Prob > F

=

0.0000


------------------------------------------------------------------------------

nlta | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-------------+----------------------------------------------------------------

nlta

|


L1.

|

.2083052

.0523327

3.98

0.000

.1046811

.3119292


|







size

|

27.95282

17.23878

1.62

0.108

-6.18168

62.08733

size2

|

116.1691

31.4087

3.70

0.000

53.97675

178.3615

lia

|

-.0962219

.1354171

-0.71

0.479

-.3643614

.1719175

llr

|

.0784603

.0138033

5.68

0.000

.0511284

.1057922

lads

|

-.1000741

.4788712

-0.21

0.835

-1.048287

.8481388

eta

|

-.844922

.7472547

-1.13

0.260

-2.324561

.6347168

llp

|

-.7521938

.1131156

-6.65

0.000

-.9761739

-.5282137

nim

|

1.320559

.4650305

2.84

0.005

.3997521

2.241366

gdp

|

1.197525

.6947512

1.72

0.087

-.1781516

2.573202

infl

|

-.0046452

.0627372

-0.07

0.941

-.128871

.1195807

m2

|

-.00022

.0002569

-0.86

0.393

-.0007287

.0002887

d_cris

|

-.4505222

1.084229

-0.42

0.679

-2.597404

1.696359

_cons

|

50.21386

6.704908

7.49

0.000

36.93747

63.49025

-------------+----------------------------------------------------------------

sigma_u | 5.6249635

sigma_e | 3.9531949

rho | .66937967 (fraction of variance due to u_i)

------------------------------------------------------------------------------

F test that all u_i=0: F(24, 119) = 4.27 Prob > F = 0.0000


.

. est sto F7

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