Trang chủ / Thanh Khoản

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 - 25


infl

-0.000843

0.00353

0.105


[-1.06]

[0.05]

[1.04]

m2

-0.00000416

-0.000267

-0.000575


[-1.25]

[-0.88]

[-1.38]

d_cris

-0.0129

-0.158

1.423


[-0.95]

[-0.13]

[0.83]

L.nlta


0.444***




[9.72]


size2

107.6***

95.91***


[4.16]

[2.79]

L.nlst


0.556***




[12.31]

_cons

-0.221***

35.38***

28.13***


[-3.22]

[5.46]

[3.17]

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

N

157

157

157

R-sq

0.901

0.908

0.899

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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 - 25

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

t statistics in brackets

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


.

. esttab GMM4 GMM7 GMM8,r2 star(* 0.1 ** 0.05 *** 0.01) brackets nogap


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

(1)

(2)

(3)

fgap

nlta

nlst

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

L.fgap

-0.122




[-1.34]



size

-0.306

74.91

76.26


[-0.94]

[1.51]

[0.69]

size2

1.669***

152.6***

50.23


[2.65]

[3.26]

[0.41]

lia

0.0137***

0.533

1.497***


[6.68]

[1.32]

[2.98]

llr

0.000707***

0.121***

0.0922


[3.85]

[3.56]

[1.18]

lads

0.00875***

1.199

1.510*


[3.72]

[1.27]

[1.94]

eta

-0.00787

0.464

-0.958


[-1.27]

[0.36]

[-0.39]

llp

-0.00644***

-1.097***

-0.808


[-3.94]

[-3.53]

[-1.14]

nim

0.0161***

0.755

3.129


[4.43]

[0.73]

[1.62]

gdp

0.0293***

2.424

2.786


[5.04]

[1.64]

[1.61]

infl

0.000494

-0.0366

0.140


[1.23]

[-0.70]

[1.58]

m2

-0.00000332***

-0.000727**

-0.000744***


[-2.80]

[-2.40]

[-2.87]

d_cris

-0.00716

0.0788

2.769


[-0.77]

[0.05]

[1.09]

L.nlta


-0.0107




[-0.12]


L.nlst



0.109




[0.84]

_cons

-0.552***

43.47***

21.33*


[-9.40]

[3.98]

[1.68]

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

N

130

130

130

R-sq




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

t statistics in brackets

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


.

.

.

.

.

. Mo hinh 2

unrecognized command: Mo r(199);


.

. xtset donvi year

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

delta: 1 unit


.

. *roa


.

. reg roa l.roa fgap nlst nlta lia llr lads size eta llp gdp infl m2 d_cris d_deve note: fgap omitted because of collinearity

note: d_deve omitted because of collinearity

Number of obs =

157

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

F( 13, 143) =

42.88

Model | 94.4931377 13 7.2687029

Prob > F =

0.0000

Residual | 24.2395509 143 .169507349

R-squared =

0.7958

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

Adj R-squared =

0.7773

Total | 118.732689 156 .761106978

Root MSE =

.41171

Source | SS df MS


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

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

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

roa

|


L1.

|

.4983654

.0663831

7.51

0.000

.3671463

.6295844


|







fgap

|

0

(omitted)





nlst

|

.005178

.0064872

0.80

0.426

-.0076452

.0180011

nlta

|

.0150925

.0092549

1.63

0.105

-.0032016

.0333866

lia

|

.0293628

.0093659

3.14

0.002

.0108494

.0478762

llr

|

-.0113433

.0009365

-12.11

0.000

-.0131945

-.009492

lads

|

.0575284

.029014

1.98

0.049

.0001766

.1148802

size

|

-9.121109

1.317432

-6.92

0.000

-11.72527

-6.516951

eta

|

-.074858

.0541746

-1.38

0.169

-.1819446

.0322285

llp

|

.0709431

.0076219

9.31

0.000

.0558769

.0860093

gdp

|

.0923846

.0650162

1.42

0.158

-.0361324

.2209016

infl

|

.017127

.0061704

2.78

0.006

.00493

.029324

m2

|

-.0000103

.0000252

-0.41

0.682

-.0000601

.0000394

d_cris

|

-.2002523

.1033808

-1.94

0.055

-.4046043

.0040998

d_deve

|

0

(omitted)





_cons

|

-1.70163

.5586348

-3.05

0.003

-2.805879

-.5973811

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


.

. vif


Variable | VIF 1/VIF

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

llp

|

107.05

0.009341

llr

|

35.27

0.028351

size

|

23.97

0.041727

nlta

|

19.06

0.052467

nlst

|

16.14

0.061966

d_cris

|

2.05

0.487672

m2

|

1.86

0.536198

roa

|



L1.

|

1.70

0.586966

lia

|

1.62

0.617919

lads

|

1.51

0.661554

eta

|

1.48

0.675614

infl

|

1.45

0.688735

gdp

|

1.36

0.737796

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

Mean VIF | 16.50


.

. reg roa l.roa fgap nlst nlta lia llr lads size size2 eta llp gdp infl m2 d_cris d_deve note: fgap omitted because of collinearity

note: d_deve omitted because of collinearity


Source | SS df MS

Number of obs =

157

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

F( 14, 142) =

41.90

Model | 95.5918251 14 6.82798751

Prob > F =

0.0000

Residual | 23.1408634 142 .162963827

R-squared =

0.8051

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

Adj R-squared =

0.7859

Total | 118.732689 156 .761106978

Root MSE =

.40369


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

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

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

roa

|


L1.

|

.4563222

.067073

6.80

0.000

.3237315

.588913


|







fgap

|

0

(omitted)





nlst

|

.0036743

.006387

0.58

0.566

-.0089517

.0163002

nlta

|

.024494

.0097702

2.51

0.013

.0051802

.0438079

lia

|

.0313557

.0092153

3.40

0.001

.0131387

.0495726

llr

|

-.0128935

.0010953

-11.77

0.000

-.0150588

-.0107283

lads

|

.0539645

.0284816

1.89

0.060

-.0023382

.1102672

size

|

-8.10174

1.350094

-6.00

0.000

-10.77062

-5.43286

size2

|

-6.010815

2.314951

-2.60

0.010

-10.58704

-1.434594

eta

|

-.0956466

.0537187

-1.78

0.077

-.2018382

.0105451

llp

|

.0854604

.0093333

9.16

0.000

.0670102

.1039107

gdp

|

.07194

.0642334

1.12

0.265

-.0550372

.1989172

infl

|

.015172

.0060968

2.49

0.014

.0031197

.0272243

m2

|

-.0000139

.0000247

-0.56

0.574

-.0000628

.000035

d_cris

|

-.2108984

.1014487

-2.08

0.039

-.4114432

-.0103536

d_deve

|

0

(omitted)





_cons

|

-2.252242

.5873621

-3.83

0.000

-3.413345

-1.091138

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


.

. est sto P44

.

. imtest, white


White's test for Ho: homoskedasticity

against Ha: unrestricted heteroskedasticity

chi2(115) = 137.47

Prob > chi2 = 0.0752


Cameron & Trivedi's decomposition of IM-test


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

Source | chi2 df p

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

Heteroskedasticity | 137.47 115 0.0752

Skewness | 20.92 14 0.1036

Kurtosis | 1.72 1 0.1897

---------------------+----------------------------- Total | 160.11 130 0.0375

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


.

. xtreg roa l.roa fgap nlst nlta lia llr lads size size2 eta llp gdp infl m2 d_cris d_deve,fe note: fgap omitted because of collinearity

note: d_deve omitted because of collinearity


Fixed-effects (within) regression

Number of obs

=

157

Group variable: donvi

Number of groups

=

25

R-sq: within = 0.7108

Obs per group: min =

1

between = 0.9223

avg =

6.3

overall = 0.7925

max =

11


F(14,118)

=

20.72

corr(u_i, Xb) = 0.1124

Prob > F

=

0.0000


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

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

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

roa

|


L1.

|

.3854346

.0791577

4.87

0.000

.2286808

.5421885


|







fgap

|

0

(omitted)





nlst

|

.0007943

.0085654

0.09

0.926

-.0161674

.017756

nlta

|

.0246336

.0128294

1.92

0.057

-.0007721

.0500392

lia

|

.0371125

.0142955

2.60

0.011

.0088035

.0654216

llr

|

-.0109561

.0016353

-6.70

0.000

-.0141944

-.0077178

lads

|

.0181839

.0483444

0.38

0.707

-.0775512

.113919

size

|

-7.675649

1.770483

-4.34

0.000

-11.18169

-4.16961

size2

|

-3.120339

3.489678

-0.89

0.373

-10.03085

3.790173

eta

|

-.1249202

.076054

-1.64

0.103

-.2755278

.0256874

llp

|

.070889

.0139406

5.09

0.000

.0432828

.0984951

gdp

|

.0097178

.07112

0.14

0.892

-.1311191

.1505547

infl

|

.0204458

.0064213

3.18

0.002

.0077299

.0331617

m2

|

2.41e-07

.000026

0.01

0.993

-.0000513

.0000518

d_cris

|

-.2244187

.1106724

-2.03

0.045

-.4435801

-.0052573

d_deve

|

0

(omitted)





_cons

|

-1.364898

.8190216

-1.67

0.098

-2.986783

.2569879

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

sigma_u | .2487858

sigma_e | .39880197

rho | .28014442 (fraction of variance due to u_i)

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

F test that all u_i=0: F(24, 118) = 1.15 Prob > F = 0.3070


.

. est sto F44


.

. xtreg roa l.roa fgap nlst nlta lia llr lads size size2 eta llp gdp infl m2 d_cris d_deve,re note: lia omitted because of collinearity

note: d_deve omitted because of collinearity


Random-effects GLS regression

Number of obs

=

157

Group variable: donvi

Number of groups

=

25

R-sq: within = 0.7021

Obs per group: min =

1

between = 0.9583

avg =

6.3

overall = 0.8051

max =

11



Wald chi2(14)

=

586.58

corr(u_i, X)

= 0 (assumed)

Prob > chi2

=

0.0000


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

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

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

roa |

L1. | .4563222 .067073 6.80 0.000 .3248615 .587783

|



fgap

|

3.135567

.9215328

3.40

0.001

1.329396

4.941738

nlst

|

.0036743

.006387

0.58

0.565

-.0088441

.0161926

nlta

|

-.0068617

.0115173

-0.60

0.551

-.0294351

.0157118

lia

|

0

(omitted)





llr

|

-.0128935

.0010953

-11.77

0.000

-.0150403

-.0107468

lads

|

.0539645

.0284816

1.89

0.058

-.0018584

.1097874

size

|

-8.10174

1.350094

-6.00

0.000

-10.74788

-5.455605

size2

|

-6.010815

2.314951

-2.60

0.009

-10.54804

-1.473593

eta

|

-.0956466

.0537187

-1.78

0.075

-.2009332

.0096401

llp

|

.0854604

.0093333

9.16

0.000

.0671674

.1037534

gdp

|

.07194

.0642334

1.12

0.263

-.053955

.1978351

infl

|

.015172

.0060968

2.49

0.013

.0032224

.0271215

m2

|

-.0000139

.0000247

-0.56

0.574

-.0000624

.0000346

d_cris

|

-.2108984

.1014487

-2.08

0.038

-.4097341

-.0120627

d_deve

|

0

(omitted)





_cons

|

.8833254

1.017039

0.87

0.385

-1.110035

2.876686

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

sigma_u | 0

sigma_e | .39880197

rho | 0 (fraction of variance due to u_i)

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


.

. xttest0


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

Estimated results:

| Var sd = sqrt(Var)

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

roa |

.761107

.8724145

e |

.159043

.398802

u |

0

0

Test: Var(u) = 0


chibar2(01) =


0.00


Prob > chibar2 =

1.0000

.

. est sto R44



.

. hausman F44 R44




Note: the rank of the differenced variance matrix (11) 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))

| F44 R44 Difference S.E.

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

L.roa

|

.3854346

.4563222

-.0708876

.0420375

nlst

|

.0007943

.0036743

-.0028799

.0057071

nlta

|

.0246336

-.0068617

.0314952

.005652

llr

|

-.0109561

-.0128935

.0019374

.0012143

lads

|

.0181839

.0539645

-.0357806

.0390638

size

|

-7.675649

-8.10174

.4260914

1.145364

size2

|

-3.120339

-6.010815

2.890475

2.611293

eta

|

-.1249202

-.0956466

-.0292736

.0538378

llp

|

.070889

.0854604

-.0145715

.0103551

gdp

|

.0097178

.07194

-.0622222

.0305307

infl

|

.0204458

.015172

.0052738

.0020153

m2

|

2.41e-07

-.0000139

.0000142

8.13e-06

d_cris

|

-.2244187

-.2108984

-.0135203

.0442328

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

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

= 21.30

Prob>chi2 = 0.0304

(V_b-V_B is not positive definite)


.

. xtabond roa fgap nlst nlta lia llr lads size size2 eta llp gdp infl m2 d_cris,twostep note: fgap dropped from div() because of collinearity

note: fgap dropped because of collinearity


Arellano-Bond dynamic panel-data estimation

Number of obs

=

130

Group variable: donvi

Number of groups

=

24

Time variable: year





Obs per group:

min =

1




avg =

5.416667

max =

10

Number of instruments =

72

Wald chi2(14)

=

361.41


Two-step results


Prob > chi2

=

0.0000

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

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

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

roa

|


L1.

|

.3072212

.1362385

2.26

0.024

.0401987

.5742437


|







nlst

|

.0160877

.0072268

2.23

0.026

.0019235

.0302519

nlta

|

.0179939

.0092566

1.94

0.052

-.0001488

.0361366

lia

|

-.0026777

.0195678

-0.14

0.891

-.0410299

.0356746

llr

|

-.0163747

.004612

-3.55

0.000

-.025414

-.0073353

lads

|

-.0110062

.0331433

-0.33

0.740

-.0759659

.0539534

size

|

-13.94398

6.227093

-2.24

0.025

-26.14886

-1.739105

size2

|

-5.984973

6.0763

-0.98

0.325

-17.8943

5.924356

eta

|

-.1902359

.0861303

-2.21

0.027

-.3590482

-.0214235

llp

|

.1154805

.0417166

2.77

0.006

.0337176

.1972435

gdp

|

.0268833

.0505349

0.53

0.595

-.0721634

.12593

infl

|

.0187371

.0046394

4.04

0.000

.009644

.0278301

m2

|

.000013

.0000126

1.04

0.299

-.0000116

.0000376

d_cris

|

-.3852435

.146601

-2.63

0.009

-.6725761

-.0979109

_cons

|

-1.286283

.6334346

-2.03

0.042

-2.527792

-.0447739

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

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

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

Standard: 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(57) = 12.39259

Prob > chi2 = 1.0000


.

. estat abond


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

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

|Order | z Prob > z|

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

| 1 |-2.1002 0.0357 |

| 2 | -.8664 0.3863 |

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

H0: no autocorrelation


.

. est sto GMM44


.

. esttab P44 F44 R44 GMM44,r2 star(* 0.1 ** 0.05 *** 0.01) brackets nogap


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

(1)

(2)

(3)

(4)

roa

roa

roa

roa

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

L.roa

0.456***

0.385***

0.456***

0.307**


[6.80]

[4.87]

[6.80]

[2.26]

fgap

.

.

3.136***



.

.

[3.40]


nlst

0.00367

0.000794

0.00367

0.0161**


[0.58]

[0.09]

[0.58]

[2.23]

nlta

0.0245**

0.0246*

-0.00686

0.0180*


[2.51]

[1.92]

[-0.60]

[1.94]

lia

0.0314***

0.0371**

.

-0.00268


[3.40]

[2.60]

.

[-0.14]

llr

-0.0129***

-0.0110***

-0.0129***

-0.0164***


[-11.77]

[-6.70]

[-11.77]

[-3.55]

lads

0.0540*

0.0182

0.0540*

-0.0110


[1.89]

[0.38]

[1.89]

[-0.33]

size

-8.102***

-7.676***

-8.102***

-13.94**


[-6.00]

[-4.34]

[-6.00]

[-2.24]

size2

-6.011**

-3.120

-6.011***

-5.985


[-2.60]

[-0.89]

[-2.60]

[-0.98]

eta

-0.0956*

-0.125

-0.0956*

-0.190**


[-1.78]

[-1.64]

[-1.78]

[-2.21]

llp

0.0855***

0.0709***

0.0855***

0.115***


[9.16]

[5.09]

[9.16]

[2.77]

gdp

0.0719

0.00972

0.0719

0.0269


[1.12]

[0.14]

[1.12]

[0.53]

infl

0.0152**

0.0204***

0.0152**

0.0187***



[2.49]

[3.18]

[2.49]

[4.04]

m2

-0.0000139

0.000000241

-0.0000139

0.0000130


[-0.56]

[0.01]

[-0.56]

[1.04]

d_cris

-0.211**

-0.224**

-0.211**

-0.385***


[-2.08]

[-2.03]

[-2.08]

[-2.63]

d_deve

.

.

.



.

.

.


_cons

-2.252***

-1.365*

0.883

-1.286**


[-3.83]

[-1.67]

[0.87]

[-2.03]

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

N

157

157

157

130

R-sq

0.805

0.711



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

t statistics in brackets

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


.

.

.

. *roe


.

. reg roe l.roe fgap nlst nlta lia llr lads size eta llp gdp infl m2 d_cris d_deve note: fgap omitted because of collinearity

note: d_deve omitted because of collinearity


Source | SS df MS

Number of obs =

157

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

F( 13, 143) =

36.52

Model | 9845.77361 13 757.367201

Prob > F =

0.0000

Residual | 2965.78037 143 20.7397229

R-squared =

0.7685

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

Adj R-squared =

0.7475

Total | 12811.554 156 82.125346

Root MSE =

4.5541


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

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

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

roe

|


L1.

|

.5893137

.0565544

10.42

0.000

.477523

.7011044


|







fgap

|

0

(omitted)





nlst

|

.0964257

.0718563

1.34

0.182

-.0456121

.2384634

nlta

|

.0728387

.1024238

0.71

0.478

-.1296216

.275299

lia

|

-.2560856

.1011317

-2.53

0.012

-.4559918

-.0561793

llr

|

-.1075303

.0104312

-10.31

0.000

-.1281496

-.086911

lads

|

.6286773

.3209482

1.96

0.052

-.0057385

1.263093

size

|

-82.31008

14.55215

-5.66

0.000

-111.0752

-53.54496

eta

|

-.5869784

.5851464

-1.00

0.317

-1.743633

.5696758

llp

|

.6642811

.0846022

7.85

0.000

.4970485

.8315137

gdp

|

1.35285

.7192332

1.88

0.062

-.0688531

2.774552

infl

|

.1709757

.0678327

2.52

0.013

.0368912

.3050602

m2

|

-.0002053

.0002785

-0.74

0.462

-.0007559

.0003453

d_cris

|

-1.506804

1.145673

-1.32

0.191

-3.771447

.7578388

d_deve

|

0

(omitted)





_cons

|

-14.64525

6.329203

-2.31

0.022

-27.15614

-2.134364

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


.

. vif


Variable | VIF 1/VIF

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

llp

|

107.80

0.009276

llr

|

35.76

0.027961

size

|

23.90

0.041844

nlta

|

19.08

0.052413

nlst

|

16.18

0.061795

d_cris

|

2.06

0.485848

m2

|

1.86

0.536394

lia

|

1.54

0.648436

lads

|

1.51

0.661493

infl

|

1.43

0.697296

eta

|

1.41

0.708559

gdp

|

1.36

0.737657

roe

|



L1.

|

1.27

0.788640

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

Mean VIF | 16.55


.

. reg roe l.roe fgap nlst nlta lia llr lads size size2 eta llp gdp infl m2 d_cris d_deve note: fgap omitted because of collinearity

note: d_deve omitted because of collinearity


Source | SS df MS

Number of obs =

157

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

F( 14, 142) =

34.77

Model | 9918.12044 14 708.437174

Prob > F =

0.0000

Residual | 2893.43354 142 20.3762925

R-squared =

0.7742

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

Adj R-squared =

0.7519

Total | 12811.554 156 82.125346

Root MSE =

4.514

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

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

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

roe

|


L1.

|

.562428

.0578441

9.72

0.000

.4480811

.6767749


|







fgap

|

0

(omitted)





nlst

|

.0850705

.0714784

1.19

0.236

-.0562288

.2263698

nlta

|

.1478534

.109049

1.36

0.177

-.0677159

.3634227

lia

|

-.2698121

.100506

-2.68

0.008

-.4684936

-.0711307

llr

|

-.120806

.0125117

-9.66

0.000

-.1455392

-.0960728

lads

|

.5994075

.3185027

1.88

0.062

-.0302122

1.229027

size

|

-74.71403

14.97682

-4.99

0.000

-104.3204

-45.10768

size2

|

-48.84259

25.92098

-1.88

0.062

-100.0835

2.398298

eta

|

-.7305918

.5849831

-1.25

0.214

-1.886993

.4258093

llp

|

.7866096

.1060507

7.42

0.000

.5769673

.9962518

gdp

|

1.184992

.7184479

1.65

0.101

-.2352433

2.605228

infl

|

.1536235

.0678635

2.26

0.025

.0194701

.2877768

m2

|

-.0002328

.0002765

-0.84

0.401

-.0007794

.0003137

d_cris

|

-1.636634

1.137679

-1.44

0.152

-3.88561

.6123422

d_deve

|

0

(omitted)





_cons

|

-18.83468

6.655835

-2.83

0.005

-31.99201

-5.677357

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


.

. est sto P55


.

. imtest, white


White's test for Ho: homoskedasticity

against Ha: unrestricted heteroskedasticity

chi2(114) = 130.87

Prob > chi2 = 0.1335


Cameron & Trivedi's decomposition of IM-test


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

Source | chi2 df p

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

Heteroskedasticity |

130.87

114

0.1335

Skewness |

19.02

14

0.1641

Kurtosis |

0.85

1

0.3561

---------------------+----------------------------- Total | 150.74 129 0.0925

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


.

. xtreg roe l.roe fgap nlst nlta lia llr lads size size2 eta llp gdp infl m2 d_cris d_deve,fe note: fgap omitted because of collinearity

note: d_deve omitted because of collinearity


Fixed-effects (within) regression

Number of obs

=

157

Group variable: donvi

Number of groups

=

25

R-sq: within = 0.6698

Obs per group: min =

1

between = 0.8861

avg =

6.3

overall = 0.7516

max =

11


F(14,118)

=

17.09

corr(u_i, Xb) = 0.0346

Prob > F

=

0.0000


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

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

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

roe

|


L1.

|

.4610082

.0728161

6.33

0.000

.3168124

.605204


|







fgap

|

0

(omitted)





nlst

|

.0621701

.0959793

0.65

0.518

-.127895

.2522352

nlta

|

.1922172

.1449335

1.33

0.187

-.0947906

.479225

lia

|

-.3079005

.1588775

-1.94

0.055

-.6225212

.0067203

llr

|

-.1130117

.0184714

-6.12

0.000

-.1495902

-.0764333

lads

|

.1208528

.5418384

0.22

0.824

-.9521347

1.19384

size

|

-84.62384

19.84146

-4.27

0.000

-123.9153

-45.33235

size2

|

-15.81165

39.06511

-0.40

0.686

-93.17121

61.54791

eta

|

-1.359252

.8492742

-1.60

0.112

-3.041046

.3225421

llp

|

.7289909

.157584

4.63

0.000

.4169317

1.04105

gdp

|

.2947037

.8059558

0.37

0.715

-1.301308

1.890716

infl

|

.2073965

.0717753

2.89

0.005

.0652619

.349531

m2

|

-.0000909

.0002916

-0.31

0.756

-.0006683

.0004865

d_cris

|

-2.205937

1.241312

-1.78

0.078

-4.664074

.252199

d_deve

|

0

(omitted)





_cons

|

-8.514988

9.180259

-0.93

0.356

-26.6944

9.664424

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

sigma_u | 2.806291

sigma_e | 4.4700767

rho | .28270489 (fraction of variance due to u_i)

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

F test that all u_i=0: F(24, 118) = 1.12 Prob > F = 0.3366


.

. est sto F55


.

. xtreg roe l.roe fgap nlst nlta lia llr lads size size2 eta llp gdp infl m2 d_cris d_deve,re note: lia omitted because of collinearity

note: d_deve omitted because of collinearity


Random-effects GLS regression

Number of obs

=

157

Group variable: donvi

Number of groups

=

25

R-sq: within = 0.6566

Obs per group: min =

1

between = 0.9277

avg =

6.3

overall = 0.7742

max =

11



Wald chi2(14)

=

486.75

corr(u_i, X)

= 0 (assumed)

Prob > chi2

=

0.0000


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

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

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

roe

|


L1.

|

.562428

.0578441

9.72

0.000

.4490556

.6758004


|







fgap

|

-26.98122

10.0506

-2.68

0.007

-46.68004

-7.282394

nlst

|

.0850705

.0714784

1.19

0.234

-.0550246

.2251656

nlta

|

.4176656

.130732

3.19

0.001

.1614355

.6738957

lia

|

0

(omitted)





llr

|

-.120806

.0125117

-9.66

0.000

-.1453284

-.0962835

lads

|

.5994074

.3185027

1.88

0.060

-.0248464

1.223661

size

|

-74.71402

14.97682

-4.99

0.000

-104.0681

-45.35999

size2

|

-48.84259

25.92098

-1.88

0.060

-99.64678

1.961607

eta

|

-.7305919

.5849831

-1.25

0.212

-1.877138

.415954

llp

|

.7866095

.1060507

7.42

0.000

.578754

.9944651

gdp

|

1.184992

.7184479

1.65

0.099

-.2231398

2.593124

infl

|

.1536234

.0678635

2.26

0.024

.0206134

.2866335

m2

|

-.0002328

.0002765

-0.84

0.400

-.0007747

.000309

d_cris

|

-1.636634

1.137679

-1.44

0.150

-3.866444

.5931758

d_deve

|

0

(omitted)





_cons

|

-45.8159

10.60575

-4.32

0.000

-66.60279

-25.02901

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

sigma_u | 0

sigma_e | 4.4700767

rho | 0 (fraction of variance due to u_i)

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


.

. xttest0


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

Estimated results:

| Var sd = sqrt(Var)

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

roe |

82.12535

9.062304

e |

19.98159

4.470077

u |

0

0

Test: Var(u) = 0


chibar2(01) =


0.00


Prob > chibar2 =

1.0000

.

. est sto R55



.

. hausman F55 R55




Note: the rank of the differenced variance matrix (11) 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))

| F55 R55 Difference S.E.

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

L.roe |

.4610082

.562428

-.1014198

.0442295

nlst |

.0621701

.0850705

-.0229004

.0640536

nlta |

.1922172

.4176656

-.2254484

.0625688

llr |

-.1130117

-.120806

.0077943

.0135886

lads |

.1208528

.5994074

-.4785546

.4383433

size |

-84.62384

-74.71402

-9.909812

13.01454

size2 |

-15.81165

-48.84259

33.03094

29.22645

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