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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 - 20


llr

|

3.58

0.279115

lads

|

2.04

0.489447

fgap

|



L1.

|

1.89

0.527871

eta

|

1.83

0.546964

d_deve

|

1.78

0.560370

nim

|

1.44

0.694582

m2

|

1.32

0.758531

infl

|

1.25

0.797411

d_cris

|

1.19

0.837927

gdp

|

1.06

0.943378

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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 - 20

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

Mean VIF | 3.60


.

. imtest, white


White's test for Ho: homoskedasticity

against Ha: unrestricted heteroskedasticity


chi2(116) = 240.50

Prob > chi2 = 0.0000


Cameron & Trivedi's decomposition of IM-test


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

Source | chi2 df p

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

Heteroskedasticity |

240.50

116

0.0000

Skewness |

70.53

14

0.0000

Kurtosis |

2.81

1

0.0937

---------------------+----------------------------- Total | 313.84 131 0.0000

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


.

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


Fixed-effects (within) regression

Number of obs

=

1372

Group variable: donvi

Number of groups

=

152

R-sq: within = 0.5186

Obs per group: min =

1

between = 0.6058

avg =

9.0

overall = 0.5410

max =

12


F(13,1207)

=

100.01

corr(u_i, Xb) = -0.0714

Prob > F

=

0.0000


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

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

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

fgap

|


L1.

|

.5180339

.0238357

21.73

0.000

.47127

.5647979


|







size

|

-.0490761

.0135162

-3.63

0.000

-.0755939

-.0225583

size2

|

.0042645

.0010499

4.06

0.000

.0022048

.0063242

lia

|

.006371

.0010668

5.97

0.000

.0042779

.008464

llr

|

7.87e-06

2.11e-06

3.73

0.000

3.73e-06

.000012

lads

|

-.0011676

.0001368

-8.53

0.000

-.0014361

-.0008992

eta

|

.0022805

.0006068

3.76

0.000

.0010899

.0034711

llp

|

-.0005435

.0000828

-6.57

0.000

-.0007058

-.0003811

nim

|

.0122236

.0019973

6.12

0.000

.008305

.0161422

gdp

|

-.0000797

.0000535

-1.49

0.136

-.0001846

.0000252

infl

|

-.0015853

.0007076

-2.24

0.025

-.0029736

-.000197

m2

|

-5.06e-06

3.42e-06

-1.48

0.140

-.0000118

1.65e-06

d_cris

|

.0314793

.0052487

6.00

0.000

.0211817

.0417768

d_deve

|

0

(omitted)





_cons

|

-.1461557

.0278409

-5.25

0.000

-.2007777

-.0915337

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

sigma_u | .11265687

sigma_e | .06801252

rho | .73288505 (fraction of variance due to u_i)

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

F test that all u_i=0: F(151, 1207) = 2.59 Prob > F = 0.0000


.

. est sto F4


.

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


Random-effects GLS regression

Number of obs

=

1372

Group variable: donvi

Number of groups

=

152

R-sq: within = 0.4898

Obs per group: min =

1

between = 0.9689

avg =

9.0

overall = 0.8513

max =

12


Wald chi2(14) = 6325.01

corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000


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

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

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

fgap

|


L1.

|

.7605343

.0156826

48.50

0.000

.729797

.7912717


|







size

|

.0048314

.0035687

1.35

0.176

-.0021632

.011826

size2

|

.0000805

.0003522

0.23

0.819

-.0006098

.0007708

lia

|

.0030159

.0006978

4.32

0.000

.0016483

.0043836

llr

|

8.05e-06

1.82e-06

4.42

0.000

4.48e-06

.0000116

lads

|

-.000992

.0001098

-9.04

0.000

-.0012072

-.0007769

eta

|

.0018383

.0003473

5.29

0.000

.0011576

.0025189

llp

|

-.0005327

.0000653

-8.16

0.000

-.0006606

-.0004047

nim

|

.0064291

.0010331

6.22

0.000

.0044043

.0084539

gdp

|

-.0000331

.0000554

-0.60

0.550

-.0001416

.0000755

infl

|

.000313

.0006024

0.52

0.603

-.0008677

.0014937

m2

|

-3.08e-06

2.02e-06

-1.53

0.127

-7.03e-06

8.74e-07

d_cris

|

.0139627

.0050553

2.76

0.006

.0040545

.0238709

d_deve

|

.0343431

.007528

4.56

0.000

.0195885

.0490977

_cons

|

-.1437806

.0152596

-9.42

0.000

-.1736888

-.1138724

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

sigma_u | .01304645

sigma_e | .06801252

rho | .03549059 (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 | .0358487 .1893375

e | .0046257 .0680125

u | .0001702 .0130464


Test: Var(u) = 0


.

. est sto R4


.

. hausman F4 R4

chibar2(01) = 3.45

Prob > chibar2 = 0.0316


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

|

.5180339

.7605343

-.2425004

.0179498

size

|

-.0490761

.0048314

-.0539075

.0130365

size2

|

.0042645

.0000805

.004184

.000989

lia

|

.006371

.0030159

.0033551

.000807

llr

|

7.87e-06

8.05e-06

-1.73e-07

1.07e-06

lads

|

-.0011676

-.000992

-.0001756

.0000817

eta

|

.0022805

.0018383

.0004423

.0004977

llp

|

-.0005435

-.0005327

-.0000108

.0000509

nim

|

.0122236

.0064291

.0057946

.0017094

gdp

|

-.0000797

-.0000331

-.0000466

.

infl

|

-.0015853

.000313

-.0018983

.0003713

m2

|

-5.06e-06

-3.08e-06

-1.97e-06

2.76e-06

d_cris

|

.0314793

.0139627

.0175166

.0014116

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

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)

= 210.78

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

=

1194

Number of groups

=

146

Obs per group:

min =

1


avg =

8.178082


max =

11

Wald chi2(13)

=

1505.66

Prob > chi2

=

0.0000

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

Time variable: year

Number of instruments = 79


Two-step results

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

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

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

fgap

|


L1.

|

.3963131

.0331164

11.97

0.000

.3314061

.46122


|







size

|

-.0276298

.0131645

-2.10

0.036

-.0534318

-.0018279

size2

|

.0024157

.0010548

2.29

0.022

.0003483

.0044831

lia

|

.0155596

.0010308

15.09

0.000

.0135393

.01758

llr

|

.0000116

1.05e-06

11.11

0.000

9.57e-06

.0000137

lads

|

-.0014995

.0001116

-13.43

0.000

-.0017183

-.0012807

eta

|

.009549

.0007889

12.10

0.000

.0080027

.0110952

llp

|

-.0010166

.0000813

-12.50

0.000

-.001176

-.0008573

nim

|

.0023612

.0020669

1.14

0.253

-.00169

.0064123

gdp

|

-.0000204

.0000269

-0.76

0.448

-.0000732

.0000323

infl

|

-.0002918

.0003855

-0.76

0.449

-.0010475

.0004638

m2

|

-3.22e-06

1.24e-06

-2.60

0.009

-5.66e-06

-7.91e-07

d_cris

|

.0316657

.0039804

7.96

0.000

.0238643

.0394672

_cons

|

-.267201

.0261827

-10.21

0.000

-.3185181

-.2158839

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

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(65) = 86.63543

Prob > chi2 = 0.0378


.

. estat abond


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

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

|Order | z Prob > z|

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

| 1 |-3.9722 0.0001 |

| 2 | .36317 0.7165 |

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

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

0.787***

0.518***

0.761***

0.396***


[53.92]

[21.73]

[48.50]

[11.97]

size

0.00455

-0.0491***

0.00483

-0.0276**


[1.38]

[-3.63]

[1.35]

[-2.10]

size2

0.0000966

0.00426***

0.0000805

0.00242**


[0.29]

[4.06]

[0.23]

[2.29]

lia

0.00260***

0.00637***

0.00302***

0.0156***


[3.97]

[5.97]

[4.32]

[15.09]

llr

0.00000764***

0.00000787***

0.00000805***

0.0000116***


[4.27]

[3.73]

[4.42]

[11.11]

lads

-0.000956***

-0.00117***

-0.000992***

-0.00150***


[-9.04]

[-8.53]

[-9.04]

[-13.43]

eta

0.00165***

0.00228***

0.00184***

0.00955***


[5.15]

[3.76]

[5.29]

[12.10]

llp

-0.000505***

-0.000543***

-0.000533***

-0.00102***


[-7.99]

[-6.57]

[-8.16]

[-12.50]

nim

0.00543***

0.0122***

0.00643***

0.00236


[5.69]

[6.12]

[6.22]

[1.14]

gdp

-0.0000260

-0.0000797

-0.0000331

-0.0000204


[-0.46]

[-1.49]

[-0.60]

[-0.76]

infl

0.000612

-0.00159**

0.000313

-0.000292


[1.05]

[-2.24]

[0.52]

[-0.76]


m2

-0.00000296

-0.00000506

-0.00000308

-0.00000322***


[-1.57]

[-1.48]

[-1.53]

[-2.60]

d_cris

0.0130**

0.0315***

0.0140***

0.0317***


[2.55]

[6.00]

[2.76]

[7.96]

d_deve

0.0284***

.

0.0343***



[4.26]

.

[4.56]


_cons

-0.125***

-0.146***

-0.144***

-0.267***


[-8.81]

[-5.25]

[-9.42]

[-10.21]

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

N

1372

1372

1372

1194

R-sq

0.852

0.519



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

t statistics in brackets

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


.

.

.

. *nlta


.

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


Source | SS df MS

Number of obs =

1372

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

F( 14, 1357) =

940.89

Model | 416036.999 14 29716.9285

Prob > F =

0.0000

Residual | 42859.3553 1357 31.5839022

R-squared =

0.9066

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

Adj R-squared =

0.9056

Total | 458896.354 1371 334.716524

Root MSE =

5.62


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

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

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

nlta

|


L1.

|

.8000722

.0115492

69.28

0.000

.777416

.8227284


|







size

|

.5205924

.2537291

2.05

0.040

.0228486

1.018336

size2

|

-.0712791

.025959

-2.75

0.006

-.1222031

-.0203551

lia

|

-.0189038

.049636

-0.38

0.703

-.1162754

.0784677

llr

|

.0010337

.0001363

7.59

0.000

.0007664

.0013011

lads

|

-.1083232

.0081808

-13.24

0.000

-.1243715

-.0922748

eta

|

-.0386793

.0234596

-1.65

0.099

-.0847002

.0073417

llp

|

-.0579249

.0047834

-12.11

0.000

-.0673086

-.0485411

nim

|

.4428757

.0733406

6.04

0.000

.2990025

.5867489

gdp

|

-.0009212

.0043042

-0.21

0.831

-.0093648

.0075225

infl

|

.034864

.0449442

0.78

0.438

-.0533037

.1230317

m2

|

-.0001672

.0001452

-1.15

0.249

-.000452

.0001175

d_cris

|

.9864094

.3893021

2.53

0.011

.2227102

1.750109

d_deve

|

1.832129

.5139949

3.56

0.000

.8238182

2.84044

_cons

|

11.24772

1.040548

10.81

0.000

9.20646

13.28897

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


.

. est sto P7


.

. vif


Variable | VIF 1/VIF

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

size

|

14.92

0.067025

size2

|

9.32

0.107331

llp

|

4.69

0.213394

lia

|

3.99

0.250317

llr

|

3.54

0.282731

lads

|

2.08

0.480568

nlta

|



L1.

|

1.97

0.508721

d_deve

|

1.81

0.552808

eta

|

1.66

0.600764

nim

|

1.45

0.690550

m2

|

1.34

0.748518

infl

|

1.26

0.795205

d_cris

|

1.19

0.840265

gdp

|

1.06

0.942416

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

Mean VIF | 3.59


.

. imtest, white


White's test for Ho: homoskedasticity

against Ha: unrestricted heteroskedasticity


chi2(116) = 345.34

Prob > chi2 = 0.0000


Cameron & Trivedi's decomposition of IM-test


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

Source | chi2 df p

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

Heteroskedasticity | 345.34 116 0.0000

Skewness | 43.55 14 0.0001

Kurtosis | 8.59 1 0.0034

---------------------+----------------------------- Total | 397.48 131 0.0000

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


.

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


Fixed-effects (within) regression

Number of obs

=

1372

Group variable: donvi

Number of groups

=

152

R-sq: within = 0.6462

Obs per group: min =

1

between = 0.8234

avg =

9.0

overall = 0.7710

max =

12


F(13,1207)

=

169.61

corr(u_i, Xb) = 0.2774

Prob > F

=

0.0000


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

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

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

nlta

|


L1.

|

.5510429

.0185291

29.74

0.000

.5146902

.5873957


|







size

|

-2.487018

1.010908

-2.46

0.014

-4.470351

-.5036846

size2

|

.1691087

.0785045

2.15

0.031

.0150882

.3231291

lia

|

.0698517

.0793725

0.88

0.379

-.0858717

.2255751

llr

|

.0010509

.0001571

6.69

0.000

.0007427

.0013592

lads

|

-.1304929

.0101879

-12.81

0.000

-.1504809

-.110505

eta

|

-.19423

.0451183

-4.30

0.000

-.2827489

-.1057111

llp

|

-.061637

.0061364

-10.04

0.000

-.0736763

-.0495978

nim

|

.7974424

.1510032

5.28

0.000

.5011844

1.0937

gdp

|

-.0037159

.0040043

-0.93

0.354

-.0115721

.0041403

infl

|

-.0822239

.0530227

-1.55

0.121

-.1862508

.021803

m2

|

-.000249

.0002554

-0.97

0.330

-.0007502

.0002522

d_cris

|

2.202987

.3922776

5.62

0.000

1.433366

2.972609

d_deve

|

0

(omitted)





_cons

|

31.52612

2.135985

14.76

0.000

27.33546

35.71677

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

sigma_u | 7.9257262

sigma_e | 5.0846884

rho | .70842778 (fraction of variance due to u_i)

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

F test that all u_i=0: F(151, 1207) = 3.09 Prob > F = 0.0000


.

. est sto F7


.

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


Random-effects GLS regression

Number of obs

=

1372

Group variable: donvi

Number of groups

=

152

R-sq: within = 0.6283

Obs per group: min =

1

between = 0.9779

avg =

9.0

overall = 0.9061

max =

12



Wald chi2(14)

=

9494.47

corr(u_i, X)

= 0 (assumed)

Prob > chi2

=

0.0000


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

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

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

nlta

|


L1.

|

.7594962

.0127971

59.35

0.000

.7344143

.7845781


|







size

|

.4943164

.2852115

1.73

0.083

-.0646879

1.053321

size2

|

-.0681659

.0276149

-2.47

0.014

-.12229

-.0140418

lia

|

-.0122145

.0546415

-0.22

0.823

-.1193099

.0948808

llr

|

.0010951

.0001393

7.86

0.000

.0008221

.0013682

lads

|

-.1158099

.0086033

-13.46

0.000

-.1326721

-.0989477

eta

|

-.0532325

.0267495

-1.99

0.047

-.1056607

-.0008044

llp

|

-.0620022

.0050141

-12.37

0.000

-.0718296

-.0521748

nim

|

.553608

.0826903

6.69

0.000

.3915379

.7156781

gdp

|

-.0013238

.0042041

-0.31

0.753

-.0095637

.006916

infl

|

.0128271

.0467786

0.27

0.784

-.0788572

.1045115

m2

|

-.0002307

.0001612

-1.43

0.152

-.0005466

.0000853

d_cris

|

1.106414

.3844502

2.88

0.004

.352905

1.859922

d_deve

|

2.624301

.6196988

4.23

0.000

1.409713

3.838888

_cons

|

12.9135

1.144871

11.28

0.000

10.6696

15.15741

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

sigma_u | 1.2891713

sigma_e | 5.0846884

rho | .06039982 (fraction of variance due to u_i)

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


.

. xttest0


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

Estimated results:

| Var sd = sqrt(Var)

---------+----------------------------- nlta | 334.7165 18.29526

e | 25.85406 5.084688

u | 1.661963 1.289171


Test: Var(u) = 0


.

. est sto R7


.

. hausman F7 R7

chibar2(01) = 8.28

Prob > chibar2 = 0.0020


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))

| F7 R7 Difference S.E.

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

L.nlta

|

.5510429

.7594962

-.2084533

.0134

size

|

-2.487018

.4943164

-2.981334

.9698404

size2

|

.1691087

-.0681659

.2372746

.0734873

lia

|

.0698517

-.0122145

.0820662

.0575699

llr

|

.0010509

.0010951

-.0000442

.0000726

lads

|

-.1304929

-.1158099

-.014683

.0054567

eta

|

-.19423

-.0532325

-.1409974

.0363334

llp

|

-.061637

-.0620022

.0003651

.0035376

nim

|

.7974424

.553608

.2438344

.1263498

gdp

|

-.0037159

-.0013238

-.0023921

.

infl

|

-.0822239

.0128271

-.095051

.0249634

m2

|

-.000249

-.0002307

-.0000183

.0001982

d_cris

|

2.202987

1.106414

1.096574

.0779727

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

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)

= 293.90

Prob>chi2 = 0.0000

(V_b-V_B is not positive definite)


.

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


Number of obs

=

1194

Number of groups

=

146

Obs per group:

min =

1


avg =

8.178082


max =

11

Wald chi2(13)

=

862.48

Prob > chi2

=

0.0000

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

Time variable: year

Number of instruments = 79


Two-step results

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

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

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

nlta

|


L1.

|

.3744265

.0408793

9.16

0.000

.2943046

.4545483


|







size

|

-2.374823

.9354946

-2.54

0.011

-4.208358

-.5412871

size2

|

.1644611

.0719919

2.28

0.022

.0233595

.3055627

lia

|

.497492

.0935419

5.32

0.000

.3141532

.6808309

llr

|

.0012133

.0002026

5.99

0.000

.0008162

.0016105

lads

|

-.1539288

.0104358

-14.75

0.000

-.1743826

-.133475

eta

|

.2657284

.0613343

4.33

0.000

.1455154

.3859415

llp

|

-.1083342

.0115354

-9.39

0.000

-.1309431

-.0857253

nim

|

.1883322

.1978746

0.95

0.341

-.1994948

.5761592

gdp

|

-.0049864

.0025463

-1.96

0.050

-.009977

4.19e-06

infl

|

.0404428

.041064

0.98

0.325

-.0400412

.1209267



m2 |

.0000481

.0001172

0.41

0.682

-.0001817

.0002779

d_cris |

1.645744

.2952115

5.57

0.000

1.06714

2.224348

_cons |

38.13792

2.907216

13.12

0.000

32.43988

43.83596

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

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

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

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(65) = 87.37246

Prob > chi2 = 0.0336


.

. estat abond


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

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

|Order | z Prob > z|

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

| 1 |-4.8026 0.0000 |

| 2 | .1161 0.9076 |

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

H0: no autocorrelation


.

. est sto GMM7


.

. esttab P7 F7 R7 GMM7,r2 star(* 0.1 ** 0.05 *** 0.01) brackets nogap


---------------------------------------------------------------------------- (1) (2) (3) (4)

nlta nlta nlta nlta

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

L.nlta 0.800*** 0.551*** 0.759*** 0.374*** [69.28] [29.74] [59.35] [9.16]

size 0.521** -2.487** 0.494* -2.375** [2.05] [-2.46] [1.73] [-2.54]

size2 -0.0713*** 0.169** -0.0682** 0.164** [-2.75] [2.15] [-2.47] [2.28]

lia -0.0189 0.0699 -0.0122 0.497***

[-0.38] [0.88] [-0.22] [5.32]

llr 0.00103*** 0.00105*** 0.00110*** 0.00121*** [7.59] [6.69] [7.86] [5.99]

lads -0.108*** -0.130*** -0.116*** -0.154*** [-13.24] [-12.81] [-13.46] [-14.75]

eta -0.0387* -0.194*** -0.0532** 0.266*** [-1.65] [-4.30] [-1.99] [4.33]

llp -0.0579*** -0.0616*** -0.0620*** -0.108*** [-12.11] [-10.04] [-12.37] [-9.39]

nim 0.443*** 0.797*** 0.554*** 0.188

[6.04] [5.28] [6.69] [0.95]

gdp -0.000921 -0.00372 -0.00132 -0.00499*

[-0.21] [-0.93] [-0.31] [-1.96]

infl 0.0349 -0.0822 0.0128 0.0404

[0.78] [-1.55] [0.27] [0.98]

m2 -0.000167 -0.000249 -0.000231 0.0000481

[-1.15] [-0.97] [-1.43] [0.41]

d_cris 0.986** 2.203*** 1.106*** 1.646*** [2.53] [5.62] [2.88] [5.57]

d_deve 1.832*** . 2.624*** [3.56] . [4.23]

_cons 11.25*** 31.53*** 12.91*** 38.14*** [10.81] [14.76] [11.28] [13.12]

---------------------------------------------------------------------------- N 1372 1372 1372 1194

R-sq 0.907 0.646

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

t statistics in brackets

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


.

.

.

. *nlst


.

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


Source | SS df MS

Number of obs =

1372

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

F( 14, 1357) =

386.57

Model | 3912835.13 14 279488.224

Prob > F =

0.0000

R-squared =

0.7995

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

Adj R-squared =

0.7975

Total | 4893949.68 1371 3569.62048

Root MSE =

26.889

Residual | 981114.549 1357 723.002616


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

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

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

nlst

|


L1.

|

.7578741

.0120414

62.94

0.000

.7342524

.7814958


|







size

|

2.677155

1.212825

2.21

0.027

.2979389

5.05637

size2

|

-.2607952

.1240789

-2.10

0.036

-.5042025

-.0173878

lia

|

.5487537

.2372643

2.31

0.021

.0833092

1.014198

llr

|

.0015823

.0006487

2.44

0.015

.0003098

.0028549

lads

|

-.2088293

.0357785

-5.84

0.000

-.2790164

-.1386422

eta

|

.4325834

.116696

3.71

0.000

.2036592

.6615075

llp

|

-.0927314

.0221538

-4.19

0.000

-.1361907

-.0492721

nim

|

.4886752

.3329018

1.47

0.142

-.1643828

1.141733

gdp

|

.0130099

.0206012

0.63

0.528

-.0274037

.0534235

infl

|

-.0142847

.2147382

-0.07

0.947

-.4355396

.4069702

m2

|

-.0000777

.0006864

-0.11

0.910

-.0014243

.0012689

d_cris

|

4.102924

1.857842

2.21

0.027

.4583711

7.747478

d_deve

|

5.385591

2.316051

2.33

0.020

.8421622

9.92902

_cons

|

5.044844

4.210103

1.20

0.231

-3.214173

13.30386

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


.

. est sto P8


.

. vif


Variable | VIF 1/VIF

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

size

|

14.89

0.067151

size2

|

9.30

0.107542

llp

|

4.39

0.227741

lia

|

3.99

0.250780

llr

|

3.50

0.285682

eta

|

1.80

0.555783

lads

|

1.74

0.575145

d_deve

|

1.60

0.623261

m2

|

1.31

0.766217

nim

|

1.30

0.767230

infl

|

1.25

0.797411

nlst

|



L1.

|

1.23

0.810038

d_cris

|

1.18

0.844591

gdp

|

1.06

0.941717

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

Mean VIF | 3.47


.

. imtest, white


White's test for Ho: homoskedasticity

against Ha: unrestricted heteroskedasticity


chi2(116) = 1044.71

Prob > chi2 = 0.0000


Cameron & Trivedi's decomposition of IM-test


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

Source | chi2 df p

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

Heteroskedasticity |

1044.71

116

0.0000

Skewness |

66.03

14

0.0000

Kurtosis |

4.54

1

0.0331

---------------------+----------------------------- Total | 1115.29 131 0.0000

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


.

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


Fixed-effects (within) regression

Number of obs

=

1372

Group variable: donvi

Number of groups

=

152

R-sq: within = 0.2299

Obs per group: min =

1

between = 0.9288

avg =

9.0

overall = 0.7515

max =

12


F(13,1207)

=

27.71

corr(u_i, Xb) = 0.7912

Prob > F

=

0.0000


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

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

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

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