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 |
Có thể bạn quan tâm!
- 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 - 17
- Hạn Chế Của Luận Án Và Hướng Nghiên Cứu Trong Tương Lai
- ) Roodman, D. (2006). How To Do Xtabond2: An Introduction To Difference And System Gmm In Stata.
- 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 - 21
- 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 - 22
- 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 - 23
Xem toàn bộ 215 trang tài liệu này.
-------------+----------------------
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
---------------------+-----------------------------
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
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]
-------------+----------------------------------------------------------------
| | |||||||
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
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]
-------------+----------------------------------------------------------------
| | |||||||
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.
-------------+----------------------------------------------------------------
| | .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]
-------------+----------------------------------------------------------------
| | |||||||
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
----------------------------------------------------------------------------
(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
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]
-------------+----------------------------------------------------------------
| | |||||||
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
-------------+----------------------
| | 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
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]
-------------+----------------------------------------------------------------
| | |||||||
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
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]
-------------+----------------------------------------------------------------
| | |||||||
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.
-------------+----------------------------------------------------------------
| | .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]
-------------+----------------------------------------------------------------
| | |||||||
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
Number of obs = | 1372 | |
-------------+------------------------------ | F( 14, 1357) = | 386.57 |
Model | 3912835.13 14 279488.224 | Prob > F = | 0.0000 |
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]
-------------+----------------------------------------------------------------
| | |||||||
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
-------------+----------------------
| | 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
---------------------+-----------------------------
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
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]
-------------+----------------------------------------------------------------