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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 - 21


nlst

|


L1.

|

.3777874

.0216361

17.46

0.000

.3353389

.420236


|







size

|

-.8145994

4.765131

-0.17

0.864

-10.16346

8.53426

size2

|

.0468377

.3702403

0.13

0.899

-.6795483

.7732237

lia

|

.5276646

.3731199

1.41

0.158

-.2043712

1.2597

llr

|

.0011106

.0007411

1.50

0.134

-.0003433

.0025645

lads

|

-.0512461

.0474818

-1.08

0.281

-.1444021

.0419099

eta

|

-.3152739

.2126502

-1.48

0.138

-.7324789

.1019311

llp

|

-.0830064

.0287831

-2.88

0.004

-.1394768

-.0265359

nim

|

1.484431

.6831518

2.17

0.030

.1441339

2.824728

gdp

|

-.0008809

.0188452

-0.05

0.963

-.0378539

.0360921

infl

|

-.1580942

.2486609

-0.64

0.525

-.6459498

.3297614

m2

|

-.0007988

.0011996

-0.67

0.506

-.0031523

.0015548

d_cris

|

4.797421

1.809673

2.65

0.008

1.246967

8.347874

d_deve

|

0

(omitted)





_cons

|

46.61115

9.252327

5.04

0.000

28.45872

64.76358

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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 - 21

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

sigma_u | 35.044658

sigma_e | 23.95991

rho | .68145846 (fraction of variance due to u_i)

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

F test that all u_i=0: F(151, 1207) = 3.37 Prob > F = 0.0000


.

. est sto F8


.

. xtreg nlst l.nlst 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 = 0.2188

Obs per group: min =

1

between = 0.9812

avg =

9.0

overall = 0.7995

max =

12



Wald chi2(14)

=

5411.92

corr(u_i, X)

= 0 (assumed)

Prob > chi2

=

0.0000


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

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

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

nlst |

L1. | .7578741 .0120414 62.94 0.000 .7342735 .7814747

|

size | 2.677155 1.212825 2.21 0.027 .300061 5.054248

size2 | -.2607952 .1240789 -2.10 0.036 -.5039854 -.0176049

lia | .5487537 .2372643 2.31 0.021 .0837243 1.013783

llr | .0015823 .0006487 2.44 0.015 .0003109 .0028537

lads | -.2088293 .0357785 -5.84 0.000 -.2789538 -.1387048

eta | .4325834 .116696 3.71 0.000 .2038634 .6613034

llp | -.0927314 .0221538 -4.19 0.000 -.136152 -.0493108

nim | .4886752 .3329018 1.47 0.142 -.1638004 1.141151

gdp | .0130099 .0206012 0.63 0.528 -.0273677 .0533874

infl | -.0142847 .2147382 -0.07 0.947 -.4351638 .4065945

m2 | -.0000777 .0006864 -0.11 0.910 -.0014231 .0012677

d_cris | 4.102924 1.857842 2.21 0.027 .4616218 7.744227

d_deve | 5.385591 2.316051 2.33 0.020 .8462146 9.924967

_cons | 5.044844 4.210103 1.20 0.231 -3.206807 13.29649

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

sigma_u | 0

sigma_e | 23.95991

rho | 0 (fraction of variance due to u_i)

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


.

. xttest0


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

Estimated results:

| Var sd = sqrt(Var)

---------+----------------------------- nlst | 3569.62 59.7463

e | 574.0773 23.95991

u | 0 0


Test: Var(u) = 0

chibar2(01) = 0.00

Prob > chibar2 = 1.0000


.

. est sto R8


.

. hausman F8 R8

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))

| F8 R8 Difference S.E.

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

L.nlst

|

.3777874

.7578741

-.3800867

.0179757

size

|

-.8145994

2.677155

-3.491754

4.608202

size2

|

.0468377

-.2607952

.3076329

.3488299

lia

|

.5276646

.5487537

-.0210892

.2879655

llr

|

.0011106

.0015823

-.0004717

.0003583

lads

|

-.0512461

-.2088293

.1575832

.0312157

eta

|

-.3152739

.4325834

-.7478573

.1777699

llp

|

-.0830064

-.0927314

.009725

.018376

nim

|

1.484431

.4886752

.9957556

.5965507

gdp

|

-.0008809

.0130099

-.0138908

.

infl

|

-.1580942

-.0142847

-.1438095

.1253784

m2

|

-.0007988

-.0000777

-.0007211

.0009838

d_cris

|

4.797421

4.102924

.6944963

.

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

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)

= 456.56

Prob>chi2 = 0.0000

(V_b-V_B is not positive definite)


.

. xtabond nlst 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)

=

19985.56

Prob > chi2

=

0.0000

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

Time variable: year

Number of instruments = 79


Two-step results

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

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

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

nlst

|


L1.

|

.2527698

.0023768

106.35

0.000

.2481113

.2574283


|







size

|

-12.182

1.277877

-9.53

0.000

-14.6866

-9.677411

size2

|

.8294571

.098557

8.42

0.000

.6362889

1.022625

lia

|

.9747721

.1725182

5.65

0.000

.6366427

1.312901

llr

|

.0019656

.0002291

8.58

0.000

.0015165

.0024147

lads

|

-.0329695

.0096142

-3.43

0.001

-.051813

-.0141261

eta

|

1.942346

.0940837

20.64

0.000

1.757946

2.126747

llp

|

-.1560947

.0122745

-12.72

0.000

-.1801523

-.1320371

nim

|

.6756554

.1931717

3.50

0.000

.2970458

1.054265

gdp

|

.0098298

.002609

3.77

0.000

.0047163

.0149433

infl

|

.1436594

.0498965

2.88

0.004

.0458641

.2414546

m2

|

-.0000712

.0002009

-0.35

0.723

-.0004649

.0003225

d_cris

|

.788944

.5338403

1.48

0.139

-.2573637

1.835252

_cons

|

55.02789

2.738804

20.09

0.000

49.65993

60.39585

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

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

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

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) = 87.17098

Prob > chi2 = 0.0347


.

. estat abond


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

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

|Order | z Prob > z|

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

| 1 |-1.6593 0.0971 |

| 2 |-1.0525 0.2926 |

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

H0: no autocorrelation


.

. est sto GMM8


.

. esttab P8 F8 R8 GMM8,r2 star(* 0.1 ** 0.05 *** 0.01) brackets nogap


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

(1)

(2)

(3)

(4)

nlst

nlst

nlst

nlst

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

L.nlst 0.758*** 0.378*** 0.758*** 0.253*** [62.94] [17.46] [62.94] [106.35]

size 2.677** -0.815 2.677** -12.18*** [2.21] [-0.17] [2.21] [-9.53]

size2 -0.261** 0.0468 -0.261** 0.829*** [-2.10] [0.13] [-2.10] [8.42]

lia 0.549** 0.528 0.549** 0.975*** [2.31] [1.41] [2.31] [5.65]

llr 0.00158** 0.00111 0.00158** 0.00197*** [2.44] [1.50] [2.44] [8.58]

lads -0.209*** -0.0512 -0.209*** -0.0330*** [-5.84] [-1.08] [-5.84] [-3.43]

eta 0.433*** -0.315 0.433*** 1.942*** [3.71] [-1.48] [3.71] [20.64]

llp

-0.0927*** [-4.19]

-0.0830*** [-2.88]

-0.0927*** -0.156***

[-4.19] [-12.72]

nim

0.489 1.484** 0.489 0.676***


[1.47]

[2.17]

[1.47] [3.50]

gdp

0.0130

-0.000881

0.0130 0.00983***


[0.63]

[-0.05]

[0.63] [3.77]

infl

-0.0143

-0.158

-0.0143 0.144***


[-0.07]

[-0.64]

[-0.07] [2.88]

m2

-0.0000777

-0.000799

-0.0000777 -0.0000712


d_cris

[-0.11] 4.103**

[-0.67]

4.797***

[-0.11] [-0.35]

4.103** 0.789

[2.21]

[2.65]

[2.21]

[1.48]

d_deve

5.386**

[2.33]

.

.

5.386**

[2.33]


_cons

5.045

46.61***

5.045

55.03***

[1.20] [5.04] [1.20] [20.09]

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

N

1372

1372

1372

1194

R-sq

0.800

0.230



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

t statistics in brackets

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


.

.

.

. --tonghop

unrecognized command: - invalid command name r(199);


.

. 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**

lia llr

[0.29] 0.00260***

[3.97] 0.00000764***

[4.27]

[4.06] 0.00637***

[5.97] 0.00000787***

[3.73]

[0.23] 0.00302***

[4.32] 0.00000805***

[4.42]

[2.29]

0.0156*** [15.09]

0.0000116*** [11.11]

lads


eta

-0.000956*** [-9.04] 0.00165***

[5.15]

-0.00117*** [-8.53] 0.00228***

[3.76]

-0.000992*** -0.00150*** [-9.04] [-13.43]

0.00184*** 0.00955***

[5.29] [12.10]

llp


nim

-0.000505*** [-7.99] 0.00543***

[5.69]

-0.000543*** [-6.57]

0.0122***

[6.12]

-0.000533*** [-8.16] 0.00643***

[6.22]

-0.00102*** [-12.50]

0.00236

[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


.

. 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***


eta

[-13.24]

-0.0387*

[-12.81]

-0.194***

[-13.46]

-0.0532**

[-14.75]

0.266***


[-1.65]

[-4.30]

[-1.99]

[4.33]

llp

-0.0579***

-0.0616***

-0.0620***

-0.108***


nim

[-12.11]

0.443***

[-10.04]

0.797***

[-12.37]

0.554***

[-9.39]

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


.

. esttab P8 F8 R8 GMM8,r2 star(* 0.1 ** 0.05 *** 0.01) brackets nogap


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

(1)

(2)

(3)

(4)

nlst

nlst

nlst

nlst

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

L.nlst 0.758*** 0.378*** 0.758*** 0.253*** [62.94] [17.46] [62.94] [106.35]

size 2.677** -0.815 2.677** -12.18*** [2.21] [-0.17] [2.21] [-9.53]

size2 -0.261** 0.0468 -0.261** 0.829*** [-2.10] [0.13] [-2.10] [8.42]

lia 0.549** 0.528 0.549** 0.975*** [2.31] [1.41] [2.31] [5.65]

llr 0.00158** 0.00111 0.00158** 0.00197*** [2.44] [1.50] [2.44] [8.58]

lads -0.209*** -0.0512 -0.209*** -0.0330*** [-5.84] [-1.08] [-5.84] [-3.43]

llp

-0.0927*** [-4.19]

-0.0830*** [-2.88]

-0.0927*** [-4.19]

nim

0.489 1.484** 0.489


[1.47]

[2.17]

[1.47]

gdp

0.0130

-0.000881

0.0130


[0.63]

[-0.05]

[0.63]

infl

-0.0143

-0.158

-0.0143


[-0.07]

[-0.64]

[-0.07]

m2

-0.0000777

-0.000799

-0.0000777


[-0.11]

[-0.67]

[-0.11]

eta 0.433*** -0.315 0.433*** 1.942*** [3.71] [-1.48] [3.71] [20.64]

-0.156*** [-12.72]

0.676*** [3.50]

0.00983*** [3.77]

0.144*** [2.88]

-0.0000712

[-0.35]

d_cris 4.103** 4.797*** 4.103** 0.789


[2.21]

[2.65]

[2.21]

[1.48]

d_deve 5.386**

.

5.386**



[2.33]

.

[2.33]


_cons

5.045

46.61***

5.045

55.03***

[1.20] [5.04] [1.20] [20.09]

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

N

1372

1372

1372

1194

R-sq

0.800

0.230



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

t statistics in brackets

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


.

. esttab P4 P7 P8,r2 star(* 0.1 ** 0.05 *** 0.01) brackets nogap


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

(1)

(2)

(3)

fgap

nlta

nlst

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

L.fgap 0.787***

[53.92]

size 0.00455 0.521** 2.677** [1.38] [2.05] [2.21]

size2 0.0000966 -0.0713*** -0.261**

[0.29] [-2.75] [-2.10]

lia 0.00260*** -0.0189 0.549** [3.97] [-0.38] [2.31]

llr 0.00000764*** 0.00103*** 0.00158** [4.27] [7.59] [2.44]

lads -0.000956*** -0.108*** -0.209*** [-9.04] [-13.24] [-5.84]

eta 0.00165*** -0.0387* 0.433***


[5.15]

[-1.65] [3.71]

llp

-0.000505***

-0.0579*** -0.0927***


nim

[-7.99]

0.00543***

[-12.11] [-4.19]

0.443*** 0.489


[5.69]

[6.04]

[1.47]

gdp

-0.0000260

-0.000921

0.0130


[-0.46]

[-0.21]

[0.63]

infl

0.000612

0.0349

-0.0143


[1.05]

[0.78]

[-0.07]

m2

-0.00000296

-0.000167

-0.0000777


[-1.57]

[-1.15]

[-0.11]

d_cris 0.0130** 0.986** 4.103** [2.55] [2.53] [2.21]

d_deve 0.0284*** 1.832*** 5.386** [4.26] [3.56] [2.33]

L.nlta 0.800***

[69.28]

L.nlst 0.758***

[62.94]

_cons -0.125*** 11.25*** 5.045

[-8.81] [10.81] [1.20]

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

N

1372

1372

1372

R-sq

0.852

0.907

0.800

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

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 0.396***

[11.97]

size -0.0276** -2.375** -12.18*** [-2.10] [-2.54] [-9.53]

size2 0.00242** 0.164** 0.829*** [2.29] [2.28] [8.42]

lia 0.0156*** 0.497*** 0.975*** [15.09] [5.32] [5.65]

llr 0.0000116*** 0.00121*** 0.00197*** [11.11] [5.99] [8.58]

lads -0.00150*** -0.154*** -0.0330*** [-13.43] [-14.75] [-3.43]

eta 0.00955*** 0.266*** 1.942*** [12.10] [4.33] [20.64]

llp -0.00102*** -0.108*** -0.156*** [-12.50] [-9.39] [-12.72]

nim 0.00236 0.188 0.676***

[1.14] [0.95] [3.50]

gdp -0.0000204 -0.00499* 0.00983*** [-0.76] [-1.96] [3.77]

infl -0.000292 0.0404 0.144***

[-0.76] [0.98] [2.88]

m2 -0.00000322*** 0.0000481 -0.0000712



[-2.60]

[0.41]

[-0.35]

d_cris

0.0317***

1.646***

0.789


[7.96]

[5.57]

[1.48]

L.nlta


0.374***




[9.16]


L.nlst



0.253***




[106.35]

_cons

-0.267***

38.14***

55.03***


[-10.21]

[13.12]

[20.09]

------------------------------------------------------------ N 1194 1194 1194

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 size2 eta llp gdp infl m2 d_cris d_deve


Source | SS df MS

Number of obs =

1372

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

F( 16, 1355) =

91.68

Model | 2487.27801 16 155.454875

Prob > F =

0.0000

Residual | 2297.54433 1355 1.69560467

R-squared =

0.5198

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

Adj R-squared =

0.5142

Total | 4784.82233 1371 3.49002358

Root MSE =

1.3022


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

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

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

roa

|


L1.

|

.4334379

.021197

20.45

0.000

.3918553

.4750204


|







fgap

|

3.390937

.7933886

4.27

0.000

1.834534

4.94734

nlst

|

.0012887

.0007985

1.61

0.107

-.0002777

.0028551

nlta

|

-.0299115

.0086577

-3.45

0.001

-.0468955

-.0129275

lia

|

.0483894

.0143066

3.38

0.001

.0203238

.0764549

llr

|

-.0000909

.0000321

-2.83

0.005

-.0001538

-.0000279

lads

|

.0035105

.0020178

1.74

0.082

-.0004478

.0074687

size

|

.3082193

.0603549

5.11

0.000

.1898201

.4266185

size2

|

-.0303523

.0061147

-4.96

0.000

-.0423477

-.018357

eta

|

.0253828

.0091451

2.78

0.006

.0074428

.0433228

llp

|

.0030543

.0011641

2.62

0.009

.0007706

.005338

gdp

|

.0016596

.0009931

1.67

0.095

-.0002886

.0036078

infl

|

.0221223

.0103469

2.14

0.033

.0018247

.04242

m2

|

.0000127

.000034

0.37

0.708

-.0000539

.0000794

d_cris

|

-.0193666

.0905434

-0.21

0.831

-.1969871

.1582538

d_deve

|

-.3695613

.1140265

-3.24

0.001

-.5932491

-.1458736

_cons

|

2.600066

.8841188

2.94

0.003

.8656759

4.334456

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


.

. est sto P44


.

. vif


Variable | VIF 1/VIF

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

nlta

|

20.29

0.049295

fgap

|

18.25

0.054808

size

|

15.73

0.063593

size2

|

9.63

0.103849

lia

|

6.18

0.161759

llp

|

5.17

0.193429

eta

|

4.71

0.212240

llr

|

3.65

0.273694

lads

|

2.36

0.424101

nlst

|

1.84

0.543399

d_deve

|

1.66

0.603030

roa

|



L1.

|

1.59

0.630413

m2

|

1.36

0.733081

infl

|

1.24

0.805502

d_cris

|

1.20

0.833940

gdp | 1.05 0.950330

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

Mean VIF | 5.99


.

. imtest, white


White's test for Ho: homoskedasticity

against Ha: unrestricted heteroskedasticity


chi2(149) = 751.71

Prob > chi2 = 0.0000


Cameron & Trivedi's decomposition of IM-test


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

Source | chi2 df p

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

Heteroskedasticity | 751.71 149 0.0000

Skewness | 133.03 16 0.0000

Kurtosis | 6.00 1 0.0143

---------------------+----------------------------- Total | 890.74 166 0.0000

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


.

. xtreg roa l.roa fgap nlst nlta lia llr lads size size2 eta llp 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 = 0.1157

Obs per group: min =

1

between = 0.0087

avg =

9.0

overall = 0.0195

max =

12


F(15,1205)

=

10.51

corr(u_i, Xb) = -0.5776

Prob > F

=

0.0000


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

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

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

roa

|


L1.

|

.1005733

.0236194

4.26

0.000

.0542337

.146913


|







fgap

|

1.186788

.8126925

1.46

0.144

-.4076612

2.781238

nlst

|

-.0016121

.0013593

-1.19

0.236

-.0042789

.0010547

nlta

|

-.0026989

.0100385

-0.27

0.788

-.0223938

.016996

lia

|

.0931369

.0194935

4.78

0.000

.0548918

.131382

llr

|

-.0001469

.0000352

-4.18

0.000

-.0002159

-.000078

lads

|

.0055691

.0024344

2.29

0.022

.0007929

.0103453

size

|

-.6192979

.2243505

-2.76

0.006

-1.059459

-.179137

size2

|

.0391088

.0174715

2.24

0.025

.0048309

.0733867

eta

|

.0228701

.0116735

1.96

0.050

-.0000327

.0457728

llp

|

.0052598

.0014062

3.74

0.000

.0025009

.0080187

gdp

|

.0016139

.0008766

1.84

0.066

-.0001059

.0033337

infl

|

.0183986

.0116707

1.58

0.115

-.0044986

.0412958

m2

|

-.0000376

.0000562

-0.67

0.504

-.0001479

.0000727

d_cris

|

.1132869

.0860577

1.32

0.188

-.0555526

.2821265

d_deve

|

0

(omitted)





_cons

|

1.994745

.9515828

2.10

0.036

.1278016

3.861688

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

sigma_u | 1.9493332

sigma_e | 1.1192726

rho | .75205765 (fraction of variance due to u_i)

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

F test that all u_i=0: F(151, 1205) = 4.26 Prob > F = 0.0000


.

. 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


Random-effects GLS regression

Number of obs

=

1372

Group variable: donvi

Number of groups

=

152

R-sq: within = 0.0732

Obs per group: min =

1

between = 0.8454

avg =

9.0

overall = 0.5198

max =

12



Wald chi2(16)

=

1460.68

corr(u_i, X)

= 0 (assumed)

Prob > chi2

=

0.0000


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

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

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

roa |

L1. | .4325108 .0212048 20.40 0.000 .3909501 .4740714

|



fgap

|

3.394119

.7934358

4.28

0.000

1.839014

4.949225

nlst

|

.0012903

.0007992

1.61

0.106

-.0002762

.0028567

nlta

|

-.0299319

.0086599

-3.46

0.001

-.0469049

-.0129589

lia

|

.0484667

.0143163

3.39

0.001

.0204072

.0765262

llr

|

-.0000909

.0000321

-2.83

0.005

-.0001538

-.000028

lads

|

.0035199

.0020187

1.74

0.081

-.0004368

.0074765

size

|

.3086235

.0604199

5.11

0.000

.1902027

.4270444

size2

|

-.0303954

.0061175

-4.97

0.000

-.0423854

-.0184053

eta

|

.0254392

.0091491

2.78

0.005

.0075073

.0433711

llp

|

.0030556

.0011646

2.62

0.009

.0007731

.0053382

gdp

|

.0016599

.0009927

1.67

0.094

-.0002857

.0036055

infl

|

.0221602

.0103506

2.14

0.032

.0018734

.042447

m2

|

.0000127

.000034

0.37

0.709

-.000054

.0000794

d_cris

|

-.019152

.0905114

-0.21

0.832

-.1965511

.1582471

d_deve

|

-.3702095

.1142531

-3.24

0.001

-.5941414

-.1462776

_cons

|

2.601947

.8842394

2.94

0.003

.8688694

4.335024

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

sigma_u | .02633029

sigma_e | 1.1192726

rho | .00055309 (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 |

3.490024

1.86816

e |

1.252771

1.119273

u |

.0006933

.0263303

Test: Var(u) = 0


chibar2(01) =


77.87


Prob > chibar2 =

0.0000

.

. est sto R44



.

. hausman F44 R44




Note: the rank of the differenced variance matrix (14) does not equal the number of coefficients being tested (15); 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

|

.1005733

.4325108

-.3319374

.0104034

fgap

|

1.186788

3.394119

-2.207331

.1758657

nlst

|

-.0016121

.0012903

-.0029024

.0010995

nlta

|

-.0026989

-.0299319

.027233

.0050772

lia

|

.0931369

.0484667

.0446702

.0132303

llr

|

-.0001469

-.0000909

-.000056

.0000143

lads

|

.0055691

.0035199

.0020492

.0013606

size

|

-.6192979

.3086235

-.9279215

.2160615

size2

|

.0391088

-.0303954

.0695042

.0163655

eta

|

.0228701

.0254392

-.0025691

.0072502

llp

|

.0052598

.0030556

.0022042

.0007881

gdp

|

.0016139

.0016599

-.000046

.

infl

|

.0183986

.0221602

-.0037616

.0053917

m2

|

-.0000376

.0000127

-.0000503

.0000448

d_cris

|

.1132869

-.019152

.1324389

.

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

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

= 1065.67

Prob>chi2 = 0.0000

(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


Arellano-Bond dynamic panel-data estimation

Number of obs

=

1194

Group variable: donvi

Number of groups

=

146

Time variable: year





Obs per group:

min =

1

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