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avg = 8.178082

max = 11

Number of instruments = 81 Wald chi2(15) = 4323.77

Prob > chi2 = 0.0000

Two-step results

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

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

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

roa

|


L1.

|

.1139896

.0075337

15.13

0.000

.0992237

.1287554


|







fgap

|

1.391943

.2541227

5.48

0.000

.893872

1.890015

nlst

|

-.0008405

.0002479

-3.39

0.001

-.0013264

-.0003547

nlta

|

-.0004091

.0036385

-0.11

0.910

-.0075404

.0067222

lia

|

.0976758

.0115283

8.47

0.000

.0750808

.1202709

llr

|

-.0001381

.0000149

-9.27

0.000

-.0001673

-.0001089

lads

|

.0065699

.000551

11.92

0.000

.00549

.0076497

size

|

-.0696292

.0948342

-0.73

0.463

-.2555009

.1162424

size2

|

-.0017673

.0074993

-0.24

0.814

-.0164655

.012931

eta

|

-.0042541

.0065222

-0.65

0.514

-.0170374

.0085292

llp

|

.0064762

.0006734

9.62

0.000

.0051564

.007796

gdp

|

.0019085

.0001475

12.94

0.000

.0016194

.0021977

infl

|

.0102831

.0042186

2.44

0.015

.0020148

.0185513

m2

|

-6.90e-07

.0000124

-0.06

0.956

-.000025

.0000236

d_cris

|

-.0650222

.0380622

-1.71

0.088

-.1396228

.0095784

_cons

|

1.156521

.381965

3.03

0.002

.4078835

1.905159

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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 - 22

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

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

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

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

Instruments for level equation Standard: _cons


.

. estat sargan

Sargan test of overidentifying restrictions

H0: overidentifying restrictions are valid


chi2(65) = 78.99812

Prob > chi2 = 0.1138


.

. estat abond


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

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

|Order | z Prob > z|

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

| 1 |-2.4079 0.0160 |

| 2 | .48809 0.6255 |

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

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

0.433***

0.101***

0.433***

0.114***


[20.45]

[4.26]

[20.40]

[15.13]

fgap

3.391***

1.187

3.394***

1.392***


[4.27]

[1.46]

[4.28]

[5.48]

nlst

0.00129

-0.00161

0.00129

-0.000841***


[1.61]

[-1.19]

[1.61]

[-3.39]

nlta

-0.0299***

-0.00270

-0.0299***

-0.000409


[-3.45]

[-0.27]

[-3.46]

[-0.11]

lia

0.0484***

0.0931***

0.0485***

0.0977***


[3.38]

[4.78]

[3.39]

[8.47]

llr

-0.0000909***

-0.000147***

-0.0000909***

-0.000138***


[-2.83]

[-4.18]

[-2.83]

[-9.27]

lads

0.00351*

0.00557**

0.00352*

0.00657***


[1.74]

[2.29]

[1.74]

[11.92]

size

0.308***

-0.619***

0.309***

-0.0696


[5.11]

[-2.76]

[5.11]

[-0.73]

size2

-0.0304***

0.0391**

-0.0304***

-0.00177


[-4.96]

[2.24]

[-4.97]

[-0.24]

eta

0.0254***

0.0229*

0.0254***

-0.00425


[2.78]

[1.96]

[2.78]

[-0.65]

llp

0.00305***

0.00526***

0.00306***

0.00648***


[2.62]

[3.74]

[2.62]

[9.62]

gdp

0.00166*

0.00161*

0.00166*

0.00191***



[1.67]

[1.84]

[1.67]

[12.94]

infl

0.0221**

0.0184

0.0222**

0.0103**


[2.14]

[1.58]

[2.14]

[2.44]

m2

0.0000127

-0.0000376

0.0000127

-0.000000690


[0.37]

[-0.67]

[0.37]

[-0.06]

d_cris

-0.0194

0.113

-0.0192

-0.0650*


[-0.21]

[1.32]

[-0.21]

[-1.71]

d_deve

-0.370***

[-3.24]

.

.

-0.370***

[-3.24]


_cons

2.600***

1.995**

2.602***

1.157***


[2.94]

[2.10]

[2.94]

[3.03]

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

N

1372

1372

1372

1194

R-sq

0.520

0.116



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

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 size2 eta llp gdp infl m2 d_cris d_deve


Source | SS df MS

Number of obs =

1372

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

F( 16, 1355) =

5.06

Model | 51408.8267 16 3213.05167

Prob > F =

0.0000

Residual | 860750.572 1355 635.240275

R-squared =

0.0564

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

Adj R-squared =

0.0452

Total | 912159.399 1371 665.324142

Root MSE =

25.204


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

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

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

roe

|


L1.

|

.1145404

.0222632

5.14

0.000

.0708663

.1582144


|







fgap

|

20.74897

15.10298

1.37

0.170

-8.878793

50.37674

nlst

|

-.0079731

.015393

-0.52

0.605

-.0381697

.0222235

nlta

|

-.0891418

.1650628

-0.54

0.589

-.4129482

.2346646

lia

|

.5079832

.2754801

1.84

0.065

-.0324307

1.048397

llr

|

-.0013969

.000621

-2.25

0.025

-.0026152

-.0001786

lads

|

.0741728

.0390097

1.90

0.057

-.0023531

.1506987

size

|

4.619911

1.155427

4.00

0.000

2.353292

6.886531

size2

|

-.4090021

.1168461

-3.50

0.000

-.638221

-.1797833

eta

|

-.1367429

.173977

-0.79

0.432

-.4780364

.2045507

llp

|

.0451693

.0224817

2.01

0.045

.0010666

.089272

gdp

|

.009027

.0192183

0.47

0.639

-.0286739

.0467279

infl

|

.4270879

.1991413

2.14

0.032

.0364292

.8177466

m2

|

.000387

.0006574

0.59

0.556

-.0009025

.0016766

d_cris

|

2.170223

1.753032

1.24

0.216

-1.268728

5.609175

d_deve

|

-3.627008

2.2032

-1.65

0.100

-7.949061

.695045

_cons

|

10.23694

16.96185

0.60

0.546

-23.03741

43.51128

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


.

. est sto P55


.

. vif


Variable | VIF 1/VIF

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

nlta

|

19.68

0.050807

fgap

|

17.65

0.056663

size

|

15.38

0.065007

size2

|

9.39

0.106548

lia

|

6.12

0.163446

llp

|

5.15

0.194301

eta

|

4.55

0.219701

llr

|

3.65

0.273863

lads

|

2.35

0.425083

nlst

|

1.83

0.547816

d_deve

|

1.65

0.605141

m2

|

1.36

0.734059

infl

|

1.23

0.814660

d_cris

|

1.20

0.833455

gdp

|

1.05

0.950761

roe

|



L1.

|

1.02

0.975802

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

Mean VIF | 5.83


.

. imtest, white


White's test for Ho: homoskedasticity

against Ha: unrestricted heteroskedasticity

chi2(149) = 529.53

Prob > chi2 = 0.0000


Cameron & Trivedi's decomposition of IM-test


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

Source | chi2 df p

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

Heteroskedasticity | 529.53 149 0.0000

Skewness |

17.04 16

0.3829

Kurtosis |

1.60 1

0.2055

---------------------+----------------------------- Total | 548.17 166 0.0000

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


.

. xtreg roe l.roe 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 = 0.0113

Obs per group: min =

1

between = 0.0317

avg =

9.0

overall = 0.0102

max =

12


F(15,1205)

=

0.92

corr(u_i, Xb) = -0.3638

Prob > F

=

0.5449


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

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

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

roe

|


L1.

|

.0169242

.0234548

0.72

0.471

-.0290925

.062941


|







fgap

|

-6.216817

18.00142

-0.35

0.730

-41.53443

29.1008

nlst

|

-.0002422

.0301094

-0.01

0.994

-.0593148

.0588304

nlta

|

.0836173

.2224385

0.38

0.707

-.3527926

.5200271

lia

|

-.1354291

.4274002

-0.32

0.751

-.9739604

.7031023

llr

|

-.001

.0007766

-1.29

0.198

-.0025236

.0005236

lads

|

.0505469

.0539114

0.94

0.349

-.0552238

.1563176

size

|

2.873805

4.9549

0.58

0.562

-6.847385

12.595

size2

|

-.2852062

.386258

-0.74

0.460

-1.043019

.4726067

eta

|

.4428396

.2579333

1.72

0.086

-.0632086

.9488878

llp

|

.0356344

.0310076

1.15

0.251

-.0252004

.0964692

gdp

|

.0048546

.0194154

0.25

0.803

-.0332372

.0429463

infl

|

.2542926

.2583098

0.98

0.325

-.2524943

.7610795

m2

|

-.00055

.0012454

-0.44

0.659

-.0029932

.0018933

d_cris

|

3.493024

1.905073

1.83

0.067

-.2446049

7.230654

d_deve

|

0

(omitted)





_cons

|

-8.866172

21.05102

-0.42

0.674

-50.1669

32.43456

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

sigma_u | 12.835109

sigma_e | 24.792792

rho | .21136163 (fraction of variance due to u_i)

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

F test that all u_i=0: F(151, 1205) = 1.31 Prob > F = 0.0098


.

. 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


Random-effects GLS regression

Number of obs

=

1372

Group variable: donvi

Number of groups

=

152

R-sq: within = 0.0029

Obs per group: min =

1

between = 0.4988

avg =

9.0

overall = 0.0564

max =

12



Wald chi2(16)

=

80.93

corr(u_i, X)

= 0 (assumed)

Prob > chi2

=

0.0000


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

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

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

roe

|


L1.

|

.1145404

.0222632

5.14

0.000

.0709054

.1581754


|







fgap

|

20.74897

15.10298

1.37

0.169

-8.852328

50.35028

nlst

|

-.0079731

.015393

-0.52

0.604

-.0381427

.0221965

nlta

|

-.0891418

.1650628

-0.54

0.589

-.4126589

.2343753

lia

|

.5079832

.2754801

1.84

0.065

-.0319479

1.047914

llr

|

-.0013969

.000621

-2.25

0.024

-.0026141

-.0001797

lads

|

.0741728

.0390097

1.90

0.057

-.0022848

.1506303

size

|

4.619911

1.155427

4.00

0.000

2.355316

6.884507

size2

|

-.4090021

.1168461

-3.50

0.000

-.6380162

-.1799881

eta

|

-.1367429

.173977

-0.79

0.432

-.4777316

.2042458


llp |

.0451693

.0224817

2.01

0.045

.001106

.0892326

gdp |

.009027

.0192183

0.47

0.639

-.0286402

.0466942

infl |

.4270879

.1991413

2.14

0.032

.0367781

.8173976

m2 |

.000387

.0006574

0.59

0.556

-.0009014

.0016755

d_cris |

2.170223

1.753032

1.24

0.216

-1.265657

5.606103

d_deve |

-3.627008

2.2032

-1.65

0.100

-7.9452

.6911843

_cons |

10.23694

16.96185

0.60

0.546

-23.00769

43.48156

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

sigma_u | 0

sigma_e | 24.792792

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 |

665.3241

25.79388

e |

614.6826

24.79279

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 (13) 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))

| F55 R55 Difference S.E.

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

L.roe

|

.0169242

.1145404

-.0976161

.007381

fgap

|

-6.216817

20.74897

-26.96579

9.795464

nlst

|

-.0002422

-.0079731

.0077309

.0258772

nlta

|

.0836173

-.0891418

.1727591

.1491079

lia

|

-.1354291

.5079832

-.6434122

.3267747

llr

|

-.001

-.0013969

.0003968

.0004662

lads

|

.0505469

.0741728

-.0236259

.0372114

size

|

2.873805

4.619911

-1.746106

4.818301

size2

|

-.2852062

-.4090021

.1237959

.3681606

eta

|

.4428396

-.1367429

.5795825

.1904247

llp

|

.0356344

.0451693

-.0095348

.0213551

gdp

|

.0048546

.009027

-.0041724

.0027593

infl

|

.2542926

.4270879

-.1727953

.1645196

m2

|

-.00055

.000387

-.000937

.0010577

d_cris

|

3.493024

2.170223

1.322801

.7457766

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

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

= 182.49

Prob>chi2 = 0.0000

(V_b-V_B is not positive definite)


.

. xtabond roe fgap nlst nlta lia llr lads size size2 eta llp 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(15)

=

11862.55

Prob > chi2

=

0.0000

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

Time variable: year

Number of instruments = 81


Two-step results

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

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

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


roe

|


L1.

|

.0394042

.0007929

49.70

0.000

.0378502

.0409582


|







fgap

|

-4.768103

4.342653

-1.10

0.272

-13.27955

3.74334

nlst

|

-.0230308

.0056389

-4.08

0.000

-.0340829

-.0119788

nlta

|

-.0860417

.0501207

-1.72

0.086

-.1842764

.012193

lia

|

-.5102831

.0694205

-7.35

0.000

-.6463449

-.3742214

llr

|

-.0002909

.0001197

-2.43

0.015

-.0005254

-.0000563

lads

|

.0098425

.0127191

0.77

0.439

-.0150865

.0347716

size

|

5.214288

.6302078

8.27

0.000

3.979104

6.449473

size2

|

-.4705173

.0492841

-9.55

0.000

-.5671124

-.3739222

eta

|

1.04093

.0469039

22.19

0.000

.9490004

1.13286

llp

|

-.0042262

.0063607

-0.66

0.506

-.0166929

.0082405

gdp

|

.0023793

.0007378

3.22

0.001

.0009331

.0038254

infl

|

.1462909

.0269652

5.43

0.000

.0934401

.1991418

m2

|

-.0004265

.0001568

-2.72

0.007

-.0007338

-.0001191

d_cris

|

-.0626051

.348073

-0.18

0.857

-.7448156

.6196054

_cons

|

1.006876

4.556377

0.22

0.825

-7.923458

9.937211

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

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

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

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

Instruments for level equation Standard: _cons


.

. estat sargan

Sargan test of overidentifying restrictions

H0: overidentifying restrictions are valid


chi2(65) = 105.9753

Prob > chi2 = 0.0010


.

. estat abond


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

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

|Order | z Prob > z|

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

| 1 |-1.5046 0.1324 |

| 2 |-1.1132 0.2656 |

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

H0: no autocorrelation


.

. est sto GMM55


.

. esttab P55 F55 R55 GMM55,r2 star(* 0.1 ** 0.05 *** 0.01) brackets nogap


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

(1)

(2)

(3)

(4)

roe

roe

roe

roe

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

L.roe

0.115***

0.0169

0.115***

0.0394***


[5.14]

[0.72]

[5.14]

[49.70]

fgap

20.75

-6.217

20.75

-4.768


[1.37]

[-0.35]

[1.37]

[-1.10]

nlst

-0.00797

-0.000242

-0.00797

-0.0230***


[-0.52]

[-0.01]

[-0.52]

[-4.08]

nlta

-0.0891

0.0836

-0.0891

-0.0860*


[-0.54]

[0.38]

[-0.54]

[-1.72]

lia

0.508*

-0.135

0.508*

-0.510***


[1.84]

[-0.32]

[1.84]

[-7.35]

llr

-0.00140**

-0.00100

-0.00140**

-0.000291**


[-2.25]

[-1.29]

[-2.25]

[-2.43]

lads

0.0742*

0.0505

0.0742*

0.00984


[1.90]

[0.94]

[1.90]

[0.77]

size

4.620***

2.874

4.620***

5.214***


[4.00]

[0.58]

[4.00]

[8.27]

size2

-0.409***

-0.285

-0.409***

-0.471***


[-3.50]

[-0.74]

[-3.50]

[-9.55]

eta

-0.137

0.443*

-0.137

1.041***


[-0.79]

[1.72]

[-0.79]

[22.19]

llp

0.0452**

0.0356

0.0452**

-0.00423


[2.01]

[1.15]

[2.01]

[-0.66]

gdp

0.00903

0.00485

0.00903

0.00238***


[0.47]

[0.25]

[0.47]

[3.22]

infl

0.427**

0.254

0.427**

0.146***


[2.14]

[0.98]

[2.14]

[5.43]

m2

0.000387

-0.000550

0.000387

-0.000426***


[0.59]

[-0.44]

[0.59]

[-2.72]

d_cris

2.170

3.493*

2.170

-0.0626


[1.24]

[1.83]

[1.24]

[-0.18]

d_deve

-3.627*

.

-3.627*



[-1.65]

.

[-1.65]


_cons 10.24 -8.866 10.24 1.007

[0.60] [-0.42] [0.60] [0.22]

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

R-sq 0.056 0.011

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

t statistics in brackets

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


.

.

.

. *nim


.

. reg nim l.nim 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) =

641.74

Model | 7511.87839 16 469.492399

Prob > F =

0.0000

Residual | 991.312055 1355 .731595613

R-squared =

0.8834

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

Adj R-squared =

0.8820

Total | 8503.19045 1371 6.20218121

Root MSE =

.85533


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

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

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

nim

|


L1.

|

.8359609

.0104049

80.34

0.000

.8155495

.8563723


|







fgap

|

.1082587

.5120642

0.21

0.833

-.896266

1.112783

nlst

|

-.0008631

.0005225

-1.65

0.099

-.0018881

.0001618

nlta

|

.010064

.0056372

1.79

0.074

-.0009945

.0211225

lia

|

.0086354

.0093494

0.92

0.356

-.0097054

.0269763

llr

|

5.55e-06

.0000211

0.26

0.792

-.0000358

.0000469

lads

|

.00148

.001332

1.11

0.267

-.001133

.004093

size

|

-.0487238

.0393473

-1.24

0.216

-.1259121

.0284645

size2

|

.0130012

.0039688

3.28

0.001

.0052155

.0207869

eta

|

.0110827

.0059208

1.87

0.061

-.0005323

.0226977

llp

|

-.0003517

.0007633

-0.46

0.645

-.0018492

.0011457

gdp

|

.0021864

.0006536

3.35

0.001

.0009043

.0034685

infl

|

.0247837

.0068782

3.60

0.000

.0112907

.0382767

m2

|

-.0000356

.0000223

-1.59

0.111

-.0000793

8.19e-06

d_cris

|

-.0156167

.0594918

-0.26

0.793

-.1323227

.1010893

d_deve

|

-.2468435

.0784361

-3.15

0.002

-.4007129

-.0929741

_cons

|

.0146101

.5753706

0.03

0.980

-1.114104

1.143324

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


.

. est sto P66


.

. vif


Variable | VIF 1/VIF

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

nlta

|

19.93

0.050169

fgap

|

17.62

0.056769

size

|

15.49

0.064558

size2

|

9.40

0.106361

lia

|

6.12

0.163427

llp

|

5.15

0.194110

eta

|

4.58

0.218466

llr

|

3.65

0.273734

lads

|

2.38

0.419891

nlst

|

1.83

0.547643

d_deve

|

1.82

0.549877

nim

|



L1.

|

1.42

0.702500

m2

|

1.36

0.734303

infl

|

1.27

0.786482

d_cris

|

1.20

0.833453

gdp

|

1.06

0.946792

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

Mean VIF | 5.89


.

. imtest, white


White's test for Ho: homoskedasticity

against Ha: unrestricted heteroskedasticity


chi2(149) = 519.12

Prob > chi2 = 0.0000


Cameron & Trivedi's decomposition of IM-test


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

Source | chi2 df p

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



Heteroskedasticity |

519.12

149

0.0000

Skewness |

46.54

16

0.0001

Kurtosis |

2.92

1

0.0877

---------------------+----------------------------- Total | 568.58 166 0.0000

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


.

. xtreg nim l.nim 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 = 0.4775

Obs per group: min =

1

between = 0.9281

avg =

9.0

overall = 0.8398

max =

12


F(15,1205)

=

73.43

corr(u_i, Xb) = 0.6162

Prob > F

=

0.0000


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

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

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

nim

|


L1.

|

.5458521

.0195444

27.93

0.000

.5075073

.584197


|







fgap

|

.4376953

.5460793

0.80

0.423

-.6336765

1.509067

nlst

|

-.0019557

.0009133

-2.14

0.032

-.0037475

-.0001639

nlta

|

.0280638

.0067584

4.15

0.000

.0148043

.0413234

lia

|

.0128522

.0129997

0.99

0.323

-.0126523

.0383567

llr

|

-.0000162

.0000236

-0.69

0.492

-.0000625

.0000301

lads

|

.0014519

.0016404

0.89

0.376

-.0017665

.0046703

size

|

-.0280774

.1507529

-0.19

0.852

-.3238447

.26769

size2

|

.0080437

.0117401

0.69

0.493

-.0149896

.0310771

eta

|

.0253084

.0078281

3.23

0.001

.0099501

.0406666

llp

|

.0012161

.0009418

1.29

0.197

-.0006316

.0030638

gdp

|

.0020209

.0005894

3.43

0.001

.0008646

.0031773

infl

|

.0174871

.0078362

2.23

0.026

.002113

.0328613

m2

|

-.0000129

.0000379

-0.34

0.733

-.0000872

.0000613

d_cris

|

-.2920972

.0582862

-5.01

0.000

-.4064509

-.1777435

d_deve

|

0

(omitted)





_cons

|

.1687

.6427262

0.26

0.793

-1.092287

1.429687

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

sigma_u | 1.0580453

sigma_e | .75202604

rho | .6643667 (fraction of variance due to u_i)

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

F test that all u_i=0: F(151, 1205) = 3.71 Prob > F = 0.0000


.

. est sto F66


.

. xtreg nim l.nim 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 = 0.4524

Obs per group: min =

1

between = 0.9759

avg =

9.0

overall = 0.8828

max =

12



Wald chi2(16)

=

7595.84

corr(u_i, X)

= 0 (assumed)

Prob > chi2

=

0.0000


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

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

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

nim

|


L1.

|

.8056763

.0116025

69.44

0.000

.7829358

.8284167


|







fgap

|

.2697187

.5232814

0.52

0.606

-.755894

1.295331

nlst

|

-.0011315

.0005736

-1.97

0.049

-.0022557

-7.32e-06

nlta

|

.0126966

.0058515

2.17

0.030

.0012279

.0241654

lia

|

.0079612

.0099918

0.80

0.426

-.0116224

.0275449

llr

|

6.26e-07

.0000216

0.03

0.977

-.0000416

.0000429

lads

|

.001508

.0014044

1.07

0.283

-.0012445

.0042606

size

|

-.0292346

.0438568

-0.67

0.505

-.1151923

.0567231

size2

|

.0110119

.0042131

2.61

0.009

.0027543

.0192694

eta

|

.0148334

.0062191

2.39

0.017

.0026441

.0270226

llp

|

3.49e-06

.0008002

0.00

0.997

-.0015648

.0015718

gdp

|

.0021051

.0006392

3.29

0.001

.0008524

.0033579

infl

|

.0241547

.0071198

3.39

0.001

.0102002

.0381093

m2

|

-.0000241

.0000246

-0.98

0.327

-.0000723

.0000241

d_cris

|

-.0616388

.0588309

-1.05

0.295

-.1769452

.0536677

d_deve

|

-.361148

.0937457

-3.85

0.000

-.5448862

-.1774099

_cons

|

.1150366

.5907896

0.19

0.846

-1.04289

1.272963

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

sigma_u | .18457197

sigma_e | .75202604

rho | .05681495 (fraction of variance due to u_i)

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


.

. xttest0


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

Estimated results:

| Var sd = sqrt(Var)

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

nim |

6.202181

2.490418

e |

.5655432

.752026

u |

.0340668

.184572

Test: Var(u) = 0


chibar2(01) =


4.72


Prob > chibar2 =

0.0149

.

. est sto R66



.

. hausman F66 R66




Note: the rank of the differenced variance matrix (13) 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))

| F66 R66 Difference S.E.

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

L.nim

|

.5458521

.8056763

-.2598241

.0157279

fgap

|

.4376953

.2697187

.1679766

.1561383

nlst

|

-.0019557

-.0011315

-.0008242

.0007107

nlta

|

.0280638

.0126966

.0153672

.0033817

lia

|

.0128522

.0079612

.0048909

.0083159

llr

|

-.0000162

6.26e-07

-.0000168

9.58e-06

lads

|

.0014519

.001508

-.0000561

.0008477

size

|

-.0280774

-.0292346

.0011572

.1442325

size2

|

.0080437

.0110119

-.0029681

.0109581

eta

|

.0253084

.0148334

.010475

.0047541

llp

|

.0012161

3.49e-06

.0012126

.0004967

gdp

|

.0020209

.0021051

-.0000842

.

infl

|

.0174871

.0241547

-.0066676

.0032734

m2

|

-.0000129

-.0000241

.0000112

.0000288

d_cris

|

-.2920972

-.0616388

-.2304585

.

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

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

= 358.54

Prob>chi2 = 0.0000

(V_b-V_B is not positive definite)

.

. xtabond nim fgap nlst nlta lia llr lads size size2 eta llp 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(15)

=

2795.91

Prob > chi2

=

0.0000

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

Time variable: year

Number of instruments = 81


Two-step results

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

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

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

nim

|


L1.

|

.6678864

.020628

32.38

0.000

.6274563

.7083165


|







fgap

|

.1848043

.2714745

0.68

0.496

-.347276

.7168845

nlst

|

-.0010595

.0002519

-4.21

0.000

-.0015532

-.0005658

nlta

|

.0299336

.0035071

8.54

0.000

.0230598

.0368074

lia

|

-.0113998

.0112451

-1.01

0.311

-.0334398

.0106401

llr

|

.0000102

7.88e-06

1.29

0.197

-5.27e-06

.0000256

lads

|

-.0011212

.0008357

-1.34

0.180

-.002759

.0005167

size

|

.3123287

.1069261

2.92

0.003

.1027574

.5218999

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