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

infl	-0.000843	0.00353	0.105
	[-1.06]	[0.05]	[1.04]
m2	-0.00000416	-0.000267	-0.000575
	[-1.25]	[-0.88]	[-1.38]
d_cris	-0.0129	-0.158	1.423
	[-0.95]	[-0.13]	[0.83]
L.nlta		0.444***
		[9.72]
size2	107.6***		95.91***
	[4.16]		[2.79]
L.nlst			0.556***
			[12.31]
_cons	-0.221***	35.38***	28.13***
	[-3.22]	[5.46]	[3.17]
------------------------------------------------------------
N	157	157	157
R-sq	0.901	0.908	0.899

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Tác động của rủi ro thanh khoản đến hiệu quả hoạt động kinh doanh ngân hàng nghiên cứu trường hợp các Quốc gia Đông Nam Á - 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
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 - 24
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 - 26

Xem toàn bộ 215 trang tài liệu này.

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

t statistics in brackets

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

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

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

(1)

(2)	(3)
fgap		nlta	nlst
------------------------------------------------------------
L.fgap	-0.122
	[-1.34]
size	-0.306	74.91	76.26
	[-0.94]	[1.51]	[0.69]
size2	1.669***	152.6***	50.23
	[2.65]	[3.26]	[0.41]
lia	0.0137***	0.533	1.497***
	[6.68]	[1.32]	[2.98]
llr	0.000707***	0.121***	0.0922
	[3.85]	[3.56]	[1.18]
lads	0.00875***	1.199	1.510*
	[3.72]	[1.27]	[1.94]
eta	-0.00787	0.464	-0.958
	[-1.27]	[0.36]	[-0.39]
llp	-0.00644***	-1.097***	-0.808
	[-3.94]	[-3.53]	[-1.14]
nim	0.0161***	0.755	3.129
	[4.43]	[0.73]	[1.62]
gdp	0.0293***	2.424	2.786
	[5.04]	[1.64]	[1.61]
infl	0.000494	-0.0366	0.140
	[1.23]	[-0.70]	[1.58]
m2	-0.00000332***	-0.000727**	-0.000744***
	[-2.80]	[-2.40]	[-2.87]
d_cris	-0.00716	0.0788	2.769
	[-0.77]	[0.05]	[1.09]
L.nlta		-0.0107
		[-0.12]
L.nlst			0.109
			[0.84]
_cons	-0.552***	43.47***	21.33*
	[-9.40]	[3.98]	[1.68]
------------------------------------------------------------
N	130	130	130
R-sq
------------------------------------------------------------

t statistics in brackets

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

. Mo hinh 2

unrecognized command: Mo r(199);

. xtset donvi year

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

delta: 1 unit

. *roa

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

note: d_deve omitted because of collinearity

Number of obs =

157
-------------+------------------------------	F( 13, 143) =	42.88
Model \| 94.4931377 13 7.2687029	Prob > F =	0.0000
Residual \| 24.2395509 143 .169507349	R-squared =	0.7958
-------------+------------------------------	Adj R-squared =	0.7773
Total \| 118.732689 156 .761106978	Root MSE =	.41171

Source | SS df MS

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

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

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

roa

\|
L1.	\|	.4983654	.0663831	7.51	0.000	.3671463	.6295844
	\|
fgap	\|	0	(omitted)
nlst	\|	.005178	.0064872	0.80	0.426	-.0076452	.0180011
nlta	\|	.0150925	.0092549	1.63	0.105	-.0032016	.0333866
lia	\|	.0293628	.0093659	3.14	0.002	.0108494	.0478762
llr	\|	-.0113433	.0009365	-12.11	0.000	-.0131945	-.009492
lads	\|	.0575284	.029014	1.98	0.049	.0001766	.1148802
size	\|	-9.121109	1.317432	-6.92	0.000	-11.72527	-6.516951
eta	\|	-.074858	.0541746	-1.38	0.169	-.1819446	.0322285
llp	\|	.0709431	.0076219	9.31	0.000	.0558769	.0860093
gdp	\|	.0923846	.0650162	1.42	0.158	-.0361324	.2209016
infl	\|	.017127	.0061704	2.78	0.006	.00493	.029324
m2	\|	-.0000103	.0000252	-0.41	0.682	-.0000601	.0000394
d_cris	\|	-.2002523	.1033808	-1.94	0.055	-.4046043	.0040998
d_deve	\|	0	(omitted)
_cons	\|	-1.70163	.5586348	-3.05	0.003	-2.805879	-.5973811

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

. vif

Variable | VIF 1/VIF

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

llp

\|	107.05	0.009341
llr	\|	35.27	0.028351
size	\|	23.97	0.041727
nlta	\|	19.06	0.052467
nlst	\|	16.14	0.061966
d_cris	\|	2.05	0.487672
m2	\|	1.86	0.536198
roa	\|
L1.	\|	1.70	0.586966
lia	\|	1.62	0.617919
lads	\|	1.51	0.661554
eta	\|	1.48	0.675614
infl	\|	1.45	0.688735
gdp	\|	1.36	0.737796

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

Mean VIF | 16.50

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

note: d_deve omitted because of collinearity

Source | SS df MS

Number of obs =	157
-------------+------------------------------	F( 14, 142) =	41.90
Model \| 95.5918251 14 6.82798751	Prob > F =	0.0000
Residual \| 23.1408634 142 .162963827	R-squared =	0.8051
-------------+------------------------------	Adj R-squared =	0.7859
Total \| 118.732689 156 .761106978	Root MSE =	.40369

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

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

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

roa

\|
L1.	\|	.4563222	.067073	6.80	0.000	.3237315	.588913
	\|
fgap	\|	0	(omitted)
nlst	\|	.0036743	.006387	0.58	0.566	-.0089517	.0163002
nlta	\|	.024494	.0097702	2.51	0.013	.0051802	.0438079
lia	\|	.0313557	.0092153	3.40	0.001	.0131387	.0495726
llr	\|	-.0128935	.0010953	-11.77	0.000	-.0150588	-.0107283
lads	\|	.0539645	.0284816	1.89	0.060	-.0023382	.1102672
size	\|	-8.10174	1.350094	-6.00	0.000	-10.77062	-5.43286
size2	\|	-6.010815	2.314951	-2.60	0.010	-10.58704	-1.434594
eta	\|	-.0956466	.0537187	-1.78	0.077	-.2018382	.0105451
llp	\|	.0854604	.0093333	9.16	0.000	.0670102	.1039107
gdp	\|	.07194	.0642334	1.12	0.265	-.0550372	.1989172
infl	\|	.015172	.0060968	2.49	0.014	.0031197	.0272243
m2	\|	-.0000139	.0000247	-0.56	0.574	-.0000628	.000035
d_cris	\|	-.2108984	.1014487	-2.08	0.039	-.4114432	-.0103536
d_deve	\|	0	(omitted)
_cons	\|	-2.252242	.5873621	-3.83	0.000	-3.413345	-1.091138

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

. est sto P44

. imtest, white

White's test for Ho: homoskedasticity

against Ha: unrestricted heteroskedasticity

chi2(115) = 137.47

Prob > chi2 = 0.0752

Cameron & Trivedi's decomposition of IM-test

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

Source | chi2 df p

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

Heteroskedasticity | 137.47 115 0.0752

Skewness | 20.92 14 0.1036

Kurtosis | 1.72 1 0.1897

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

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

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

note: d_deve omitted because of collinearity

Fixed-effects (within) regression

Number of obs	=	157
Group variable: donvi	Number of groups	=	25
R-sq: within = 0.7108	Obs per group: min =		1
between = 0.9223	avg =		6.3
overall = 0.7925	max =		11
	F(14,118)	=	20.72
corr(u_i, Xb) = 0.1124	Prob > F	=	0.0000

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

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

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

roa

\|
L1.	\|	.3854346	.0791577	4.87	0.000	.2286808	.5421885
	\|
fgap	\|	0	(omitted)
nlst	\|	.0007943	.0085654	0.09	0.926	-.0161674	.017756
nlta	\|	.0246336	.0128294	1.92	0.057	-.0007721	.0500392
lia	\|	.0371125	.0142955	2.60	0.011	.0088035	.0654216
llr	\|	-.0109561	.0016353	-6.70	0.000	-.0141944	-.0077178
lads	\|	.0181839	.0483444	0.38	0.707	-.0775512	.113919
size	\|	-7.675649	1.770483	-4.34	0.000	-11.18169	-4.16961
size2	\|	-3.120339	3.489678	-0.89	0.373	-10.03085	3.790173
eta	\|	-.1249202	.076054	-1.64	0.103	-.2755278	.0256874
llp	\|	.070889	.0139406	5.09	0.000	.0432828	.0984951
gdp	\|	.0097178	.07112	0.14	0.892	-.1311191	.1505547
infl	\|	.0204458	.0064213	3.18	0.002	.0077299	.0331617
m2	\|	2.41e-07	.000026	0.01	0.993	-.0000513	.0000518
d_cris	\|	-.2244187	.1106724	-2.03	0.045	-.4435801	-.0052573
d_deve	\|	0	(omitted)
_cons	\|	-1.364898	.8190216	-1.67	0.098	-2.986783	.2569879

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

sigma_u | .2487858

sigma_e | .39880197

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

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

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

. est sto F44

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

note: d_deve omitted because of collinearity

Random-effects GLS regression

Number of obs	=	157
Group variable: donvi		Number of groups	=	25
R-sq: within = 0.7021		Obs per group: min =		1
between = 0.9583		avg =		6.3
overall = 0.8051		max =		11
		Wald chi2(14)	=	586.58
corr(u_i, X)	= 0 (assumed)	Prob > chi2	=	0.0000

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

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

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

roa |

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

fgap	\|	3.135567	.9215328	3.40	0.001	1.329396	4.941738
nlst	\|	.0036743	.006387	0.58	0.565	-.0088441	.0161926
nlta	\|	-.0068617	.0115173	-0.60	0.551	-.0294351	.0157118
lia	\|	0	(omitted)
llr	\|	-.0128935	.0010953	-11.77	0.000	-.0150403	-.0107468
lads	\|	.0539645	.0284816	1.89	0.058	-.0018584	.1097874
size	\|	-8.10174	1.350094	-6.00	0.000	-10.74788	-5.455605
size2	\|	-6.010815	2.314951	-2.60	0.009	-10.54804	-1.473593
eta	\|	-.0956466	.0537187	-1.78	0.075	-.2009332	.0096401
llp	\|	.0854604	.0093333	9.16	0.000	.0671674	.1037534
gdp	\|	.07194	.0642334	1.12	0.263	-.053955	.1978351
infl	\|	.015172	.0060968	2.49	0.013	.0032224	.0271215
m2	\|	-.0000139	.0000247	-0.56	0.574	-.0000624	.0000346
d_cris	\|	-.2108984	.1014487	-2.08	0.038	-.4097341	-.0120627
d_deve	\|	0	(omitted)
_cons	\|	.8833254	1.017039	0.87	0.385	-1.110035	2.876686

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

sigma_u | 0

sigma_e | .39880197

rho | 0 (fraction of variance due to u_i)

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

. xttest0

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

Estimated results:

| Var sd = sqrt(Var)

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

roa |

.761107	.8724145
e \|	.159043	.398802
u \|	0	0
Test: Var(u) = 0	chibar2(01) =	0.00
	Prob > chibar2 =	1.0000
. . est sto R44
. . hausman F44 R44

Note: the rank of the differenced variance matrix (11) does not equal the number of coefficients being tested (13); be sure

this is what you expect, or there may be problems computing the test. Examine the output of your estimators for

anything unexpected and possibly consider scaling your variables so that the coefficients are on a similar scale.

---- Coefficients ----

| (b) (B) (b-B) sqrt(diag(V_b-V_B))

| F44 R44 Difference S.E.

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

L.roa

\|	.3854346	.4563222	-.0708876	.0420375
nlst	\|	.0007943	.0036743	-.0028799	.0057071
nlta	\|	.0246336	-.0068617	.0314952	.005652
llr	\|	-.0109561	-.0128935	.0019374	.0012143
lads	\|	.0181839	.0539645	-.0357806	.0390638
size	\|	-7.675649	-8.10174	.4260914	1.145364
size2	\|	-3.120339	-6.010815	2.890475	2.611293
eta	\|	-.1249202	-.0956466	-.0292736	.0538378
llp	\|	.070889	.0854604	-.0145715	.0103551
gdp	\|	.0097178	.07194	-.0622222	.0305307
infl	\|	.0204458	.015172	.0052738	.0020153
m2	\|	2.41e-07	-.0000139	.0000142	8.13e-06
d_cris	\|	-.2244187	-.2108984	-.0135203	.0442328

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

b = consistent under Ho and Ha; obtained from xtreg B = inconsistent under Ha, efficient under Ho; obtained from xtreg

Test: Ho: difference in coefficients not systematic chi2(11) = (b-B)'[(V_b-V_B)^(-1)](b-B)

= 21.30

Prob>chi2 = 0.0304

(V_b-V_B is not positive definite)

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

note: fgap dropped because of collinearity

Arellano-Bond dynamic panel-data estimation

Number of obs	=	130
Group variable: donvi	Number of groups	=	24
Time variable: year
	Obs per group:	min =	1

			avg =	5.416667
			max =	10
Number of instruments =	72	Wald chi2(14)	=	361.41
Two-step results		Prob > chi2	=	0.0000

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

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

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

roa

\|
L1.	\|	.3072212	.1362385	2.26	0.024	.0401987	.5742437
	\|
nlst	\|	.0160877	.0072268	2.23	0.026	.0019235	.0302519
nlta	\|	.0179939	.0092566	1.94	0.052	-.0001488	.0361366
lia	\|	-.0026777	.0195678	-0.14	0.891	-.0410299	.0356746
llr	\|	-.0163747	.004612	-3.55	0.000	-.025414	-.0073353
lads	\|	-.0110062	.0331433	-0.33	0.740	-.0759659	.0539534
size	\|	-13.94398	6.227093	-2.24	0.025	-26.14886	-1.739105
size2	\|	-5.984973	6.0763	-0.98	0.325	-17.8943	5.924356
eta	\|	-.1902359	.0861303	-2.21	0.027	-.3590482	-.0214235
llp	\|	.1154805	.0417166	2.77	0.006	.0337176	.1972435
gdp	\|	.0268833	.0505349	0.53	0.595	-.0721634	.12593
infl	\|	.0187371	.0046394	4.04	0.000	.009644	.0278301
m2	\|	.000013	.0000126	1.04	0.299	-.0000116	.0000376
d_cris	\|	-.3852435	.146601	-2.63	0.009	-.6725761	-.0979109
_cons	\|	-1.286283	.6334346	-2.03	0.042	-2.527792	-.0447739

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

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

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

Standard: D.nlst D.nlta D.lia D.llr D.lads D.size D.size2 D.eta D.llp D.gdp D.infl D.m2 D.d_cris Instruments for level equation

Standard: _cons

. estat sargan

Sargan test of overidentifying restrictions

H0: overidentifying restrictions are valid

chi2(57) = 12.39259

Prob > chi2 = 1.0000

. estat abond

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

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

|Order | z Prob > z|

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

| 1 |-2.1002 0.0357 |

| 2 | -.8664 0.3863 |

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

H0: no autocorrelation

. est sto GMM44

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

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

(1)

(2)	(3)	(4)
roa		roa	roa	roa
----------------------------------------------------------------------------
L.roa	0.456***	0.385***	0.456***	0.307**
	[6.80]	[4.87]	[6.80]	[2.26]
fgap	.	.	3.136***
	.	.	[3.40]
nlst	0.00367	0.000794	0.00367	0.0161**
	[0.58]	[0.09]	[0.58]	[2.23]
nlta	0.0245**	0.0246*	-0.00686	0.0180*
	[2.51]	[1.92]	[-0.60]	[1.94]
lia	0.0314***	0.0371**	.	-0.00268
	[3.40]	[2.60]	.	[-0.14]
llr	-0.0129***	-0.0110***	-0.0129***	-0.0164***
	[-11.77]	[-6.70]	[-11.77]	[-3.55]
lads	0.0540*	0.0182	0.0540*	-0.0110
	[1.89]	[0.38]	[1.89]	[-0.33]
size	-8.102***	-7.676***	-8.102***	-13.94**
	[-6.00]	[-4.34]	[-6.00]	[-2.24]
size2	-6.011**	-3.120	-6.011***	-5.985
	[-2.60]	[-0.89]	[-2.60]	[-0.98]
eta	-0.0956*	-0.125	-0.0956*	-0.190**
	[-1.78]	[-1.64]	[-1.78]	[-2.21]
llp	0.0855***	0.0709***	0.0855***	0.115***
	[9.16]	[5.09]	[9.16]	[2.77]
gdp	0.0719	0.00972	0.0719	0.0269
	[1.12]	[0.14]	[1.12]	[0.53]
infl	0.0152**	0.0204***	0.0152**	0.0187***

	[2.49]	[3.18]	[2.49]	[4.04]
m2	-0.0000139	0.000000241	-0.0000139	0.0000130
	[-0.56]	[0.01]	[-0.56]	[1.04]
d_cris	-0.211**	-0.224**	-0.211**	-0.385***
	[-2.08]	[-2.03]	[-2.08]	[-2.63]
d_deve	.	.	.
	.	.	.
_cons	-2.252***	-1.365*	0.883	-1.286**
	[-3.83]	[-1.67]	[0.87]	[-2.03]
----------------------------------------------------------------------------
N	157	157	157	130
R-sq	0.805	0.711

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

t statistics in brackets

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

. *roe

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

note: d_deve omitted because of collinearity

Source | SS df MS

Number of obs =	157
-------------+------------------------------	F( 13, 143) =	36.52
Model \| 9845.77361 13 757.367201	Prob > F =	0.0000
Residual \| 2965.78037 143 20.7397229	R-squared =	0.7685
-------------+------------------------------	Adj R-squared =	0.7475
Total \| 12811.554 156 82.125346	Root MSE =	4.5541

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

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

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

roe

\|
L1.	\|	.5893137	.0565544	10.42	0.000	.477523	.7011044
	\|
fgap	\|	0	(omitted)
nlst	\|	.0964257	.0718563	1.34	0.182	-.0456121	.2384634
nlta	\|	.0728387	.1024238	0.71	0.478	-.1296216	.275299
lia	\|	-.2560856	.1011317	-2.53	0.012	-.4559918	-.0561793
llr	\|	-.1075303	.0104312	-10.31	0.000	-.1281496	-.086911
lads	\|	.6286773	.3209482	1.96	0.052	-.0057385	1.263093
size	\|	-82.31008	14.55215	-5.66	0.000	-111.0752	-53.54496
eta	\|	-.5869784	.5851464	-1.00	0.317	-1.743633	.5696758
llp	\|	.6642811	.0846022	7.85	0.000	.4970485	.8315137
gdp	\|	1.35285	.7192332	1.88	0.062	-.0688531	2.774552
infl	\|	.1709757	.0678327	2.52	0.013	.0368912	.3050602
m2	\|	-.0002053	.0002785	-0.74	0.462	-.0007559	.0003453
d_cris	\|	-1.506804	1.145673	-1.32	0.191	-3.771447	.7578388
d_deve	\|	0	(omitted)
_cons	\|	-14.64525	6.329203	-2.31	0.022	-27.15614	-2.134364

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

. vif

Variable | VIF 1/VIF

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

llp

\|	107.80	0.009276
llr	\|	35.76	0.027961
size	\|	23.90	0.041844
nlta	\|	19.08	0.052413
nlst	\|	16.18	0.061795
d_cris	\|	2.06	0.485848
m2	\|	1.86	0.536394
lia	\|	1.54	0.648436
lads	\|	1.51	0.661493
infl	\|	1.43	0.697296
eta	\|	1.41	0.708559
gdp	\|	1.36	0.737657
roe	\|
L1.	\|	1.27	0.788640

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

Mean VIF | 16.55

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

note: d_deve omitted because of collinearity

Source | SS df MS

Number of obs =	157
-------------+------------------------------	F( 14, 142) =	34.77
Model \| 9918.12044 14 708.437174	Prob > F =	0.0000
Residual \| 2893.43354 142 20.3762925	R-squared =	0.7742
-------------+------------------------------	Adj R-squared =	0.7519
Total \| 12811.554 156 82.125346	Root MSE =	4.514

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

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

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

roe

\|
L1.	\|	.562428	.0578441	9.72	0.000	.4480811	.6767749
	\|
fgap	\|	0	(omitted)
nlst	\|	.0850705	.0714784	1.19	0.236	-.0562288	.2263698
nlta	\|	.1478534	.109049	1.36	0.177	-.0677159	.3634227
lia	\|	-.2698121	.100506	-2.68	0.008	-.4684936	-.0711307
llr	\|	-.120806	.0125117	-9.66	0.000	-.1455392	-.0960728
lads	\|	.5994075	.3185027	1.88	0.062	-.0302122	1.229027
size	\|	-74.71403	14.97682	-4.99	0.000	-104.3204	-45.10768
size2	\|	-48.84259	25.92098	-1.88	0.062	-100.0835	2.398298
eta	\|	-.7305918	.5849831	-1.25	0.214	-1.886993	.4258093
llp	\|	.7866096	.1060507	7.42	0.000	.5769673	.9962518
gdp	\|	1.184992	.7184479	1.65	0.101	-.2352433	2.605228
infl	\|	.1536235	.0678635	2.26	0.025	.0194701	.2877768
m2	\|	-.0002328	.0002765	-0.84	0.401	-.0007794	.0003137
d_cris	\|	-1.636634	1.137679	-1.44	0.152	-3.88561	.6123422
d_deve	\|	0	(omitted)
_cons	\|	-18.83468	6.655835	-2.83	0.005	-31.99201	-5.677357

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

. est sto P55

. imtest, white

White's test for Ho: homoskedasticity

against Ha: unrestricted heteroskedasticity

chi2(114) = 130.87

Prob > chi2 = 0.1335

Cameron & Trivedi's decomposition of IM-test

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

Source | chi2 df p

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

Heteroskedasticity |

130.87	114	0.1335
Skewness \|	19.02	14	0.1641
Kurtosis \|	0.85	1	0.3561

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

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

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

note: d_deve omitted because of collinearity

Fixed-effects (within) regression

Number of obs	=	157
Group variable: donvi	Number of groups	=	25
R-sq: within = 0.6698	Obs per group: min =		1
between = 0.8861	avg =		6.3
overall = 0.7516	max =		11
	F(14,118)	=	17.09
corr(u_i, Xb) = 0.0346	Prob > F	=	0.0000

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

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

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

roe

\|
L1.	\|	.4610082	.0728161	6.33	0.000	.3168124	.605204
	\|
fgap	\|	0	(omitted)
nlst	\|	.0621701	.0959793	0.65	0.518	-.127895	.2522352
nlta	\|	.1922172	.1449335	1.33	0.187	-.0947906	.479225
lia	\|	-.3079005	.1588775	-1.94	0.055	-.6225212	.0067203
llr	\|	-.1130117	.0184714	-6.12	0.000	-.1495902	-.0764333
lads	\|	.1208528	.5418384	0.22	0.824	-.9521347	1.19384
size	\|	-84.62384	19.84146	-4.27	0.000	-123.9153	-45.33235
size2	\|	-15.81165	39.06511	-0.40	0.686	-93.17121	61.54791
eta	\|	-1.359252	.8492742	-1.60	0.112	-3.041046	.3225421
llp	\|	.7289909	.157584	4.63	0.000	.4169317	1.04105
gdp	\|	.2947037	.8059558	0.37	0.715	-1.301308	1.890716
infl	\|	.2073965	.0717753	2.89	0.005	.0652619	.349531
m2	\|	-.0000909	.0002916	-0.31	0.756	-.0006683	.0004865
d_cris	\|	-2.205937	1.241312	-1.78	0.078	-4.664074	.252199
d_deve	\|	0	(omitted)
_cons	\|	-8.514988	9.180259	-0.93	0.356	-26.6944	9.664424

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

sigma_u | 2.806291

sigma_e | 4.4700767

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

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

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

. est sto F55

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

note: d_deve omitted because of collinearity

Random-effects GLS regression

Number of obs	=	157
Group variable: donvi		Number of groups	=	25
R-sq: within = 0.6566		Obs per group: min =		1
between = 0.9277		avg =		6.3
overall = 0.7742		max =		11
		Wald chi2(14)	=	486.75
corr(u_i, X)	= 0 (assumed)	Prob > chi2	=	0.0000

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

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

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

roe

\|
L1.	\|	.562428	.0578441	9.72	0.000	.4490556	.6758004
	\|
fgap	\|	-26.98122	10.0506	-2.68	0.007	-46.68004	-7.282394
nlst	\|	.0850705	.0714784	1.19	0.234	-.0550246	.2251656
nlta	\|	.4176656	.130732	3.19	0.001	.1614355	.6738957
lia	\|	0	(omitted)
llr	\|	-.120806	.0125117	-9.66	0.000	-.1453284	-.0962835
lads	\|	.5994074	.3185027	1.88	0.060	-.0248464	1.223661
size	\|	-74.71402	14.97682	-4.99	0.000	-104.0681	-45.35999
size2	\|	-48.84259	25.92098	-1.88	0.060	-99.64678	1.961607
eta	\|	-.7305919	.5849831	-1.25	0.212	-1.877138	.415954
llp	\|	.7866095	.1060507	7.42	0.000	.578754	.9944651
gdp	\|	1.184992	.7184479	1.65	0.099	-.2231398	2.593124
infl	\|	.1536234	.0678635	2.26	0.024	.0206134	.2866335
m2	\|	-.0002328	.0002765	-0.84	0.400	-.0007747	.000309
d_cris	\|	-1.636634	1.137679	-1.44	0.150	-3.866444	.5931758
d_deve	\|	0	(omitted)
_cons	\|	-45.8159	10.60575	-4.32	0.000	-66.60279	-25.02901

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

sigma_u | 0

sigma_e | 4.4700767

rho | 0 (fraction of variance due to u_i)

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

. xttest0

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

Estimated results:

| Var sd = sqrt(Var)

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

roe |

82.12535	9.062304
e \|	19.98159	4.470077
u \|	0	0
Test: Var(u) = 0	chibar2(01) =	0.00
	Prob > chibar2 =	1.0000
. . est sto R55
. . hausman F55 R55

Note: the rank of the differenced variance matrix (11) does not equal the number of coefficients being tested (13); be sure

this is what you expect, or there may be problems computing the test. Examine the output of your estimators for

anything unexpected and possibly consider scaling your variables so that the coefficients are on a similar scale.

---- Coefficients ----

| (b) (B) (b-B) sqrt(diag(V_b-V_B))

| F55 R55 Difference S.E.

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

L.roe |

.4610082	.562428	-.1014198	.0442295
nlst \|	.0621701	.0850705	-.0229004	.0640536
nlta \|	.1922172	.4176656	-.2254484	.0625688
llr \|	-.1130117	-.120806	.0077943	.0135886
lads \|	.1208528	.5994074	-.4785546	.4383433
size \|	-84.62384	-74.71402	-9.909812	13.01454
size2 \|	-15.81165	-48.84259	33.03094	29.22645

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