R-sq: within = 0.4691
F(12,166) | = | 12.22 | |
corr(u_i, Xb) = -0.4298 | Prob > F | = | 0.0000 |
Có thể bạn quan tâm!
- Hasna Chaibi And Zied Ftiti, 2015. Credit Risk Determinants: Evidence From A Cross-Country Study. Research In International Business And Finance 33 (2015) 1–16.
- Tác động của rủi ro tín dụng đến hiệu quả kinh doanh của các ngân hàng thương mại Việt Nam - 17
- Tóm Tắt Kết Quả Nghiên Cứu Của Hasna Chaibi Và Zied Ftiti (2015)
- Tác động của rủi ro tín dụng đến hiệu quả kinh doanh của các ngân hàng thương mại Việt Nam - 20
- Tác động của rủi ro tín dụng đến hiệu quả kinh doanh của các ngân hàng thương mại Việt Nam - 21
Xem toàn bộ 175 trang tài liệu này.
------------------------------------------------------------------------------
npl | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
| | |||||||
L1. | | | .077342 | .0675214 | 1.15 | 0.254 | -.0559694 | .2106534 |
| | |||||||
llr | | | 1.829252 | .2019861 | 9.06 | 0.000 | 1.430459 | 2.228045 |
eff | | | .007543 | .0089853 | 0.84 | 0.402 | -.0101971 | .0252832 |
lev | | | -.0078886 | .0106322 | -0.74 | 0.459 | -.0288803 | .0131031 |
nii | | | .0137797 | .0061449 | 2.24 | 0.026 | .0016474 | .0259121 |
size | | | -.0065195 | .0030071 | -2.17 | 0.032 | -.0124567 | -.0005823 |
roe | | | -.0087414 | .0193799 | -0.45 | 0.653 | -.0470043 | .0295214 |
ggdp | | | .000943 | .0018421 | 0.51 | 0.609 | -.0026939 | .0045798 |
inf | | | -.0002642 | .0003077 | -0.86 | 0.392 | -.0008717 | .0003433 |
unr | | | -.0060426 | .0040908 | -1.48 | 0.142 | -.0141192 | .002034 |
exr | | | 1.23e-06 | 1.15e-06 | 1.07 | 0.285 | -1.03e-06 | 3.49e-06 |
inr | | | .0012654 | .0009348 | 1.35 | 0.178 | -.0005803 | .0031111 |
_cons | | | .0890021 | .0410335 | 2.17 | 0.032 | .0079872 | .170017 |
-------------+----------------------------------------------------------------
sigma_u | .00677395
sigma_e | .01078927
rho | .28273487 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(25, 166) = 1.87 Prob > F = 0.0108
.
. est sto FIX1
.
. xtreg npl l.npl llr eff lev nii size roe ggdp inf unr exr inr,re
Number of obs | = | 204 | |
Group variable: donvi | Number of groups | = | 26 |
R-sq: within = 0.4391 Obs per group: min = 5
7.8 | ||
overall = 0.4517 | max = | 10 |
between = 0.5069
Wald chi2(12) | = | 157.35 | ||
corr(u_i, X) | = 0 (assumed) | Prob > chi2 | = | 0.0000 |
------------------------------------------------------------------------------
npl | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
| | |||||||
L1. | | | .1719398 | .0637995 | 2.69 | 0.007 | .0468949 | .2969846 |
| | |||||||
llr | | | 1.268895 | .1606624 | 7.90 | 0.000 | .9540026 | 1.583788 |
eff | | | .0100425 | .0076513 | 1.31 | 0.189 | -.0049537 | .0250388 |
lev | | | -.0028094 | .0089534 | -0.31 | 0.754 | -.0203578 | .014739 |
nii | | | .0140145 | .0054503 | 2.57 | 0.010 | .0033321 | .024697 |
size | | | -.0033214 | .001013 | -3.28 | 0.001 | -.0053068 | -.001336 |
roe | | | -.019222 | .0166014 | -1.16 | 0.247 | -.05176 | .0133161 |
ggdp | | | .0001132 | .0018301 | 0.06 | 0.951 | -.0034736 | .0037001 |
inf | | | -.0002893 | .0003124 | -0.93 | 0.354 | -.0009017 | .000323 |
unr | | | -.0045828 | .0041865 | -1.09 | 0.274 | -.0127882 | .0036225 |
exr | | | 8.57e-07 | 7.70e-07 | 1.11 | 0.265 | -6.51e-07 | 2.37e-06 |
inr | | | .0019409 | .0009374 | 2.07 | 0.038 | .0001035 | .0037782 |
_cons | | | .0347255 | .0280183 | 1.24 | 0.215 | -.0201894 | .0896403 |
-------------+----------------------------------------------------------------
sigma_u | 0
sigma_e | .01078927
rho | 0 (fraction of variance due to u_i)
------------------------------------------------------------------------------
.
. est sto RAN1
.
. hausman FIX1 RAN1
Note: the rank of the differenced variance matrix (11) does not equal the number of coefficients being tested (12); 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)) | |
| | FIX1 | RAN1 | Difference | S.E. |
-------------+----------------------------------------------------------------
| | .077342 | .1719398 | -.0945978 | .0221079 | |
llr | | | 1.829252 | 1.268895 | .5603567 | .1224171 |
eff | | | .007543 | .0100425 | -.0024995 | .0047109 |
lev | | | -.0078886 | -.0028094 | -.0050792 | .005734 |
nii | | | .0137797 | .0140145 | -.0002348 | .002838 |
size | | | -.0065195 | -.0033214 | -.0031981 | .0028314 |
roe | | | -.0087414 | -.019222 | .0104806 | .0099988 |
ggdp | | | .000943 | .0001132 | .0008298 | .0002099 |
inf | | | -.0002642 | -.0002893 | .0000251 | . |
unr | | | -.0060426 | -.0045828 | -.0014598 | . |
exr | | | 1.23e-06 | 8.57e-07 | 3.73e-07 | 8.49e-07 |
inr | | | .0012654 | .0019409 | -.0006754 | . |
------------------------------------------------------------------------------
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)
= 66.90
Prob>chi2 = 0.0000
(V_b-V_B is not positive definite)
.
. xtabond npl llr eff lev nii size roe ggdp inf unr exr inr,twostep
Number of obs | = | 176 | |
Group variable: donvi Time variable: time | Number of groups Obs per group: | = min = | 26 3 |
avg = | 6.769231 | ||
max = | 9 |
Number of instruments = 57 Wald chi2(12) = 734.65
Prob > chi2 = 0.0000
Two-step results
------------------------------------------------------------------------------
npl | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
| | |||||||
L1. | | | .0868391 | .0486262 | 1.79 | 0.074 | -.0084665 | .1821446 |
| | |||||||
llr | | | 2.150804 | .2501726 | 8.60 | 0.000 | 1.660475 | 2.641133 |
eff | | | .0017503 | .0065765 | 0.27 | 0.790 | -.0111394 | .0146401 |
lev | | | -.0030159 | .005709 | -0.53 | 0.597 | -.0142053 | .0081736 |
nii | | | .0120496 | .0032165 | 3.75 | 0.000 | .0057454 | .0183538 |
size | | | -.0077424 | .0018113 | -4.27 | 0.000 | -.0112925 | -.0041924 |
roe | | | -.0004792 | .0144553 | -0.03 | 0.974 | -.0288111 | .0278526 |
ggdp | | | -.0006616 | .0008867 | -0.75 | 0.456 | -.0023994 | .0010763 |
inf | | | -.0001463 | .0001145 | -1.28 | 0.201 | -.0003708 | .0000782 |
unr | | | -.0042115 | .0017794 | -2.37 | 0.018 | -.007699 | -.0007239 |
exr | | | 2.46e-06 | 5.31e-07 | 4.63 | 0.000 | 1.42e-06 | 3.50e-06 |
inr | | | .0008438 | .0004494 | 1.88 | 0.060 | -.000037 | .0017247 |
_cons | | | .0886193 | .02241 | 3.95 | 0.000 | .0446964 | .1325421 |
------------------------------------------------------------------------------
Warning: gmm two-step standard errors are biased; robust standard errors are recommended.
Instruments for differenced equation GMM-type: L(2/.).npl
Standard: D.llr D.eff D.lev D.nii D.size D.roe D.ggdp D.inf D.unr D.exr D.inr Instruments for level equation
Standard: _cons
.
. estat sargan
Sargan test of overidentifying restrictions
H0: overidentifying restrictions are valid
chi2(44) = 14.04058
Prob > chi2 = 1.0000
.
. estat abond
Arellano-Bond test for zero autocorrelation in first-differenced errors
+-----------------------+
|Order | z Prob > z|
|------+----------------|
| 1 |-2.0282 0.0425 |
| 2 |-1.9529 0.0508 |
+-----------------------+
H0: no autocorrelation
.
. est sto GMM1
.
. esttab POOL1 FIX1 RAN1 GMM1 ,r2 star(* 0.1 ** 0.05 *** 0.01) brackets nogap
----------------------------------------------------------------------------
(2) | (3) | (4) | ||
npl | npl | npl | npl | |
---------------------------------------------------------------------------- | ||||
L.npl | 0.172*** | 0.0773 | 0.172*** | 0.0868* |
[2.69] | [1.15] | [2.69] | [1.79] | |
llr | 1.269*** | 1.829*** | 1.269*** | 2.151*** |
[7.90] | [9.06] | [7.90] | [8.60] | |
eff | 0.0100 | 0.00754 | 0.0100 | 0.00175 |
[1.31] | [0.84] | [1.31] | [0.27] | |
lev | -0.00281 | -0.00789 | -0.00281 | -0.00302 |
[-0.31] | [-0.74] | [-0.31] | [-0.53] | |
nii | 0.0140** | 0.0138** | 0.0140** | 0.0120*** |
[2.57] | [2.24] | [2.57] | [3.75] | |
size | -0.00332*** | -0.00652** | -0.00332*** | -0.00774*** |
[-3.28] | [-2.17] | [-3.28] | [-4.27] | |
roe | -0.0192 | -0.00874 | -0.0192 | -0.000479 |
[-1.16] | [-0.45] | [-1.16] | [-0.03] | |
ggdp | 0.000113 | 0.000943 | 0.000113 | -0.000662 |
[0.06] | [0.51] | [0.06] | [-0.75] | |
inf | -0.000289 | -0.000264 | -0.000289 | -0.000146 |
[-0.93] | [-0.86] | [-0.93] | [-1.28] | |
unr | -0.00458 | -0.00604 | -0.00458 | -0.00421** |
[-1.09] | [-1.48] | [-1.09] | [-2.37] | |
exr | 0.000000857 | 0.00000123 | 0.000000857 | 0.00000246*** |
[1.11] | [1.07] | [1.11] | [4.63] | |
inr | 0.00194** | 0.00127 | 0.00194** | 0.000844* |
[2.07] | [1.35] | [2.07] | [1.88] | |
_cons | 0.0347 | 0.0890** | 0.0347 | 0.0886*** |
[1.24] | [2.17] | [1.24] | [3.95] | |
---------------------------------------------------------------------------- | ||||
N | 204 | 204 | 204 | 176 |
R-sq | 0.452 | 0.469 |
----------------------------------------------------------------------------
t statistics in brackets
* p<0.1, ** p<0.05, *** p<0.01
.
.
.
. *** Mo hinh 2 - voi ROE
.
.
.
. xtset donvi time
panel variable: donvi (strongly balanced) time variable: time, 2005 to 2015
delta: 1 unit
.
. sum roe npl llr eff lev nii size ggdp inf unr exr inr
Variable | Obs Mean Std. Dev. Min Max
-------------+--------------------------------------------------------
275 | .114088 | .0747594 | .0007494 | .4449051 | |
npl | | 233 | .0224712 | .0158215 | .001 | .1246 |
llr | | 271 | .0111496 | .0066228 | .0001286 | .0370178 |
eff | | 262 | .4879579 | .190311 | .0795316 | 2.0527 |
lev | | 276 | .8698281 | .1108404 | .0152707 | 1.129474 |
-------------+--------------------------------------------------------
264 | .1606875 | .2713953 | -2.003685 | .7855639 | |
size | | 276 | 17.34343 | 1.619804 | 11.88353 | 20.56153 |
ggdp | | 286 | 6.246387 | .7420688 | 5.247367 | 7.547248 |
inf | | 286 | 9.280675 | 6.03656 | .63 | 23.11632 |
unr | | 286 | 2.206564 | .2625723 | 1.8 | 2.6 |
-------------+--------------------------------------------------------
286 18932.05 | 2319.773 | 15916 | 22380.54 | |
inr | | 286 9.820909 | 2.178888 | 6.5 | 13.46 |
.
. corr roe npl llr eff lev nii size ggdp inf unr exr inr (obs=230)
| roe npl llr eff lev nii size ggdp inf unr
exr
-------------+---------------------------------------------------------------------------------------------
------
roe | | | 1.0000 | |||||||||||
npl | | | -0.2439 | 1.0000 | ||||||||||
llr | | | -0.0531 | 0.5258 | 1.0000 | |||||||||
eff | | | -0.5585 | 0.2015 | -0.0229 | 1.0000 | ||||||||
lev | | | 0.1936 | -0.0936 | 0.1457 | -0.2249 | 1.0000 | |||||||
nii | | | 0.3051 | -0.0711 | -0.0030 | -0.5166 | 0.3357 | 1.0000 | ||||||
size | | | 0.2812 | 0.0029 | 0.4629 | -0.2154 | 0.5494 | 0.2359 | 1.0000 | |||||
ggdp | | | 0.2636 | -0.2795 | -0.2966 | -0.1968 | 0.0643 | -0.0057 | -0.0930 | 1.0000 | ||||
inf | | | 0.1704 | 0.0412 | -0.0481 | -0.1133 | -0.0865 | 0.0657 | -0.2027 | -0.1668 | 1.0000 | |||
unr | | | 0.2720 | -0.2662 | -0.2741 | -0.2968 | 0.0527 | 0.2003 | -0.2107 | 0.2537 | 0.0555 | 1.0000 | ||
1.0000 | exr | | | -0.4104 | 0.2040 | 0.3535 | 0.2815 | 0.0940 | -0.2484 | 0.4105 | -0.2862 | -0.3791 | -0.5588 | |
0.3007 | inr | | | 0.2070 | 0.0969 | 0.0345 | -0.1699 | -0.0885 | 0.0428 | -0.1652 | -0.3332 | 0.8866 | 0.1313 | - |
| inr
-------------+---------
inr | 1.0000
.
. reg roe npl llr eff lev nii size ggdp inf unr exr inr
Source | SS df MS Number of obs = 230
-------------+------------------------------ F( 11, 218) = 25.75
Model | .746891689 11 .067899244 Prob > F = 0.0000
Residual | .574943043 218 .002637353 R-squared = 0.5650
-------------+------------------------------ Adj R-squared = 0.5431 Total | 1.32183473 229 .005772204 Root MSE = .05136
------------------------------------------------------------------------------
roe | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
-.2597459 | .2841151 | -0.91 | 0.362 | -.8197099 | .300218 | |
llr | | -1.064024 | .7728987 | -1.38 | 0.170 | -2.587335 | .4592859 |
eff | | -.1175674 | .0251587 | -4.67 | 0.000 | -.167153 | -.0679819 |
lev | | -.0613612 | .0384343 | -1.60 | 0.112 | -.1371116 | .0143891 |
nii | | -.0139028 | .021501 | -0.65 | 0.519 | -.0562791 | .0284736 |
size | | .0297325 | .0039047 | 7.61 | 0.000 | .0220367 | .0374284 |
ggdp | | .0249096 | .0069771 | 3.57 | 0.000 | .0111584 | .0386608 |
inf | | -.0037851 | .0013507 | -2.80 | 0.006 | -.0064471 | -.001123 |
unr | | -.0241332 | .0160944 | -1.50 | 0.135 | -.0558537 | .0075873 |
2.49e-06 | -6.90 | 0.000 | -.0000221 | -.0000123 | ||
inr | | .0158837 | .0040459 | 3.93 | 0.000 | .0079095 | .0238578 |
_cons | | -.1721965 | .1072927 | -1.60 | 0.110 | -.3836602 | .0392673 |
exr |
------------------------------------------------------------------------------
.
. vif
Variable | VIF 1/VIF
-------------+----------------------
| | 7.17 | 0.139550 | |
inf | | | 6.46 | 0.154878 |
size | | | 2.42 | 0.413271 |
exr | | | 2.39 | 0.419267 |
llr | | | 2.09 | 0.478990 |
eff | | | 1.84 | 0.543427 |
unr | | | 1.81 | 0.551458 |
ggdp | | | 1.76 | 0.568053 |
nii | | | 1.72 | 0.582485 |
npl | | | 1.68 | 0.594872 |
lev | | | 1.60 | 0.625316 |
-------------+----------------------
Mean VIF | 2.81
.
. imtest,white
White's test for Ho: homoskedasticity
against Ha: unrestricted heteroskedasticity
chi2(67) = 100.21
Prob > chi2 = 0.0053
Cameron & Trivedi's decomposition of IM-test
---------------------------------------------------
Source | chi2 df p
---------------------+-----------------------------
100.21 | 67 | 0.0053 | |
Skewness | | 19.62 | 11 | 0.0508 |
Kurtosis | | 3.80 | 1 | 0.0513 |
---------------------+-----------------------------