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Tác động của rủi ro tín dụng đến hiệu quả kinh doanh tại các Ngân hàng thương mại Việt Nam - 21

inf |


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


.


. vif


Variable | VIF 1/VIF


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


inr

|

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

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Tác động của rủi ro tín dụng đến hiệu quả kinh doanh tại các Ngân hàng thương mại Việt Nam - 21


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

Mean VIF | 2.81


.


. imtest,white


White's test for Ho: homoskedasticity


against Ha: unrestricted heteroskedasticity

chi2(67) = 140.01

Prob > chi2 = 0.0000


Cameron & Trivedi's decomposition of IM-test


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


Source | chi2 df p


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


Heteroskedasticity |

140.01

67

0.0000

Skewness |

19.52

11

0.0523

Kurtosis | 2.49 1 0.1148


---------------------+----------------------------- Total | 162.02 79 0.0000

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


.


. est sto P22


.


. xtreg roa npl llr eff lev nii size ggdp inf unr exr inr,fe


Fixed-effects (within) regression

Number of obs

=

230

Group variable: donvi

Number of groups

=

26


R-sq: within = 0.5569

Obs per group: min =

6

between = 0.2840

avg =

8.8

overall = 0.4134

max =

11



F(11,193)

=

22.05

corr(u_i, Xb) = -0.4515

Prob > F

=

0.0000



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


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


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


npl

|

-.0652647

.0325111

-2.01

0.046

-.1293874

-.001142

llr

|

.0710326

.1092248

0.65

0.516

-.1443949

.2864602

eff

|

-.0197032

.0033034

-5.96

0.000

-.0262186

-.0131877

lev

|

-.0111563

.0049505

-2.25

0.025

-.0209203

-.0013923

nii

|

.0042594

.0025696

1.66

0.099

-.0008088

.0093275

size

|

-.0048707

.001178

-4.13

0.000

-.007194

-.0025473

ggdp

|

.0015544

.0007628

2.04

0.043

.00005

.0030588

inf

|

-.0005049

.0001424

-3.55

0.000

-.0007858

-.000224

unr

|

-.0008875

.0016844

-0.53

0.599

-.0042097

.0024347

exr

|

3.87e-07

4.44e-07

0.87

0.384

-4.89e-07

1.26e-06

inr

|

.0018085

.0004323

4.18

0.000

.000956

.0026611

_cons

|

.0886641

.0163241

5.43

0.000

.0564676

.1208605


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


sigma_u | .00464762


sigma_e | .00528776


rho | .43583581 (fraction of variance due to u_i)


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


F test that all u_i=0: F(25, 193) = 2.78 Prob > F = 0.0000


.


. est sto F22


.


. esttab F22


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


(1)


roa


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


npl -0.0653*


(-2.01)

llr 0.0710


(0.65)


eff -0.0197***


(-5.96)


lev -0.0112*


(-2.25)


nii 0.00426


(1.66)


size -0.00487*** (-4.13)


ggdp 0.00155*


(2.04)


inf -0.000505*** (-3.55)


unr -0.000888


(-0.53)


exr 0.000000387


(0.87)


inr 0.00181***

(4.18)


_cons 0.0887***


(5.43)


---------------------------- N 230

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


t statistics in parentheses


* p<0.05, ** p<0.01, *** p<0.001


.


. xtreg roa npl llr eff lev nii size ggdp inf unr exr inr,re


Random-effects GLS regression

Number of obs

=

230

Group variable: donvi

Number of groups

=

26


R-sq: within = 0.5367

Obs per group: min =

6

between = 0.5420

avg =

8.8

overall = 0.5329

max =

11



Wald chi2(11)

=

250.83

corr(u_i, X)

= 0 (assumed)

Prob > chi2

=

0.0000



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


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


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


npl

|

-.0757023

.0318431

-2.38

0.017

-.1381136

-.0132909

llr

|

.0286104

.0929865

0.31

0.758

-.1536398

.2108606

eff

|

-.0196581

.0029449

-6.68

0.000

-.02543

-.0138862

lev

|

-.0180926

.0043828

-4.13

0.000

-.0266827

-.0095025

nii

|

.0009082

.0024321

0.37

0.709

-.0038587

.005675

size

|

-.0017328

.0005108

-3.39

0.001

-.0027339

-.0007317

ggdp

|

.0016781

.000764

2.20

0.028

.0001806

.0031755

inf

|

-.0004752

.0001464

-3.25

0.001

-.0007621

-.0001883

unr

|

-.001524

.0017421

-0.87

0.382

-.0049384

.0018904

exr

|

-6.17e-07

2.84e-07

-2.17

0.030

-1.17e-06

-5.99e-08

inr

|

.00168

.0004402

3.82

0.000

.0008172

.0025428

_cons

|

.0616223

.012065

5.11

0.000

.0379754

.0852693


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


sigma_u | .00151741


sigma_e | .00528776


rho | .07608385 (fraction of variance due to u_i)



.


. est sto R22


.


. hausman F22 R22


Note: the rank of the differenced variance matrix (10) does not equal the number of coefficients being tested (11); 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))

|

F22

R22

Difference

S.E.


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


npl

|

-.0652647

-.0757023

.0104375

.0065566

llr

|

.0710326

.0286104

.0424222

.0573024

eff

|

-.0197032

-.0196581

-.000045

.0014967

lev

|

-.0111563

-.0180926

.0069363

.0023018

nii

|

.0042594

.0009082

.0033512

.0008294

size

|

-.0048707

-.0017328

-.0031379

.0010615

ggdp

|

.0015544

.0016781

-.0001237

.

inf

|

-.0005049

-.0004752

-.0000297

.

unr

|

-.0008875

-.001524

.0006365

.

exr

|

3.87e-07

-6.17e-07

1.00e-06

3.41e-07

inr

|

.0018085

.00168

.0001285

.


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


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


= 74.01


Prob>chi2 = 0.0000


(V_b-V_B is not positive definite)


.


. xttest0



roa[donvi,t] = Xb + u[donvi] + e[donvi,t]


Estimated results:


| Var sd = sqrt(Var)


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


roa |

.0000689

.0082996

e |

.000028

.0052878

u |

2.30e-06

.0015174


Test: Var(u) = 0

chibar2(01) = 9.40

Prob > chibar2 = 0.0011


.


. xtgls roa npl llr eff lev nii size ggdp inf unr exr inr,igls panels(h) nolog


Cross-sectional time-series FGLS regression


Coefficients: generalized least squares Panels: heteroskedastic Correlation: no autocorrelation


Estimated covariances

=

26

Number of obs =

230

Estimated autocorrelations

=

0

Number of groups =

26

Estimated coefficients

=

12

Obs per group: min =

6




avg =

8.846154




max =

11




Wald chi2(11) =

710.83

Log likelihood

=

924.1284

Prob > chi2 =

0.0000



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


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


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


npl |

-.0600821

.0234091

-2.57

0.010

-.1059631

-.0142012

llr |

-.0803953

.0508784

-1.58

0.114

-.1801152

.0193247

eff |

-.0326638

.0022008

-14.84

0.000

-.0369773

-.0283503

lev |

-.0126982

.0039728

-3.20

0.001

-.0204848

-.0049116

nii |

.003087

.0016904

1.83

0.068

-.000226

.0064001

-.0006132

.0002914

-2.10

0.035

-.0011843

-.0000421

ggdp |

-.0001416

.0004825

-0.29

0.769

-.0010873

.0008041

inf |

-.0002171

.0000876

-2.48

0.013

-.0003889

-.0000454

unr |

-.0001898

.0010021

-0.19

0.850

-.0021539

.0017743

exr |

-2.15e-07

1.74e-07

-1.24

0.216

-5.55e-07

1.26e-07

inr |

.0009886

.0002662

3.71

0.000

.0004668

.0015105

_cons |

.0478218

.0074706

6.40

0.000

.0331796

.062464

size |


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


.


. est sto G22


.


. esttab P22 F22 R22 G22,r2 star(* 0.1 ** 0.05 *** 0.01) brackets nogap


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


(1)

(2)

(3)

(4)

roa

roa

roa

roa


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

npl

-0.0858***

-0.0653**

-0.0757**

-0.0601**


[-2.67]

[-2.01]

[-2.38]

[-2.57]

llr

0.00831

0.0710

0.0286

-0.0804


[0.10]

[0.65]

[0.31]

[-1.58]

eff

-0.0200***

-0.0197***

-0.0197***

-0.0327***


[-7.02]

[-5.96]

[-6.68]

[-14.84]

lev

-0.0193***

-0.0112**

-0.0181***

-0.0127***


[-4.45]

[-2.25]

[-4.13]

[-3.20]

nii

-0.000167

0.00426*

0.000908

0.00309*


[-0.07]

[1.66]

[0.37]

[1.83]

size

-0.00145***

-0.00487***

-0.00173***

-0.000613**


[-3.29]

[-4.13]

[-3.39]

[-2.10]

ggdp

0.00166**

0.00155**

0.00168**

-0.000142


[2.10]

[2.04]

[2.20]

[-0.29]

inf

-0.000481***

-0.000505***

-0.000475***

-0.000217**


[-3.15]

[-3.55]

[-3.25]

[-2.48]

unr

-0.00180

-0.000888

-0.00152

-0.000190


[-0.99]

[-0.53]

[-0.87]

[-0.19]

exr

-0.000000724**

0.000000387

-0.000000617**

-0.000000215


[-2.58]

[0.87]

[-2.17]

[-1.24]

inr

0.00168***

0.00181***

0.00168***

0.000989***


[3.67]

[4.18]

[3.82]

[3.71]

_cons

0.0615***

0.0887***

0.0616***

0.0478***

[5.08] [5.43] [5.11] [6.40]


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


N

230

230

230

230

R-sq

0.535

0.557




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


t statistics in brackets


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

Ngày đăng: 05/12/2022