Trang chủ / Vốn Chủ Sở Hữu

Tác động của vốn chủ sở hữu, rủi ro tín dụng đến sự ổn định tài chính của ngân hàng thương mại Việt Nam - 20


RANDOM EFFECTS MODEL


Random-effects GLS regression

Number of obs

=

216

Group variable: id

Number of groups

=

24

R-sq: within

=

0.4378

Obs

per

group:

min

=

9

between

=

0.0122




avg

=

9.0

overall

=

0.1549




max

=

9




Wald chi2(7)

=

130.03

corr(u_i, X)

=

0 (assumed)

Prob > chi2

=

0.0000

Có thể bạn quan tâm!

Xem toàn bộ 169 trang tài liệu này.

Tác động của vốn chủ sở hữu, rủi ro tín dụng đến sự ổn định tài chính của ngân hàng thương mại Việt Nam - 20


lnz

Coef.

Std. Err.


z P>|z|


[95% Conf.

Interval]

size

.0421577

.0392833


1.07 0.283


-.0348362

.1191516

eqta

2.706427

.300044


9.02 0.000


2.118351

3.294502

ltd

.279093

.0920575


3.03 0.002


.0986636

.4595223

roe

.5815009

.2372322


2.45 0.014


.1165342

1.046467

gdp

-3.173713

3.420091


-0.93 0.353


-9.876967

3.529542

inf

-.8791251

.3070083


-2.86 0.004


-1.48085

-.2773999

cre

.0220949

.0251745


0.88 0.380


-.0272461

.0714359

_cons

2.051852

.7426391


2.76 0.006


.5963056

3.507397

sigma_u

.26361028







sigma_e

.22707848







rho

.57403965

(fraction

of

variance due

to

u_i)



HAUSMAN TEST


Coefficients


(b) fe1

(B)

.

(b-B)

Difference

sqrt(diag(V_b-V_B)) S.E.

SIZE

-.1533421

-.0582665

-.0950756

.0914387

EQTA

2.784412

2.394527

.3898853

.433441

LTD

.3598966

.359359

.0005377

.0713883

ROE

-1.001225

-1.037827

.0366015

.2440212

GDP

5.068301

2.212541

2.85576

2.257929

INF

-1.323078

-.9815084

-.3415694

.3590954

CRE

-1.072158

-.761137

-.3110206

.2800944

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

= 3.75

Prob>chi2 = 0.8086


MODIFIED WALD TEST

Breusch and Pagan Lagrangian multiplier test for random effects


lnz[id,t] = Xb + u[id] + e[id,t]


Estimated results:

Var sd = sqrt(Var)


lnz .220037 .469081

e .0515631 .2270751

u .06949 .2636096


Test: Var(u) = 0


chibar2(01) = 261.37 Prob > chibar2 = 0.0000


WOOLDRIDGE TEST

Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation

F( 1, 23) = 14.875

Prob > F = 0.0008

Cross-sectional time-series FGLS regression

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


Estimated

covariances

=

24

Number of obs

=

216

Estimated

autocorrelations

=

0

Number of groups

=

24

Estimated

coefficients

=

8

Time periods

=

9





Wald chi2(7)

=

62.32





Prob > chi2

=

0.0000


lnz

Coef.

Std. Err.

z

P>|z|

[95% Conf.

Interval]

size

.0182613

.0239508

0.76

0.446

-.0286814

.0652041

eqta

2.464614

.5302192

4.65

0.000

1.425403

3.503824

ltd

.3385358

.0857626

3.95

0.000

.1704441

.5066274

roe

.7097366

.4222151

1.68

0.093

-.1177898

1.537263

gdp

-3.688005

3.682989

-1.00

0.317

-10.90653

3.53052

inf

-.9334238

.3443416

-2.71

0.007

-1.608321

-.2585268

cre

-.1158166

.0728402

-1.59

0.112

-.2585808

.0269476

_cons

2.57371

.5295018

4.86

0.000

1.535905

3.611514


.



Estimated

covariances

=

24

Number of obs

=

216

Estimated

autocorrelations

=

0

Number of groups

=

24

Estimated

coefficients

=

9

Time periods

=

9





Wald chi2(8)

=

85.73





Prob > chi2

=

0.0000


lnz

Coef.

Std. Err.

z

P>|z|

[95% Conf.

Interval]

size

.0419644

.0249983

1.68

0.093

-.0070314

.0909602

eqta

4.262651

.9049482

4.71

0.000

2.488985

6.036317

eqta2

-2.851388

1.552827

-1.84

0.066

-5.894873

.1920966

ltd

.3071051

.0821945

3.74

0.000

.1460068

.4682034

roe

.7808059

.4114113

1.90

0.058

-.0255455

1.587157

gdp

-3.328564

3.577966

-0.93

0.352

-10.34125

3.684121

inf

-.8714559

.3351736

-2.60

0.009

-1.528384

-.2145277

cre

-.1205175

.0713157

-1.69

0.091

-.2602937

.0192587

_cons

1.990378

.5624984

3.54

0.000

.8879015

3.092855



.



Estimated

covariances

=

24

Number of obs

=

216

Estimated

autocorrelations

=

0

Number of groups

=

24

Estimated

coefficients

=

10

Time periods

=

9





Wald chi2(9)

=

96.01





Prob > chi2

=

0.0000


lnz

Coef.

Std. Err.

z

P>|z|

[95% Conf.

Interval]

size

.030254

.0251462

1.20

0.229

-.0190317

.0795397

eqta

4.072566

.8997567

4.53

0.000

2.309075

5.836056

eqta2

-2.497539

1.560521

-1.60

0.109

-5.556103

.5610254

ltd

.3348959

.0817167

4.10

0.000

.1747342

.4950576

roe

.9120701

.4097033

2.23

0.026

.1090663

1.715074

gdp

-8.03854

4.047036

-1.99

0.047

-15.97059

-.1064944

inf

-.6649901

.3399631

-1.96

0.050

-1.331306

.0013253

cre

-.0693354

.0743565

-0.93

0.351

-.2150715

.0764007

khunghoang

-.1537518

.0619094

-2.48

0.013

-.275092

-.0324117

_cons

2.461848

.5896103

4.18

0.000

1.306233

3.617463


.



Estimated

covariances

=

24

Number of obs

=

216

Estimated

autocorrelations

=

0

Number of groups

=

24

Estimated

coefficients

=

10

Time periods

=

9





Wald chi2(9)

=

102.81





Prob > chi2

=

0.0000


lnz

Coef.

Std. Err.

z

P>|z|

[95% Conf.

Interval]

size

.0425786

.0247657

1.72

0.086

-.0059612

.0911184

eqta

4.568761

.8960716

5.10

0.000

2.812493

6.325029

eqta2

-1.729014

1.611795

-1.07

0.283

-4.888073

1.430045

ltd

.3538981

.0820256

4.31

0.000

.193131

.5146653

roe

.7877247

.4069262

1.94

0.053

-.009836

1.585285

gdp

-6.752806

3.775256

-1.79

0.074

-14.15217

.6465601

inf

-.6729156

.3367356

-2.00

0.046

-1.332905

-.012926

cre

-.0646742

.0740766

-0.87

0.383

-.2098618

.0805133

khunghoangeqta

-1.13509

.4127006

-2.75

0.006

-1.943968

-.3262117

_cons

2.090462

.5578487

3.75

0.000

.9970984

3.183825



.


FIXED EFFECTS MODEL


. xtreg lnz banksize llp loanta cir

roe

gdp

npl inf,

fe


Fixed-effects (within) regression



Number

of obs

=

216

Group variable: id



Number

of groups

=

24

R-sq: within = 0.3442



Obs per

group: min

=

9

between = 0.0317




avg

=

9.0

overall = 0.0015




max

=

9




F(8,184

)

=

12.07

corr(u_i, Xb) = -0.4926



Prob >

F

=

0.0000



lnz

Coef.

Std. Err.


t P>|t|


[95% Conf.

Interval]

banksize

-.1650859

.0418999


-3.94 0.000


-.2477518

-.08242

llp

-.0134528

.2016315


-0.07 0.947


-.4112597

.3843541

loanta

-.1356525

.2044858


-0.66 0.508


-.5390909

.2677859

cir

-1.13897

.3998413


-2.85 0.005


-1.927833

-.3501069

roe

.4476776

.3110988


1.44 0.152


-.1661019

1.061457

gdp

-5.012935

3.86494


-1.30 0.196


-12.63823

2.612362

npl

-4.148806

1.874085


-2.21 0.028


-7.846266

-.4513473

inf

-1.110172

.3311887


-3.35 0.001


-1.763587

-.4567562

_cons

7.561158

.6834501


11.06 0.000


6.212751

8.909564

sigma_u

.55489279







sigma_e

.23584174







rho

.84699548

(fraction

of

variance due

to

u_i)


F test that all u_i=0: F(23, 184) = 23.96 Prob > F = 0.0000


. xttest3


Modified Wald test for groupwise heteroskedasticity in fixed effect regression model


H0: sigma(i)^2 = sigma^2 for all i


chi2 (24) = 316.38

Prob>chi2 = 0.0000

. xtserial lnz banksize llp loanta cir roe gdp npl inf


Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation

F( 1, 23) = 36.085

Prob > F = 0.0000

PHƯƠNG PHÁP BÌNH PHƯƠNG TỐI THIỂU TỔNG QUÁT KHẢ THI

. xtgls lnz banksize llp loanta cir roe gdp npl inf, cor(ar1) panels(hetero)

Cross-sectional time-series FGLS regression


Coefficients: generalized least squares Panels: heteroskedastic

Correlation: common AR(1) coefficient for all panels (0.7803)


Estimated

covariances

=

24

Number of obs

=

216

Estimated

autocorrelations

=

1

Number of groups

=

24

Estimated

coefficients

=

9

Time periods

=

9





Wald chi2(8)

=

60.63





Prob > chi2

=

0.0000



lnz

Coef.

Std. Err.

z

P>|z|

[95% Conf.

Interval]

banksize

-.1032217

.0308784

-3.34

0.001

-.1637423

-.042701

llp

-.0112449

.0867974

-0.13

0.897

-.1813647

.158875

loanta

.2536402

.1874519

1.35

0.176

-.1137588

.6210393

cir

.1321644

.2470444

0.53

0.593

-.3520337

.6163625

roe

.9313156

.3104374

3.00

0.003

.3228695

1.539762

gdp

-7.680243

2.605883

-2.95

0.003

-12.78768

-2.572807

npl

-4.836314

1.295788

-3.73

0.000

-7.376012

-2.296617

inf

-.2859408

.2125008

-1.35

0.178

-.7024347

.1305531

_cons

5.253815

.5874777

8.94

0.000

4.10238

6.405251


PHƯƠNG PHÁP GMM

..... Xem trang tiếp theo?
⇦ Trang trước - Trang tiếp theo ⇨

Ngày đăng: 06/12/2022