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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

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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

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