Bên cạnh đó, mặc dù Chính phủ đã ban hành nhiều văn bản quy phạm pháp
luật như Nghị định 87/2018/NĐ-CP Quy định về kinh doanh khí, Nghị định số
08/2018/NĐ-CP sửa đổi một số Nghị định liên quan đến điều kiện đầu tư kinh
doanh thuộc phạm vi quản lý Nhà nước của Bộ Công thương nhưng thời gian
thay đổi các Nghị định thường ngắn, thậm chí có những văn bản ban hành chỉ
sau khoảng thời gian từ 2 đến 3 năm lại có sự điều chỉnh. Điều này đã khiến cho
việc đầu tư của các DN gặp nhiều khó khăn do thời gian hoàn thiện các thủ tục
hành chính bị kéo dài. Chẳng hạn như Nghị định 08/2018/NĐ-CP đã bãi bỏ điều
kiện được cấp Giấy chứng nhận cửa hàng đủ điều kiện bán lẻ xăng dầu quy định
tại Khoản 1, Điều 24 Nghị định số 83/2014/NĐ-CP là: “Địa điểm phải phù hợp
với quy hoạch đã được cấp có thẩm quyền phê duyệt”. Điều này mặc dù đã gỡ
khó cho DN thương mại dầu khí khi có thể mở rộng quy mô kinh doanh nhưng
có thể phá vỡ quy hoạch tổng thể về vị trí kinh doanh sản phẩm dầu khí tại các
địa phương đã được ban hành
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G SIZE RISK
Durbin-Wu-Hausman chi-sq test: 0.10155 Chi-sq(1) P-value = 0.74998
Wu-Hausman F test: 0.09572 F(1,146) P-value = 0.75747
H0: Regressor is exogenous
Tests of endogeneity of: SIZE
. ivendog SIZE
Instruments: CR GOV GROW PROF TANG RISK L.SIZE
Instrumented: SIZE
_cons .4642752 .1997888 2.32 0.022 .0694459 .8591044
RISK -.0599679 .2570564 -0.23 0.816 -.5679713 .4480356
TANG .1207111 .0449377 2.69 0.008 .0319037 .2095185
PROF .1595431 .0882252 1.81 0.073 -.0148105 .3338967
GROW -.0103407 .0281005 -0.37 0.713 -.0658739 .0451925
GOV .0460423 .0334059 1.38 0.170 -.0199757 .1120602
CR -.0096598 .0045069 -2.14 0.034 -.0185665 -.0007531
SIZE -.0153296 .0072612 -2.11 0.036 -.0296795 -.0009798
LLEV Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total 1.13825023 154 .007391235 Root MSE = .08097
Adj R-squared = 0.1130
Residual .963772604 147 .006556276 R-squared = 0.1533
Model .174477623 7 .024925375 Prob > F = 0.0008
F( 7, 147) = 3.78
Source SS df MS Number of obs = 155
Instrumental variables (2SLS) regression
. ivreg LLEV CR GOV GROW PROF TANG (SIZE=l.SIZE) RISK
+ Kết quả kiểm tra với biến độc lập TANG
Do P-value = 0,32695 lớn hơn 0,05 nên biến TANG là biến ngoại sinh.
+ Kết quả kiểm tra với biến độc lập RISK
Do P-value = 1,000 lớn hơn 0,05 nên biến ZSCORE là biến ngoại sinh.
Durbin-Wu-Hausman chi-sq test: 0.96093 Chi-sq(1) P-value = 0.32695
Wu-Hausman F test: 0.91078 F(1,146) P-value = 0.34148
H0: Regressor is exogenous
Tests of endogeneity of: TANG
. ivendog TANG
Instruments: CR GOV GROW PROF SIZE RISK L.TANG
Instrumented: TANG
_cons .493511 .2009112 2.46 0.015 .0964636 .8905584
RISK -.0788931 .2577057 -0.31 0.760 -.5881796 .4303934
SIZE -.0162762 .0072873 -2.23 0.027 -.0306777 -.0018747
PROF .1669984 .0885129 1.89 0.061 -.0079238 .3419206
GROW -.0117185 .0281449 -0.42 0.678 -.0673394 .0439025
GOV .0478409 .0333785 1.43 0.154 -.0181227 .1138045
CR -.0098837 .0045142 -2.19 0.030 -.0188047 -.0009626
TANG .1041232 .0480704 2.17 0.032 .0091249 .1991215
LLEV Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total 1.13825023 154 .007391235 Root MSE = .08101
Adj R-squared = 0.1122
Residual .96462838 147 .006562098 R-squared = 0.1525
Model .173621847 7 .024803121 Prob > F = 0.0019
F( 7, 147) = 3.44
Source SS df MS Number of obs = 155
Instrumental variables (2SLS) regression
. ivreg LLEV CR GOV GROW PROF (TANG=l.TANG) SIZE RISK
Durbin-Wu-Hausman chi-sq test: -0.00000 Chi-sq(1) P-value = 1.00000
Wu-Hausman F test: -0.00000 F(1,146) P-value = 1.00000
H0: Regressor is exogenous
Tests of endogeneity of: RISK
. ivendog RISK
Instruments: CR GOV GROW PROF TANG SIZE L.RISK
Instrumented: RISK
_cons .4690885 .1991854 2.36 0.020 .0754515 .8627254
SIZE -.0155051 .0072392 -2.14 0.034 -.0298114 -.0011988
TANG .1203908 .0449258 2.68 0.008 .031607 .2091746
PROF .1602796 .0881931 1.82 0.071 -.0140106 .3345697
GROW -.0104176 .0280994 -0.37 0.711 -.0659485 .0451133
GOV .046685 .0333416 1.40 0.164 -.0192058 .1125758
CR -.0096722 .0045067 -2.15 0.034 -.0185785 -.0007659
RISK -.0619362 .2569777 -0.24 0.810 -.569784 .4459116
LLEV Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total 1.13825023 154 .007391235 Root MSE = .08097
Adj R-squared = 0.1130
Residual .963768752 147 .00655625 R-squared = 0.1533
Model .174481475 7 .024925925 Prob > F = 0.0008
F( 7, 147) = 3.80
Source SS df MS Number of obs = 155
Instrumental variables (2SLS) regression
. ivreg LLEV CR GOV GROW PROF TANG SIZE (RISK=l.RISK)
Phụ lục 13: Kết quả kiểm định tác động tuyến tính của LEV tới tỷ suất
sinh lời VCSH (ROE) (mô hình (4))
- Thống kê mô tả các biến trong mô hình
- Bảng mô tả hệ số tương quan của mô hình (4)
- Mô hình OLS
- Kiểm định hiện tượng đa cộng tuyến
LLEV2 186 .0108065 .0276444 0 .18
SLEV2 186 .2254839 .1742475 0 .8
LEV2 186 .2845086 .1900569 .0044 .8527
ROE 186 .0793661 .1272789 -.5084 .4152
Variable Obs Mean Std. Dev. Min Max
SIZE 0.1729 -0.0595 0.7754 0.0030 -0.2616 1.0000
TANG 0.0213 -0.1405 -0.2193 -0.0766 1.0000
GROW 0.1756 -0.0968 -0.0180 1.0000
GOV 0.0225 0.0612 1.0000
CR -0.7244 1.0000
LEV 1.0000
LEV CR GOV GROW TANG SIZE
_cons -1.243517 .2086465 -5.96 0.000 -1.65524 -.8317939
SIZE .0506454 .007741 6.54 0.000 .03537 .0659208
TANG .1371032 .0532896 2.57 0.011 .0319464 .2422599
GROW .1532178 .0344034 4.45 0.000 .0853295 .2211062
GOV -.1354258 .0388589 -3.49 0.001 -.2121064 -.0587453
CR .0013873 .0075689 0.18 0.855 -.0135483 .016323
LEV -.1481903 .0622398 -2.38 0.018 -.2710084 -.0253723
ROE Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total 2.99698509 185 .016199919 Root MSE = .11017
Adj R-squared = 0.2508
Residual 2.17265023 179 .012137711 R-squared = 0.2751
Model .82433486 6 .137389143 Prob > F = 0.0000
F( 6, 179) = 11.32
Source SS df MS Number of obs = 186
Mean VIF 1.99
GROW 1.04 0.958980
TANG 1.12 0.895903
CR 2.19 0.456400
LEV 2.26 0.442695
GOV 2.60 0.384540
SIZE 2.74 0.364521
Variable VIF 1/VIF
- Kiểm định hiện tượng tự tương quan
- Kiểm định hiện tượng phương sai thay đổi
- Mô hình FEM
Prob > F = 0.0013
F( 1, 30) = 12.672
H0: no first-order autocorrelation
Wooldridge test for autocorrelation in panel data
Total 102.14 33 0.0000
Kurtosis 2.73 1 0.0982
Skewness 24.51 6 0.0004
Heteroskedasticity 74.90 26 0.0000
Source chi2 df p
Cameron & Trivedi's decomposition of IM-test
Prob > chi2 = 0.0000
chi2(26) = 74.90
against Ha: unrestricted heteroskedasticity
White's test for Ho: homoskedasticity
F test that all u_i=0: F(30, 150) = 7.43 Prob > F = 0.0000
rho .61683918 (fraction of variance due to u_i)
sigma_e .07888088
sigma_u .10008458
_cons -1.311814 .7293103 -1.80 0.074 -2.752862 .1292342
SIZE .0545053 .0267787 2.04 0.044 .0015932 .1074174
TANG .0981707 .1344986 0.73 0.467 -.1675858 .3639273
GROW .1055284 .0326223 3.23 0.001 .0410699 .1699869
GOV 0 (omitted)
CR -.0016247 .0090242 -0.18 0.857 -.0194557 .0162062
LEV -.2315761 .0927601 -2.50 0.014 -.4148613 -.0482908
ROE Coef. Std. Err. t P>|t| [95% Conf. Interval]
corr(u_i, Xb) = -0.4058 Prob > F = 0.0044
F(5,150) = 3.58
overall = 0.1860 max = 6
between = 0.2394 avg = 6.0
R-sq: within = 0.1066 Obs per group: min = 6
Group variable: MACK Number of groups = 31
Fixed-effects (within) regression Number of obs = 186
- Mô hình REM
- Kiểm định Hausman
rho .53122635 (fraction of variance due to u_i)
sigma_e .07888088
sigma_u .08397112
_cons -1.239388 .3617273 -3.43 0.001 -1.948361 -.5304155
SIZE .0516253 .0134859 3.83 0.000 .0251934 .0780573
TANG .1248486 .0849323 1.47 0.142 -.0416157 .291313
GROW .1132394 .030173 3.75 0.000 .0541015 .1723773
GOV -.1398447 .0715125 -1.96 0.051 -.2800066 .0003172
CR -.0010048 .007997 -0.13 0.900 -.0166787 .0146691
LEV -.1947213 .0747643 -2.60 0.009 -.3412567 -.048186
ROE Coef. Std. Err. z P>|z| [95% Conf. Interval]
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
Wald chi2(6) = 32.15
overall = 0.2652 max = 6
between = 0.3511 avg = 6.0
R-sq: within = 0.1046 Obs per group: min = 6
Group variable: MACK Number of groups = 31
Random-effects GLS regression Number of obs = 186
Prob>chi2 = 0.8427
= 2.05
chi2(5) = (b-B)'[(V_b-V_B)^(-1)](b-B)
Test: Ho: difference in coefficients not systematic
B = inconsistent under Ha, efficient under Ho; obtained from xtreg
b = consistent under Ho and Ha; obtained from xtreg
SIZE .0545053 .0516253 .0028799 .023135
TANG .0981707 .1248486 -.0266779 .1042899
GROW .1055284 .1132394 -.0077109 .0124018
CR -.0016247 -.0010048 -.0006199 .0041813
LEV -.2315761 -.1947213 -.0368548 .0549067
FEM REM Difference S.E.
(b) (B) (b-B) sqrt(diag(V_b-V_B))
Coefficients
- Kiểm định phương sai thay đổi
- Mô hình GLS có hiệu chỉnh
Prob > chibar2 = 0.0000
chibar2(01) = 102.62
Test: Var(u) = 0
u .0070511 .0839711
e .0062222 .0788809
ROE .0161999 .1272789
Var sd = sqrt(Var)
Estimated results:
ROE[MACK,t] = Xb + u[MACK] + e[MACK,t]
Breusch and Pagan Lagrangian multiplier test for random effects
_cons -.8644895 .1836624 -4.71 0.000 -1.224461 -.5045177
SIZE .0381798 .0069627 5.48 0.000 .0245332 .0518264
TANG .1331902 .0380313 3.50 0.000 .0586504 .2077301
GROW .0380207 .0179589 2.12 0.034 .002822 .0732195
GOV -.0877332 .0307049 -2.86 0.004 -.1479138 -.0275526
CR -.007694 .0059494 -1.29 0.196 -.0193547 .0039667
LEV -.1817025 .0473463 -3.84 0.000 -.2744997 -.0889054
ROE Coef. Std. Err. z P>|z| [95% Conf. Interval]
Prob > chi2 = 0.0000
Wald chi2(6) = 37.17
Estimated coefficients = 7 Time periods = 6
Estimated autocorrelations = 1 Number of groups = 31
Estimated covariances = 31 Number of obs = 186
Correlation: common AR(1) coefficient for all panels (0.4993)
Panels: heteroskedastic
Coefficients: generalized least squares
Cross-sectional time-series FGLS regression
- Mô hình GMM
Difference (null H = exogenous): chi2(3) = 5.42 Prob > chi2 = 0.144
Sargan test excluding group: chi2(12) = 18.39 Prob > chi2 = 0.104
iv(CR GOV TANG)
Difference (null H = exogenous): chi2(9) = 17.48 Prob > chi2 = 0.042
Sargan test excluding group: chi2(6) = 6.33 Prob > chi2 = 0.387
GMM instruments for levels
Difference-in-Sargan tests of exogeneity of instrument subsets:
(Not robust, but not weakened by many instruments.)
Sargan test of overid. restrictions: chi2(15) = 23.81 Prob > chi2 = 0.068
Arellano-Bond test for AR(2) in first differences: z = -1.02 Pr > z = 0.308
Arellano-Bond test for AR(1) in first differences: z = -2.56 Pr > z = 0.011
DL.(L.LEV L.GROW L.SIZE)
GMM-type (missing=0, separate instruments for each period unless collapsed)
_cons
CR GOV TANG
Standard
Instruments for levels equation
L2.(L.LEV L.GROW L.SIZE)
GMM-type (missing=0, separate instruments for each period unless collapsed)
D.(CR GOV TANG)
Standard
Instruments for first differences equation
_cons -1.508682 .4684399 -3.22 0.001 -2.426807 -.5905567
SIZE .0732086 .0179039 4.09 0.000 .0381177 .1082996
TANG .138094 .0480898 2.87 0.004 .0438397 .2323483
GROW .3054449 .0742103 4.12 0.000 .1599953 .4508945
GOV -.2039809 .0711425 -2.87 0.004 -.3434176 -.0645442
CR -.0416587 .0170653 -2.44 0.015 -.0751061 -.0082114
LEV -.6975006 .2090843 -3.34 0.001 -1.107298 -.2877029
ROE Coef. Std. Err. z P>|z| [95% Conf. Interval]
Prob > chi2 = 0.000 max = 6
Wald chi2(6) = 48.90 avg = 6.00
Number of instruments = 22 Obs per group: min = 6
Time variable : YEAR Number of groups = 31
Group variable: MACK Number of obs = 186
Dynamic panel-data estimation, one-step system GMM
- Kiểm tra hiện tượng nội sinh với biến phụ thuộc ROE
+ Kết quả kiểm tra với biến độc lập LEV
Do P-value = 0,00066 nhỏ hơn 0,05 nên biến LEV là biến nội sinh.
+ Kết quả kiểm tra với biến độc lập CR
Do P-value = 0,05834 lớn hơn 0,05 nên biến CR là biến ngoại sinh.
Durbin-Wu-Hausman chi-sq test: 11.58629 Chi-sq(1) P-value = 0.00066
Wu-Hausman F test: 11.87603 F(1,147) P-value = 0.00074
H0: Regressor is exogenous
Tests of endogeneity of: LEV
. ivendog LEV
Instruments: CR GOV GROW TANG SIZE L.LEV
Instrumented: LEV
_cons -1.36058 .2283246 -5.96 0.000 -1.811778 -.9093828
SIZE .0520984 .0084861 6.14 0.000 .0353288 .0688679
TANG .1452463 .0574821 2.53 0.013 .0316545 .2588381
GROW .1147038 .0371759 3.09 0.002 .0412396 .188168
GOV -.1410015 .0423846 -3.33 0.001 -.2247588 -.0572443
CR .0086868 .0086549 1.00 0.317 -.0084164 .02579
LEV -.0161248 .0820033 -0.20 0.844 -.1781734 .1459239
ROE Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total 2.40801219 154 .015636443 Root MSE = .1088
Adj R-squared = 0.2430
Residual 1.75190838 148 .011837219 R-squared = 0.2725
Model .656103811 6 .109350635 Prob > F = 0.0000
F( 6, 148) = 9.06
Source SS df MS Number of obs = 155
Instrumental variables (2SLS) regression
. ivreg ROE (LEV =l.LEV) CR GOV GROW TANG SIZE
Durbin-Wu-Hausman chi-sq test: 3.58399 Chi-sq(1) P-value = 0.05834
Wu-Hausman F test: 3.47947 F(1,147) P-value = 0.06413
H0: Regressor is exogenous
Tests of endogeneity of: CR
. ivendog CR
Instruments: LEV GOV GROW TANG SIZE L.CR
Instrumented: CR
_cons -1.266362 .230391 -5.50 0.000 -1.721643 -.8110813
SIZE .0545279 .0083832 6.50 0.000 .0379617 .0710942
TANG .1296265 .0575181 2.25 0.026 .0159636 .2432893
GROW .1263626 .0367734 3.44 0.001 .0536939 .1990312
GOV -.1442231 .0420839 -3.43 0.001 -.227386 -.0610601
LEV -.2476965 .0806151 -3.07 0.003 -.4070017 -.0883912
CR -.0166686 .0104952 -1.59 0.114 -.0374083 .0040712
ROE Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total 2.40801219 154 .015636443 Root MSE = .10801
Adj R-squared = 0.2539
Residual 1.72671793 148 .011667013 R-squared = 0.2829
Model .681294262 6 .113549044 Prob > F = 0.0000
F( 6, 148) = 10.59
Source SS df MS Number of obs = 155
Instrumental variables (2SLS) regression
. ivreg ROE LEV (CR=l.CR) GOV GROW TANG SIZE
+ Kết quả kiểm tra với biến độc lập GOV
Do P-value = 1,0 lớn hơn 0,05 nên biến GOV là biến ngoại sinh.
+ Kết quả kiểm tra với biến độc lập GROW
Do P-value = 0,01532 nhỏ hơn 0,05 nên biến GROW là biến nội sinh.
Durbin-Wu-Hausman chi-sq test: 0.00000 Chi-sq(1) P-value = 1.00000
Wu-Hausman F test: 0.00000 F(1,147) P-value = 1.00000
H0: Regressor is exogenous
Tests of endogeneity of: GOV
. ivendog GOV
Instruments: LEV CR GROW TANG SIZE L.GOV
Instrumented: GOV
_cons -1.342513 .2244345 -5.98 0.000 -1.786023 -.8990031
SIZE .0549644 .0082993 6.62 0.000 .0385639 .0713649
TANG .1428602 .0565148 2.53 0.013 .0311801 .2545403
GROW .1252568 .0364153 3.44 0.001 .0532957 .1972179
CR -.0036647 .007657 -0.48 0.633 -.0187959 .0114664
LEV -.1666226 .0667371 -2.50 0.014 -.2985033 -.0347419
GOV -.1486345 .0416115 -3.57 0.000 -.2308639 -.0664051
ROE Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total 2.40801219 154 .015636443 Root MSE = .10698
Adj R-squared = 0.2681
Residual 1.69371098 148 .011443993 R-squared = 0.2966
Model .714301213 6 .119050202 Prob > F = 0.0000
F( 6, 148) = 10.40
Source SS df MS Number of obs = 155
Instrumental variables (2SLS) regression
. ivreg ROE LEV CR (GOV =l.GOV) GROW TANG SIZE
Durbin-Wu-Hausman chi-sq test: 5.87929 Chi-sq(1) P-value = 0.01532
Wu-Hausman F test: 5.79568 F(1,147) P-value = 0.01731
H0: Regressor is exogenous
Tests of endogeneity of: GROW
. ivendog GROW
Instruments: LEV CR GOV TANG SIZE L.GROW
Instrumented: GROW
_cons -1.350566 .2795867 -4.83 0.000 -1.903064 -.7980688
SIZE .0561461 .0103563 5.42 0.000 .0356808 .0766113
TANG .1734984 .0722138 2.40 0.018 .0307952 .3162016
GOV -.149723 .0518342 -2.89 0.004 -.2521538 -.0472922
CR -.0049016 .0095596 -0.51 0.609 -.0237926 .0139894
LEV -.2441052 .0925711 -2.64 0.009 -.427037 -.0611734
GROW .4542529 .1788067 2.54 0.012 .100909 .8075968
ROE Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total 2.40801219 154 .015636443 Root MSE = .13325
Adj R-squared = .
Residual 2.62780733 148 .017755455 R-squared = .
Model -.219795141 6 -.036632523 Prob > F = 0.0000
F( 6, 148) = 6.51
Source SS df MS Number of obs = 155
Instrumental variables (2SLS) regression
. ivreg ROE LEV CR GOV (GROW=l.GROW) TANG SIZE
+ Kết quả kiểm tra với biến độc lập SIZE
Do P-value = 0,00119 nhỏ hơn 0,05 nên biến SIZE là biến nội sinh.
+ Kết quả kiểm tra với biến độc lập TANG
Do P-value = 0,29057 lớn hơn 0,05 nên biến TANG là biến ngoại sinh.
Durbin-Wu-Hausman chi-sq test: 10.50164 Chi-sq(1) P-value = 0.00119
Wu-Hausman F test: 10.68345 F(1,147) P-value = 0.00135
H0: Regressor is exogenous
Tests of endogeneity of: SIZE
. ivendog SIZE
Instruments: LEV CR GOV GROW TANG L.SIZE
Instrumented: SIZE
_cons -1.293263 .2250109 -5.75 0.000 -1.737913 -.8486143
TANG .1408005 .0565281 2.49 0.014 .029094 .2525069
GROW .1251282 .0364215 3.44 0.001 .0531548 .1971015
GOV -.1414161 .0416809 -3.39 0.001 -.2237827 -.0590494
CR -.0037179 .0076583 -0.49 0.628 -.0188516 .0114159
LEV -.1643319 .0667524 -2.46 0.015 -.2962427 -.0324211
SIZE .0531041 .0083215 6.38 0.000 .0366598 .0695484
ROE Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total 2.40801219 154 .015636443 Root MSE = .10699
Adj R-squared = 0.2679
Residual 1.69428595 148 .011447878 R-squared = 0.2964
Model .713726242 6 .118954374 Prob > F = 0.0000
F( 6, 148) = 9.88
Source SS df MS Number of obs = 155
Instrumental variables (2SLS) regression
. ivreg ROE LEV CR GOV GROW TANG (SIZE=l.SIZE)
Durbin-Wu-Hausman chi-sq test: 1.11697 Chi-sq(1) P-value = 0.29057
Wu-Hausman F test: 1.06701 F(1,147) P-value = 0.30332
H0: Regressor is exogenous
Tests of endogeneity of: TANG
. ivendog TANG
Instruments: LEV CR GOV GROW SIZE L.TANG
Instrumented: TANG
_cons -1.323808 .225272 -5.88 0.000 -1.768973 -.8786426
SIZE .0544563 .0083179 6.55 0.000 .0380191 .0708934
GROW .124434 .0364414 3.41 0.001 .0524213 .1964468
GOV -.1487569 .0416316 -3.57 0.000 -.231026 -.0664879
CR -.0040622 .0076703 -0.53 0.597 -.0192197 .0110952
LEV -.1670931 .0667706 -2.50 0.013 -.29904 -.0351462
TANG .1215807 .0601827 2.02 0.045 .0026523 .2405091
ROE Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total 2.40801219 154 .015636443 Root MSE = .10703
Adj R-squared = 0.2674
Residual 1.69533344 148 .011454956 R-squared = 0.2960
Model .712678749 6 .118779791 Prob > F = 0.0000
F( 6, 148) = 10.01
Source SS df MS Number of obs = 155
Instrumental variables (2SLS) regression
. ivreg ROE LEV CR GOV GROW (TANG=l.TANG) SIZE
Phụ lục 14: Kết quả kiểm định tác động tuyến tính của SLEV tới tỷ suất
sinh lời VCSH (ROE)
- Mô hình OLS
- Kiểm định hiện tượng đa cộng tuyến
- Kiểm định hiện tượng phương sai thay đổi
Do p-value = 0,0001 nhỏ hơn 0,05 => Có hiện tượng phương sai thay đổi
_cons -1.307799 .2034466 -6.43 0.000 -1.709261 -.9063362
SIZE .0546388 .0076362 7.16 0.000 .0395703 .0697074
TANG .1009444 .0529087 1.91 0.058 -.0034607 .2053495
GROW .1578483 .0333746 4.73 0.000 .0919901 .2237066
GOV -.1474352 .0380125 -3.88 0.000 -.2224456 -.0724248
CR -.0040398 .0068984 -0.59 0.559 -.0176526 .0095729
SLEV -.2332051 .0584148 -3.99 0.000 -.3484754 -.1179349
ROE Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total 2.99698509 185 .016199919 Root MSE = .10723
Adj R-squared = 0.2902
Residual 2.05819985 179 .011498323 R-squared = 0.3132
Model .938785241 6 .156464207 Prob > F = 0.0000
F( 6, 179) = 13.61
Source SS df MS Number of obs = 186
Mean VIF 1.94
GROW 1.04 0.965334
TANG 1.16 0.860973
CR 1.92 0.520477
SLEV 2.05 0.488232
GOV 2.63 0.380686
SIZE 2.82 0.354861
Variable VIF 1/VIF
Total 99.42 33 0.0000
Kurtosis 2.37 1 0.1234
Skewness 28.19 6 0.0001
Heteroskedasticity 68.85 26 0.0000
Source chi2 df p
Cameron & Trivedi's decomposition of IM-test
Prob > chi2 = 0.0000
chi2(26) = 68.85
against Ha: unrestricted heteroskedasticity
White's test for Ho: homoskedasticity
- Kiểm định hiện tượng tự tương quan
Do p-value = 0,0014 nhỏ hơn 0,05 => Có hiện tượng tự tương quan
- Mô hình FEM
- Mô hình REM
Prob > F = 0.0014
F( 1, 30) = 12.345
H0: no first-order autocorrelation
Wooldridge test for autocorrelation in panel data
F test that all u_i=0: F(30, 150) = 7.58 Prob > F = 0.0000
rho .66234078 (fraction of variance due to u_i)
sigma_e .07689913
sigma_u .10770177
_cons -1.505584 .7138739 -2.11 0.037 -2.916131 -.0950368
SIZE .0644429 .0262871 2.45 0.015 .0125021 .1163837
TANG -.0084231 .1358991 -0.06 0.951 -.2769469 .2601006
GROW .1195542 .0320525 3.73 0.000 .0562215 .1828869
GOV 0 (omitted)
CR -.0095351 .0091316 -1.04 0.298 -.0275782 .0085081
SLEV -.3697677 .0974804 -3.79 0.000 -.5623798 -.1771557
ROE Coef. Std. Err. t P>|t| [95% Conf. Interval]
corr(u_i, Xb) = -0.5327 Prob > F = 0.0002
F(5,150) = 5.33
overall = 0.2051 max = 6
between = 0.2553 avg = 6.0
R-sq: within = 0.1509 Obs per group: min = 6
Group variable: MACK Number of groups = 31
Fixed-effects (within) regression Number of obs = 186
rho .52997541 (fraction of variance due to u_i)
sigma_e .07689913
sigma_u .08165616
_cons -1.338968 .3541025 -3.78 0.000 -2.032997 -.6449402
SIZE .0574115 .0132793 4.32 0.000 .0313846 .0834385
TANG .0638489 .0848942 0.75 0.452 -.1025407 .2302386
GROW .1250699 .0295484 4.23 0.000 .0671561 .1829838
GOV -.1594924 .0699865 -2.28 0.023 -.2966634 -.0223215
CR -.0073305 .0078254 -0.94 0.349 -.0226679 .008007
SLEV -.3023243 .0755584 -4.00 0.000 -.450416 -.1542326
ROE Coef. Std. Err. z P>|z| [95% Conf. Interval]
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
Wald chi2(6) = 42.68
overall = 0.3016 max = 6
between = 0.3850 avg = 6.0
R-sq: within = 0.1468 Obs per group: min = 6
Group variable: MACK Number of groups = 31
Random-effects GLS regression Number of obs = 186
- Kiểm định Hausman
Do p-value = 0,7467 lớn hơn 0,05 => Lựa chọn là mô hình REM.
- Kiểm định phương sai thay đổi
Do p-value = 0,0000 nhỏ hơn 0,05 => Có hiện tượng phương sai thay đổi
- Mô hình GLS
Prob>chi2 = 0.7467
= 2.70
chi2(5) = (b-B)'[(V_b-V_B)^(-1)](b-B)
Test: Ho: difference in coefficients not systematic
B = inconsistent under Ha, efficient under Ho; obtained from xtreg
b = consistent under Ho and Ha; obtained from xtreg
SIZE .0644429 .0574115 .0070314 .0226864
TANG -.0084231 .0638489 -.0722721 .1061204
GROW .1195542 .1250699 -.0055158 .0124198
CR -.0095351 -.0073305 -.0022046 .0047064
SLEV -.3697677 -.3023243 -.0674434 .0615902
FEM REM Difference S.E.
(b) (B) (b-B) sqrt(diag(V_b-V_B))
Coefficients
Prob > chibar2 = 0.0000
chibar2(01) = 100.80
Test: Var(u) = 0
u .0066677 .0816562
e .0059135 .0768991
ROE .0161999 .1272789
Var sd = sqrt(Var)
Estimated results:
ROE[MACK,t] = Xb + u[MACK] + e[MACK,t]
Breusch and Pagan Lagrangian multiplier test for random effects
_cons -.9263552 .1724005 -5.37 0.000 -1.264254 -.5884563
SIZE .0407286 .0066496 6.12 0.000 .0276956 .0537617
TANG .0701348 .0349898 2.00 0.045 .001556 .1387136
GROW .0421343 .018268 2.31 0.021 .0063297 .0779388
GOV -.0994337 .0305826 -3.25 0.001 -.1593744 -.039493
CR -.0071516 .0046994 -1.52 0.128 -.0163623 .002059
SLEV -.2016365 .0409922 -4.92 0.000 -.2819797 -.1212933
ROE Coef. Std. Err. z P>|z| [95% Conf. Interval]
Prob > chi2 = 0.0000
Wald chi2(6) = 48.56
Estimated coefficients = 7 Time periods = 6
Estimated autocorrelations = 1 Number of groups = 31
Estimated covariances = 31 Number of obs = 186
Correlation: common AR(1) coefficient for all panels (0.4734)
Panels: heteroskedastic
Coefficients: generalized least squares
Cross-sectional time-series FGLS regression
- Mô hình GMM
Difference (null H = exogenous): chi2(3) = 12.80 Prob > chi2 = 0.005
Sargan test excluding group: chi2(18) = 29.56 Prob > chi2 = 0.042
iv(CR GOV TANG)
Difference (null H = exogenous): chi2(9) = 31.63 Prob > chi2 = 0.000
Sargan test excluding group: chi2(12) = 10.73 Prob > chi2 = 0.552
GMM instruments for levels
Difference-in-Sargan tests of exogeneity of instrument subsets:
(Not robust, but not weakened by many instruments.)
Sargan test of overid. restrictions: chi2(21) = 42.37 Prob > chi2 = 0.004
Arellano-Bond test for AR(2) in first differences: z = -1.05 Pr > z = 0.293
Arellano-Bond test for AR(1) in first differences: z = -2.13 Pr > z = 0.033
DL.(L.SLEV L.GROW L.SIZE)
GMM-type (missing=0, separate instruments for each period unless collapsed)
_cons
CR GOV TANG
Standard
Instruments for levels equation
L(2/3).(L.SLEV L.GROW L.SIZE)
GMM-type (missing=0, separate instruments for each period unless collapsed)
D.(CR GOV TANG)
Standard
Instruments for first differences equation
_cons -.7963793 .3274357 -2.43 0.015 -1.438141 -.1546171
SIZE .043875 .0116175 3.78 0.000 .021105 .0666449
TANG -.0016645 .0505796 -0.03 0.974 -.1007987 .0974698
GROW .2290531 .0553453 4.14 0.000 .1205783 .337528
GOV -.0929749 .048125 -1.93 0.053 -.1872983 .0013484
CR -.0349962 .0113192 -3.09 0.002 -.0571814 -.012811
SLEV -.5903064 .1396856 -4.23 0.000 -.8640852 -.3165276
ROE Coef. Std. Err. z P>|z| [95% Conf. Interval]
Prob > chi2 = 0.000 max = 6
Wald chi2(6) = 59.78 avg = 6.00
Number of instruments = 28 Obs per group: min = 6
Time variable : YEAR Number of groups = 31
Group variable: MACK Number of obs = 186
Dynamic panel-data estimation, one-step system GMM
- Kiểm tra hiện tượng nội sinh với biến phụ thuộc ROE
+ Kết quả kiểm tra với biến độc lập SLEV
Do P-value = 0,00537 nhỏ hơn 0,05 nên biến SLEV là biến nội sinh.
+ Kết quả kiểm tra với biến độc lập CR
Do P-value = 0,05803 lớn hơn 0,05 nên biến CR là biến ngoại sinh.
Durbin-Wu-Hausman chi-sq test: 7.75177 Chi-sq(1) P-value = 0.00537
Wu-Hausman F test: 7.73870 F(1,147) P-value = 0.00611
H0: Regressor is exogenous
Tests of endogeneity of: SLEV
. ivendog SLEV
Instruments: CR GOV GROW TANG SIZE L.SLEV
Instrumented: SLEV
_cons -1.385781 .2208881 -6.27 0.000 -1.822283 -.9492789
SIZE .055348 .0083654 6.62 0.000 .038817 .071879
TANG .1256133 .0569231 2.21 0.029 .0131263 .2381003
GROW .1221647 .0358979 3.40 0.001 .051226 .1931035
GOV -.1503101 .0412512 -3.64 0.000 -.2318276 -.0687927
CR .0008038 .007832 0.10 0.918 -.0146732 .0162808
SLEV -.1249991 .0788141 -1.59 0.115 -.2807454 .0307472
ROE Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total 2.40801219 154 .015636443 Root MSE = .10512
Adj R-squared = 0.2933
Residual 1.63545599 148 .011050378 R-squared = 0.3208
Model .772556203 6 .128759367 Prob > F = 0.0000
F( 6, 148) = 10.12
Source SS df MS Number of obs = 155
Instrumental variables (2SLS) regression
. ivreg ROE (SLEV =l.SLEV) CR GOV GROW TANG SIZE
Durbin-Wu-Hausman chi-sq test: 3.59275 Chi-sq(1) P-value = 0.05803
Wu-Hausman F test: 3.48817 F(1,147) P-value = 0.06380
H0: Regressor is exogenous
Tests of endogeneity of: CR
. ivendog CR
Instruments: SLEV GOV GROW TANG SIZE L.CR
Instrumented: CR
_cons -1.359226 .2211286 -6.15 0.000 -1.796204 -.9222492
SIZE .0588834 .008211 7.17 0.000 .0426574 .0751095
TANG .0844509 .0572762 1.47 0.142 -.0287339 .1976357
GROW .1308951 .0355482 3.68 0.000 .0606475 .2011426
GOV -.1576952 .0408692 -3.86 0.000 -.2384577 -.0769327
SLEV -.3139232 .071747 -4.38 0.000 -.455704 -.1721424
CR -.0190113 .0090443 -2.10 0.037 -.036884 -.0011386
ROE Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total 2.40801219 154 .015636443 Root MSE = .10452
Adj R-squared = 0.3014
Residual 1.61676154 148 .010924064 R-squared = 0.3286
Model .79125065 6 .131875108 Prob > F = 0.0000
F( 6, 148) = 12.94
Source SS df MS Number of obs = 155
Instrumental variables (2SLS) regression
. ivreg ROE SLEV (CR=l.CR) GOV GROW TANG SIZE
+ Kết quả kiểm tra với biến độc lập GOV
Do P-value = 1,0 lớn hơn 0,05 nên biến GOV là biến ngoại sinh.
+ Kết quả kiểm tra với biến độc lập GROW
Do P-value = 0,02175 nhỏ hơn 0,05 nên biến GROW là biến nội sinh.
Durbin-Wu-Hausman chi-sq test: 0.00000 Chi-sq(1) P-value = 1.00000
Wu-Hausman F test: 0.00000 F(1,147) P-value = 1.00000
H0: Regressor is exogenous
Tests of endogeneity of: GOV
. ivendog GOV
Instruments: SLEV CR GROW TANG SIZE L.GOV
Instrumented: GOV
_cons -1.409198 .2177555 -6.47 0.000 -1.839509 -.9788861
SIZE .058928 .0081476 7.23 0.000 .0428273 .0750286
TANG .1055946 .0556755 1.90 0.060 -.0044271 .2156162
GROW .1308125 .0352736 3.71 0.000 .0611076 .2005174
CR -.0084628 .0069358 -1.22 0.224 -.0221687 .0052431
SLEV -.2508157 .0625099 -4.01 0.000 -.3743429 -.1272885
GOV -.1605028 .0405252 -3.96 0.000 -.2405855 -.0804201
ROE Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total 2.40801219 154 .015636443 Root MSE = .10371
Adj R-squared = 0.3121
Residual 1.59188198 148 .010755959 R-squared = 0.3389
Model .816130207 6 .136021701 Prob > F = 0.0000
F( 6, 148) = 12.65
Source SS df MS Number of obs = 155
Instrumental variables (2SLS) regression
. ivreg ROE SLEV CR (GOV =l.GOV) GROW TANG SIZE
Durbin-Wu-Hausman chi-sq test: 5.26553 Chi-sq(1) P-value = 0.02175
Wu-Hausman F test: 5.16937 F(1,147) P-value = 0.02444
H0: Regressor is exogenous
Tests of endogeneity of: GROW
. ivendog GROW
Instruments: SLEV CR GOV TANG SIZE L.GROW
Instrumented: GROW
_cons -1.436452 .2640859 -5.44 0.000 -1.958318 -.9145862
SIZE .0604654 .0099006 6.11 0.000 .0409006 .0800303
TANG .1239604 .0681419 1.82 0.071 -.0106964 .2586172
GOV -.1630919 .049091 -3.32 0.001 -.2601016 -.0660821
CR -.0085514 .0083985 -1.02 0.310 -.0251479 .0080451
SLEV -.3140634 .0830412 -3.78 0.000 -.4781631 -.1499637
GROW .4238197 .1638947 2.59 0.011 .0999437 .7476958
ROE Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total 2.40801219 154 .015636443 Root MSE = .12558
Adj R-squared = -0.0086
Residual 2.33405803 148 .015770662 R-squared = 0.0307
Model .073954163 6 .012325694 Prob > F = 0.0000
F( 6, 148) = 8.18
Source SS df MS Number of obs = 155
Instrumental variables (2SLS) regression
. ivreg ROE SLEV CR GOV (GROW=l.GROW) TANG SIZE
+ Kết quả kiểm tra với biến độc lập SIZE
Do P-value = 0,00145 nhỏ hơn 0,05 nên biến SIZE là biến nội sinh.
+ Kết quả kiểm tra với biến độc lập TANG
Do P-value = 0,44767 lớn hơn 0,05 nên biến TANG là biến ngoại sinh.
Durbin-Wu-Hausman chi-sq test: 10.13659 Chi-sq(1) P-value = 0.00145
Wu-Hausman F test: 10.28609 F(1,147) P-value = 0.00165
H0: Regressor is exogenous
Tests of endogeneity of: SIZE
. ivendog SIZE
Instruments: SLEV CR GOV GROW TANG L.SIZE
Instrumented: SIZE
_cons -1.361467 .218332 -6.24 0.000 -1.792917 -.9300157
TANG .1040825 .055687 1.87 0.064 -.0059618 .2141269
GROW .1306339 .0352795 3.70 0.000 .0609172 .2003505
GOV -.1534925 .0405946 -3.78 0.000 -.2337123 -.0732726
CR -.0084683 .0069369 -1.22 0.224 -.0221766 .0052399
SLEV -.247773 .062528 -3.96 0.000 -.3713361 -.1242099
SIZE .0571113 .0081699 6.99 0.000 .0409667 .0732559
ROE Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total 2.40801219 154 .015636443 Root MSE = .10373
Adj R-squared = 0.3119
Residual 1.59241672 148 .010759572 R-squared = 0.3387
Model .815595468 6 .135932578 Prob > F = 0.0000
F( 6, 148) = 12.07
Source SS df MS Number of obs = 155
Instrumental variables (2SLS) regression
. ivreg ROE SLEV CR GOV GROW TANG (SIZE=l.SIZE)
Durbin-Wu-Hausman chi-sq test: 0.57653 Chi-sq(1) P-value = 0.44767
Wu-Hausman F test: 0.54882 F(1,147) P-value = 0.45998
H0: Regressor is exogenous
Tests of endogeneity of: TANG
. ivendog TANG
Instruments: SLEV CR GOV GROW SIZE L.TANG
Instrumented: TANG
_cons -1.396952 .2184343 -6.40 0.000 -1.828605 -.9652993
SIZE .058659 .0081577 7.19 0.000 .0425384 .0747795
GROW .1304328 .035286 3.70 0.000 .0607033 .2001623
GOV -.1608157 .0405374 -3.97 0.000 -.2409226 -.0807088
CR -.0089322 .0069663 -1.28 0.202 -.0226985 .004834
SLEV -.2538427 .0626584 -4.05 0.000 -.3776635 -.130022
TANG .0905025 .0592897 1.53 0.129 -.0266612 .2076661
ROE Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total 2.40801219 154 .015636443 Root MSE = .10374
Adj R-squared = 0.3118
Residual 1.59267234 148 .0107613 R-squared = 0.3386
Model .815339855 6 .135889976 Prob > F = 0.0000
F( 6, 148) = 12.43
Source SS df MS Number of obs = 155
Instrumental variables (2SLS) regression
. ivreg ROE SLEV CR GOV GROW (TANG=l.TANG) SIZE
Phụ lục 15: Kết quả kiểm định tác động tuyến tính của LLEV tới tỷ suất
sinh lời VCSH (ROE) (mô hình 6)
- Mô hình OLS
- Kiểm định hiện tượng đa cộng tuyến
- Kiểm định hiện tượng phương sai thay đổi
Do p-value = 0,0000 nhỏ hơn 0,05 => Có hiện tượng phương sai thay đổi.
_cons -1.339528 .209912 -6.38 0.000 -1.753749 -.9253079
SIZE .0501077 .0076522 6.55 0.000 .0350076 .0652079
TANG .1061781 .0547735 1.94 0.054 -.0019066 .2142629
GROW .1379675 .0338686 4.07 0.000 .0711344 .2048006
GOV -.1370819 .0386967 -3.54 0.001 -.2134423 -.0607216
CR .0165871 .0053404 3.11 0.002 .0060488 .0271254
LLEV .2770091 .1017879 2.72 0.007 .0761505 .4778678
ROE Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total 2.99698509 185 .016199919 Root MSE = .10966
Adj R-squared = 0.2577
Residual 2.15240194 179 .012024592 R-squared = 0.2818
Model .844583149 6 .140763858 Prob > F = 0.0000
F( 6, 179) = 11.71
Source SS df MS Number of obs = 186
Mean VIF 1.63
GROW 1.02 0.980280
CR 1.10 0.908207
LLEV 1.14 0.875225
TANG 1.19 0.840117
GOV 2.60 0.384158
SIZE 2.71 0.369554
Variable VIF 1/VIF
Total 96.15 33 0.0000
Kurtosis 2.03 1 0.1538
Skewness 26.87 6 0.0002
Heteroskedasticity 67.25 26 0.0000
Source chi2 df p
Cameron & Trivedi's decomposition of IM-test
Prob > chi2 = 0.0000
chi2(26) = 67.25
against Ha: unrestricted heteroskedasticity
White's test for Ho: homoskedasticity
- Kiểm định hiện tượng tự tương quan
Do p-value = 0,0037 nhỏ hơn 0,05 => Có hiện tượng tự tương quan
- Mô hình FEM
- Mô hình REM
Prob > F = 0.0004
F( 1, 30) = 15.584
H0: no first-order autocorrelation
Wooldridge test for autocorrelation in panel data
F test that all u_i=0: F(30, 150) = 7.06 Prob > F = 0.0000
rho .56297139 (fraction of variance due to u_i)
sigma_e .07977965
sigma_u .09054832
_cons -1.090947 .7307255 -1.49 0.138 -2.534791 .3528973
SIZE .0410363 .0264501 1.55 0.123 -.0112265 .0932991
TANG .0809629 .1397827 0.58 0.563 -.1952344 .3571602
GROW .0838297 .0317397 2.64 0.009 .021115 .1465443
GOV 0 (omitted)
CR .0091387 .007854 1.16 0.246 -.0063801 .0246576
LLEV .2776268 .1679595 1.65 0.100 -.0542452 .6094989
ROE Coef. Std. Err. t P>|t| [95% Conf. Interval]
corr(u_i, Xb) = -0.1681 Prob > F = 0.0181
F(5,150) = 2.83
overall = 0.2029 max = 6
between = 0.2676 avg = 6.0
R-sq: within = 0.0861 Obs per group: min = 6
Group variable: MACK Number of groups = 31
Fixed-effects (within) regression Number of obs = 186
rho .51381824 (fraction of variance due to u_i)
sigma_e .07977965
sigma_u .08201581
_cons -1.254507 .3586086 -3.50 0.000 -1.957367 -.5516468
SIZE .0473334 .01315 3.60 0.000 .0215599 .0731068
TANG .0983094 .0868978 1.13 0.258 -.0720073 .268626
GROW .093262 .029352 3.18 0.001 .0357332 .1507908
GOV -.1261546 .0701075 -1.80 0.072 -.2635629 .0112536
CR .0119654 .0064503 1.86 0.064 -.000677 .0246077
LLEV .2725342 .132303 2.06 0.039 .0132251 .5318433
ROE Coef. Std. Err. z P>|z| [95% Conf. Interval]
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
Wald chi2(6) = 29.87
overall = 0.2751 max = 6
between = 0.3795 avg = 6.0
R-sq: within = 0.0856 Obs per group: min = 6
Group variable: MACK Number of groups = 31
Random-effects GLS regression Number of obs = 186
- Kiểm định Hausman
Do p-value = 0,8381 lớn hơn 0,05 => lựa chọn là mô hình REM.
- Kiểm định phương sai thay đổi của mô hình
Do p-value = 0,000 nhỏ hơn 0,05 => Có hiện tượng phương sai thay đổi
- Mô hình GLS
Prob>chi2 = 0.8381
= 2.08
chi2(5) = (b-B)'[(V_b-V_B)^(-1)](b-B)
Test: Ho: difference in coefficients not systematic
B = inconsistent under Ha, efficient under Ho; obtained from xtreg
b = consistent under Ho and Ha; obtained from xtreg
SIZE .0410363 .0473334 -.0062971 .0229496
TANG .0809629 .0983094 -.0173465 .1094895
GROW .0838297 .093262 -.0094323 .0120777
CR .0091387 .0119654 -.0028266 .004481
LLEV .2776268 .2725342 .0050927 .1034713
FEM REM Difference S.E.
(b) (B) (b-B) sqrt(diag(V_b-V_B))
Coefficients
Prob > chibar2 = 0.0000
chibar2(01) = 95.28
Test: Var(u) = 0
u .0067266 .0820158
e .0063648 .0797797
ROE .0161999 .1272789
Var sd = sqrt(Var)
Estimated results:
ROE[MACK,t] = Xb + u[MACK] + e[MACK,t]
Breusch and Pagan Lagrangian multiplier test for random effects
_cons -.9551869 .1854934 -5.15 0.000 -1.318747 -.5916265
SIZE .0368312 .0066866 5.51 0.000 .0237257 .0499366
TANG .1186686 .0346368 3.43 0.001 .0507817 .1865555
GROW .018178 .0172348 1.05 0.292 -.0156015 .0519576
GOV -.1073717 .028351 -3.79 0.000 -.1629386 -.0518047
CR .0101613 .0047794 2.13 0.033 .0007938 .0195287
LLEV .1580683 .0640931 2.47 0.014 .0324481 .2836885
ROE Coef. Std. Err. z P>|z| [95% Conf. Interval]
Prob > chi2 = 0.0000
Wald chi2(6) = 41.97
Estimated coefficients = 7 Time periods = 6
Estimated autocorrelations = 1 Number of groups = 31
Estimated covariances = 31 Number of obs = 186
Correlation: common AR(1) coefficient for all panels (0.4584)
Panels: heteroskedastic
Coefficients: generalized least squares
Cross-sectional time-series FGLS regression
- Mô hình GMM
Difference (null H = exogenous): chi2(4) = 6.97 Prob > chi2 = 0.137
Sargan test excluding group: chi2(6) = 11.70 Prob > chi2 = 0.069
iv(LLEV CR GOV TANG)
Difference (null H = exogenous): chi2(6) = 15.84 Prob > chi2 = 0.015
Sargan test excluding group: chi2(4) = 2.83 Prob > chi2 = 0.586
GMM instruments for levels
Difference-in-Sargan tests of exogeneity of instrument subsets:
(Not robust, but not weakened by many instruments.)
Sargan test of overid. restrictions: chi2(10) = 18.67 Prob > chi2 = 0.045
Arellano-Bond test for AR(2) in first differences: z = -1.74 Pr > z = 0.082
Arellano-Bond test for AR(1) in first differences: z = -2.34 Pr > z = 0.019
DL.(L.GROW L.SIZE)
GMM-type (missing=0, separate instruments for each period unless collapsed)
_cons
LLEV CR GOV TANG
Standard
Instruments for levels equation
L2.(L.GROW L.SIZE)
GMM-type (missing=0, separate instruments for each period unless collapsed)
D.(LLEV CR GOV TANG)
Standard
Instruments for first differences equation
_cons -1.496699 .5863232 -2.55 0.011 -2.645871 -.3475264
SIZE .0554342 .0215363 2.57 0.010 .0132239 .0976446
TANG .1558134 .0557725 2.79 0.005 .0465014 .2651255
GROW .3203796 .0909025 3.52 0.000 .142214 .4985453
GOV -.1514176 .0867085 -1.75 0.081 -.3213631 .0185278
CR .0173756 .0054357 3.20 0.001 .0067218 .0280294
LLEV .2600849 .0893844 2.91 0.004 .0848948 .4352751
ROE Coef. Std. Err. z P>|z| [95% Conf. Interval]
Prob > chi2 = 0.000 max = 6
Wald chi2(6) = 35.62 avg = 6.00
Number of instruments = 17 Obs per group: min = 6
Time variable : YEAR Number of groups = 31
Group variable: MACK Number of obs = 186
Dynamic panel-data estimation, one-step system GMM
- Kiểm tra hiện tượng nội sinh với biến phụ thuộc ROE
+ Kết quả kiểm tra với biến độc lập LLEV
Do P-value = 0,37605 lớn hơn 0,05 nên biến LLEV là biến ngoại sinh.
+ Kết quả kiểm tra với biến độc lập CR
Do P-value = 0,23510 lớn hơn 0,05 nên biến CR là biến ngoại sinh.
Durbin-Wu-Hausman chi-sq test: 0.78357 Chi-sq(1) P-value = 0.37605
Wu-Hausman F test: 0.74690 F(1,147) P-value = 0.38887
H0: Regressor is exogenous
Tests of endogeneity of: LLEV
. ivendog LLEV
Instruments: CR GOV GROW TANG SIZE L.LLEV
Instrumented: LLEV
_cons -1.458269 .2275748 -6.41 0.000 -1.907985 -1.008554
SIZE .054734 .0082892 6.60 0.000 .0383536 .0711143
TANG .1006796 .0591602 1.70 0.091 -.0162283 .2175874
GROW .1131403 .0361551 3.13 0.002 .0416933 .1845873
GOV -.1496557 .041682 -3.59 0.000 -.2320245 -.0672869
CR .0126444 .0054526 2.32 0.022 .0018694 .0234194
LLEV .3129275 .1208844 2.59 0.011 .0740451 .55181
ROE Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total 2.40801219 154 .015636443 Root MSE = .1071
Adj R-squared = 0.2664
Residual 1.69759681 148 .011470249 R-squared = 0.2950
Model .710415386 6 .118402564 Prob > F = 0.0000
F( 6, 148) = 10.46
Source SS df MS Number of obs = 155
Instrumental variables (2SLS) regression
. ivreg ROE (LLEV =l.LLEV) CR GOV GROW TANG SIZE
Durbin-Wu-Hausman chi-sq test: 1.40974 Chi-sq(1) P-value = 0.23510
Wu-Hausman F test: 1.34925 F(1,147) P-value = 0.24729
H0: Regressor is exogenous
Tests of endogeneity of: CR
. ivendog CR
Instruments: LLEV GOV GROW TANG SIZE L.CR
Instrumented: CR
_cons -1.401705 .2300639 -6.09 0.000 -1.856339 -.9470701
SIZE .0530306 .0083521 6.35 0.000 .0365258 .0695354
TANG .1023603 .0588597 1.74 0.084 -.0139537 .2186743
GROW .1105846 .0362608 3.05 0.003 .0389289 .1822403
GOV -.1429349 .0419387 -3.41 0.001 -.2258109 -.060059
LLEV .2531314 .1084132 2.33 0.021 .0388937 .4673691
CR .0084824 .0063351 1.34 0.183 -.0040365 .0210012
ROE Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total 2.40801219 154 .015636443 Root MSE = .1072
Adj R-squared = 0.2650
Residual 1.7008887 148 .011492491 R-squared = 0.2937
Model .707123486 6 .117853914 Prob > F = 0.0000
F( 6, 148) = 9.79
Source SS df MS Number of obs = 155
Instrumental variables (2SLS) regression
. ivreg ROE LLEV (CR=l.CR) GOV GROW TANG SIZE
+ Kết quả kiểm tra với biến độc lập GOV
Do P-value = 1,0 lớn hơn 0,05 nên biến GOV là biến ngoại sinh.
+ Kết quả kiểm tra với biến độc lập GROW
Do P-value = 0,03359 lớn hơn 0,05 nên biến GROW là biến ngoại sinh.
Durbin-Wu-Hausman chi-sq test: 0.00000 Chi-sq(1) P-value = 1.00000
Wu-Hausman F test: 0.00000 F(1,147) P-value = 1.00000
H0: Regressor is exogenous
Tests of endogeneity of: GOV
. ivendog GOV
Instruments: LLEV CR GROW TANG SIZE L.GOV
Instrumented: GOV
_cons -1.443787 .2268093 -6.37 0.000 -1.89199 -.9955839
SIZE .0542889 .0082678 6.57 0.000 .0379508 .070627
TANG .1074589 .0585999 1.83 0.069 -.0083416 .2232594
GROW .1132057 .0361315 3.13 0.002 .0418055 .184606
CR .012246 .0054296 2.26 0.026 .0015165 .0229755
LLEV .2655978 .107703 2.47 0.015 .0527636 .4784321
GOV -.1482231 .0416219 -3.56 0.000 -.2304731 -.0659731
ROE Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total 2.40801219 154 .015636443 Root MSE = .10703
Adj R-squared = 0.2674
Residual 1.69538463 148 .011455302 R-squared = 0.2959
Model .712627559 6 .11877126 Prob > F = 0.0000
F( 6, 148) = 10.37
Source SS df MS Number of obs = 155
Instrumental variables (2SLS) regression
. ivreg ROE LLEV CR (GOV =l.GOV) GROW TANG SIZE
Durbin-Wu-Hausman chi-sq test: 4.51541 Chi-sq(1) P-value = 0.03359
Wu-Hausman F test: 4.41085 F(1,147) P-value = 0.03742
H0: Regressor is exogenous
Tests of endogeneity of: GROW
. ivendog GROW
Instruments: LLEV CR GOV TANG SIZE L.GROW
Instrumented: GROW
_cons -1.457728 .2689029 -5.42 0.000 -1.989113 -.9263431
SIZE .0540027 .0097992 5.51 0.000 .0346382 .0733672
TANG .1354799 .0712627 1.90 0.059 -.0053439 .2763036
GOV -.1456646 .0493466 -2.95 0.004 -.2431795 -.0481498
CR .016642 .0069063 2.41 0.017 .0029944 .0302896
LLEV .2621624 .1276507 2.05 0.042 .009909 .5144159
GROW .3927295 .1651789 2.38 0.019 .0663157 .7191432
ROE Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total 2.40801219 154 .015636443 Root MSE = .12684
Adj R-squared = -0.0289
Residual 2.38098664 148 .016087748 R-squared = 0.0112
Model .027025552 6 .004504259 Prob > F = 0.0000
F( 6, 148) = 7.16
Source SS df MS Number of obs = 155
Instrumental variables (2SLS) regression
. ivreg ROE LLEV CR GOV (GROW=l.GROW) TANG SIZE
+ Kết quả kiểm tra với biến độc lập SIZE
Do P-value = 0,00065 nhỏ hơn 0,05 nên biến SIZE là biến nội sinh.
+ Kết quả kiểm tra với biến độc lập TANG
Do P-value = 0,30036 lớn hơn 0,05 nên biến TANG là biến ngoại sinh.
Durbin-Wu-Hausman chi-sq test: 11.63334 Chi-sq(1) P-value = 0.00065
Wu-Hausman F test: 11.92816 F(1,147) P-value = 0.00072
H0: Regressor is exogenous
Tests of endogeneity of: SIZE
. ivendog SIZE
Instruments: LLEV CR GOV GROW TANG L.SIZE
Instrumented: SIZE
_cons -1.390528 .2274142 -6.11 0.000 -1.839926 -.9411296
TANG .1056903 .0586133 1.80 0.073 -.0101367 .2215173
GROW .1132438 .0361383 3.13 0.002 .0418302 .1846575
GOV -.1406277 .0416921 -3.37 0.001 -.2230163 -.058239
CR .0119651 .0054312 2.20 0.029 .0012323 .0226979
LLEV .2624893 .1077272 2.44 0.016 .0496071 .4753714
SIZE .0523409 .0082899 6.31 0.000 .035959 .0687229
ROE Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total 2.40801219 154 .015636443 Root MSE = .10705
Adj R-squared = 0.2671
Residual 1.69602054 148 .011459598 R-squared = 0.2957
Model .711991648 6 .118665275 Prob > F = 0.0000
F( 6, 148) = 9.82
Source SS df MS Number of obs = 155
Instrumental variables (2SLS) regression
. ivreg ROE LLEV CR GOV GROW TANG (SIZE=l.SIZE)
Durbin-Wu-Hausman chi-sq test: 1.07259 Chi-sq(1) P-value = 0.30036
Wu-Hausman F test: 1.02432 F(1,147) P-value = 0.31316
H0: Regressor is exogenous
Tests of endogeneity of: TANG
. ivendog TANG
Instruments: LLEV CR GOV GROW SIZE L.TANG
Instrumented: TANG
_cons -1.42896 .2273922 -6.28 0.000 -1.878315 -.9796053
SIZE .0538877 .0082813 6.51 0.000 .0375229 .0702525
GROW .1123597 .0361587 3.11 0.002 .0409057 .1838137
GOV -.148644 .0416442 -3.57 0.000 -.230938 -.06635
CR .0119878 .0054382 2.20 0.029 .0012413 .0227343
LLEV .2763392 .1082772 2.55 0.012 .0623703 .4903082
TANG .0852591 .0626015 1.36 0.175 -.0384491 .2089674
ROE Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total 2.40801219 154 .015636443 Root MSE = .10708
Adj R-squared = 0.2667
Residual 1.69702866 148 .01146641 R-squared = 0.2953
Model .710983531 6 .118497255 Prob > F = 0.0000
F( 6, 148) = 10.11
Source SS df MS Number of obs = 155
Instrumental variables (2SLS) regression
. ivreg ROE LLEV CR GOV GROW (TANG=l.TANG) SIZE
Phụ lục 16: Kết quả kiểm định tác động tuyến tính của DR tới WACC
(mô hình 7)
- Mô hình OLS
- Kiểm định hiện tượng đa cộng tuyến
- Kiểm định hiện tượng phương sai thay đổi
Do p-value = 0,0000 nhỏ hơn 0,05 => Có hiện tượng phương sai thay đổi
- Kiểm định hiện tượng tự tương quan
_cons .0198625 .0035355 5.62 0.000 .0128862 .0268388
RISK .0960591 .0449033 2.14 0.034 .0074545 .1846637
GROW -.0004234 .0052691 -0.08 0.936 -.0108205 .0099737
TANG .0150826 .0079262 1.90 0.059 -.0005577 .0307229
CR .0070981 .0009205 7.71 0.000 .0052817 .0089144
DR .0137375 .0069385 1.98 0.049 .0000463 .0274288
WACC Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total .076809141 185 .000415185 Root MSE = .01687
Adj R-squared = 0.3146
Residual .051224112 180 .000284578 R-squared = 0.3331
Model .025585029 5 .005117006 Prob > F = 0.0000
F( 5, 180) = 17.98
Source SS df MS Number of obs = 186
Mean VIF 1.22
GROW 1.04 0.958537
TANG 1.05 0.949464
DR 1.28 0.782759
RISK 1.33 0.750546
CR 1.38 0.723483
Variable VIF 1/VIF
Total 68.74 26 0.0000
Kurtosis 3.01 1 0.0830
Skewness 8.42 5 0.1346
Heteroskedasticity 57.31 20 0.0000
Source chi2 df p
Cameron & Trivedi's decomposition of IM-test
Prob > chi2 = 0.0000
chi2(20) = 57.31
against Ha: unrestricted heteroskedasticity
White's test for Ho: homoskedasticity
Prob > F = 0.0306
F( 1, 30) = 5.153
H0: no first-order autocorrelation
Wooldridge test for autocorrelation in panel data
Do p-value = 0,0306 nhỏ hơn 0,05 => Có hiện tượng tự tương quan
- Mô hình FEM
- Mô hình REM
- Kiểm định Hausman
Do p-value = 0,0187 nhỏ hơn 0,05 => Lựa chọn mô hình FEM
- Kiểm định phương sai thay đổi của mô hình
Do p-value = 0,00 nhỏ hơn 0,05 => Có hiện tượng phương sai sai số thay
đổi
- Mô hình GLS
Prob>chi2 = 0.0187
= 11.82
chi2(4) = (b-B)'[(V_b-V_B)^(-1)](b-B)
Test: Ho: difference in coefficients not systematic
B = inconsistent under Ha, efficient under Ho; obtained from xtreg
b = consistent under Ho and Ha; obtained from xtreg
GROW -.0053177 -.0050655 -.0002522 .0011327
TANG .0274943 .0198168 .0076775 .0136797
CR .0028267 .0038993 -.0010726 .0004513
DR -.0064066 .0012576 -.0076642 .0090016
FEM REM Difference S.E.
(b) (B) (b-B) sqrt(diag(V_b-V_B))
Coefficients
. hausman FEM REM
Prob>chi2 = 0.0000
chi2 (31) = 1445.93
H0: sigma(i)^2 = sigma^2 for all i
in fixed effect regression model
Modified Wald test for groupwise heteroskedasticity
_cons .020757 .0032378 6.41 0.000 .014411 .0271031
RISK .1209279 .0547299 2.21 0.027 .0136593 .2281965
GROW -.0048506 .0022325 -2.17 0.030 -.0092263 -.000475
TANG .0085904 .0066287 1.30 0.195 -.0044016 .0215824
CR .0050646 .0010746 4.71 0.000 .0029584 .0071708
DR .014762 .0055899 2.64 0.008 .003806 .0257179
WACC Coef. Std. Err. z P>|z| [95% Conf. Interval]
Prob > chi2 = 0.0000
Wald chi2(5) = 39.73
Estimated coefficients = 6 Time periods = 6
Estimated autocorrelations = 1 Number of groups = 31
Estimated covariances = 31 Number of obs = 186
Correlation: common AR(1) coefficient for all panels (0.5192)
Panels: heteroskedastic
Coefficients: generalized least squares
Cross-sectional time-series FGLS regression
Phụ lục 17: Hệ số Z’’ của các DN thương mại dầu khí trong mẫu nghiên
cứu
STT Mã CK 2014 2015 2016 2017 2018 2019
1 ASP 7,72 5,88 3,78 0,71 0,97 0,51
2 CNG 12,74 10,21 15,91 449,03 1158,12 -
3 COM - - - - - 36,40
4 GAS 11,91 14,40 10,88 10,30 16,46 26,70
5 HFC 1,63 1,09 0,35 0,11 0,28 0,01
6 HTC - - - 3,49 4,62 6,86
7 MTG -0,59 0,31 1,43 -1,84 - -
8 OIL 3,62 5,34 5,64 9,18 6,90 4,32
9 PCG - - - - - 13,18
10 PCN - - 16,93 - - -
11 PCT 31,16 - - - - -
12 PDT -0,62 -0,76 -0,59 -0,26 0,23 0,00
13 PEG - - - - - -
14 PGC 1,55 -0,02 2,13 2,22 3,27 3,74
15 PGD - 9,11 11,13 - - -
16 PGS 2,04 1,85 4,61 3,83 52,32 4,25
17 PIT 1,57 1,03 1,55 -0,13 -0,37 1,75
18 PLX 1,34 4,11 11,72 4,22 4,78 4,56
19 PMG 2,47 1,31 3,27 2,46 0,75 1,38
20 PND 8,06 10,41 2,93 2,45 26,07 0,84
21 POV 6,59 5,72 6,14 4,39 3,78 8,22
22 PPY - - - - - 14,89
23 PSC 2,15 2,62 2,68 2,56 2,14 1,77
24 PTX -0,42 -0,20 -0,57 -0,79 -1,64 -1,01
25 PVG 1,17 0,72 -0,11 0,00 0,27 3,92
26 PVO 5,80 - 15,49 17,04 - -
27 SFC 3,25 3,23 3,38 3,11 - 19,26
28 TDG 1,91 6,77 6,00 5,22 4,31 2,40
29 TLP 0,24 0,49 1,54 1,11 1,17 0,58
30 TMC 28,46 6,76 77,64 4,84 5,05 6,48
31 VMG 13,40 31,41 - -1,08 -0,30 -1,38
Ghi chú: “-” thể hiện các DN thương mại dầu khí không sử dụng nợ vay