Luận án Dự báo dòng tiền từ hoạt động kinh doanh của các công ty phi tài chính niêm yết trên thị trường chứng khoán Việt Nam

Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob. Cross-section random 222.668737 3 0.0000 PHỤ LỤC 2: KẾT QUẢ HỒI QUY MÔ HÌNH DÒNG TIỀN CFOT CFOT_1 CFOT_2 CFOT_3 Mean 1.43E+11 9.62E+10 7.43E+10 6.18E+10 Median 2.42E+10 1.88E+10 1.52E+10 1.33E+10 Maximum 1.46E+13 1.15E+13 9.80E+12 7.23E+12 Minimum -3.05E+12 -3.05E+12 -2.79E+12 -2.20E+12 Std. Dev. 9.24E+11 7.24E+11 5.68E+11 4.10E+11 Skewness 9.897557 9.400816 9.165843 8.104278 Kurtosis 127.1202 128.6780 137.5084 124.9177 Jarque-Bera 560817.0 573270.6 654214.1 536995.8 Probability 0.000000 0.000000 0.000000 0.000000 Sum 1.22E+14 8.20E+13 6.33E+13 5.27E+13 Sum Sq. Dev. 7.27E+26 4.46E+26 2.75E+26 1.43E+26 Observations 852 852 852 852 CFOT CFOT_1 CFOT_2 CFOT_3 CFOT 1.000000 0.741543 0.794664 0.611958 CFOT_1 0.741543 1.000000 0.763294 0.634129 CFOT_2 0.794664 0.763294 1.000000 0.710068 CFOT_3 0.611958 0.634129 0.710068 1.000000 Phương trình 4.2.1: Phương trình hồi quy đơn giản, các biến độc lập có độ trễ 1 năm CFOt = α0 + α1 CFOt-1 + µ (4.2.1) OLS Dependent Variable: CFOT Method: Least Squares Date: 05/13/15 Time: 23:43 Included observations: 852 Variable Coefficient Std. Error t-Statistic Prob. C 5.22E+10 2.14E+10 2.432067 0.0152 CFOT_1 0.946877 0.029384 32.22436 0.0000 R-squared 0.549886 Mean dependent var 1.43E+11 Adjusted R-squared 0.549356 S.D. dependent var 9.24E+11 S.E. of regression 6.20E+11 Akaike info criterion 57.14771 Sum squared resid 3.27E+26 Schwarz criterion 57.15885 Log likelihood -24342.92 Hannan-Quinn criter. 57.15197 F-statistic 1038.409 Durbin-Watson stat 2.655299 Prob(F-statistic) 0.000000 Heteroskedasticity Test: Breusch-Pagan-Godfrey F-statistic 0.177620 Prob. F(1,850) 0.6735 Obs*R-squared 0.178001 Prob. Chi-Square(1) 0.6731 Scaled explained SS 16.67893 Prob. Chi-Square(1) 0.0000 FE model Dependent Variable: CFOT Method: Panel Least Squares Date: 05/13/15 Time: 23:45 Total panel observations: 852 Variable Coefficient Std. Error t-Statistic Prob. C 1.91E+11 1.63E+10 11.75948 0.0000 CFOT_1 -0.497463 0.054926 -9.056900 0.0000 Effects Specification Cross-section fixed (dummy variables) Period fixed (dummy variables) R-squared 0.844629 Mean dependent var 1.43E+11 Adjusted R-squared 0.764312 S.D. dependent var 9.24E+11 S.E. of regression 4.49E+11 Akaike info criterion 56.76243 Sum squared resid 1.13E+26 Schwarz criterion 58.38396 Log likelihood -23889.79 Hannan-Quinn criter. 57.38349 F-statistic 10.51624 Durbin-Watson stat 2.613703 Prob(F-statistic) 0.000000 RE model Dependent Variable: CFOT Method: Panel EGLS (Cross-section random effects) Date: 05/13/15 Time: 23:46 Total panel observations: 852 Swamy and Arora estimator of component variances Variable Coefficient Std. Error t-Statistic Prob. C 5.22E+10 1.57E+10 3.331362 0.0009 CFOT_1 0.946877 0.021452 44.13983 0.0000 Effects Specification S.D. Rho Cross-section random 0.000000 0.0000 Idiosyncratic random 4.53E+11 1.0000 Weighted Statistics R-squared 0.549886 Mean dependent var 1.43E+11 Adjusted R-squared 0.549356 S.D. dependent var 9.24E+11 S.E. of regression 6.20E+11 Sum squared resid 3.27E+26 F-statistic 1038.409 Durbin-Watson stat 2.863187 Prob(F-statistic) 0.000000 Unweighted Statistics R-squared 0.549886 Mean dependent var 1.43E+11 Sum squared resid 3.27E+26 Durbin-Watson stat 2.863187 Correlated Random Effects - Hausman Test Equation: Untitled Test cross-section random effects Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob. Cross-section random 786.633700 1 0.0000 Phương trình 4.2.2: Phương trình hồi quy đa biến, các biến độc lập có độ trễ 2 năm CFOt = α0 + α1 CFOt-1 + α2 CFOt-2 + µ (4.2.2) OLS Dependent Variable: CFOT Method: Least Squares Date: 05/13/15 Time: 23:59 Included observations: 852 Variable Coefficient Std. Error t-Statistic Prob. C 3.73E+10 1.82E+10 2.045399 0.0411 CFOT_1 0.412948 0.038662 10.68103 0.0000 CFOT_2 0.891488 0.049273 18.09294 0.0000 R-squared 0.675143 Mean dependent var 1.43E+11 Adjusted R-squared 0.674378 S.D. dependent var 9.24E+11 S.E. of regression 5.27E+11 Akaike info criterion 56.82394 Sum squared resid 2.36E+26 Schwarz criterion 56.84065 Log likelihood -24204.00 Hannan-Quinn criter. 56.83034 F-statistic 882.2286 Durbin-Watson stat 2.385039 Prob(F-statistic) 0.000000 Heteroskedasticity Test: Breusch-Pagan-Godfrey F-statistic 30.94291 Prob. F(2,849) 0.0000 Obs*R-squared 57.88510 Prob. Chi-Square(2) 0.0000 Scaled explained SS 2087.206 Prob. Chi-Square(2) 0.0000 FE model Dependent Variable: CFOT Method: Panel Least Squares Date: 05/13/15 Time: 23:48 Total panel observations: 852 Variable Coefficient Std. Error t-Statistic Prob. C 1.60E+11 1.58E+10 10.12094 0.0000 CFOT_1 -0.493368 0.051941 -9.498569 0.0000 CFOT_2 0.411615 0.050140 8.209263 0.0000 Effects Specification Cross-section fixed (dummy variables) Period fixed (dummy variables) R-squared 0.861318 Mean dependent var 1.43E+11 Adjusted R-squared 0.789254 S.D. dependent var 9.24E+11 S.E. of regression 4.24E+11 Akaike info criterion 56.65114 Sum squared resid 1.01E+26 Schwarz criterion 58.27824 Log likelihood -23841.38 Hannan-Quinn criter. 57.27433 F-statistic 11.95198 Durbin-Watson stat 2.695733 Prob(F-statistic) 0.000000 RE model Dependent Variable: CFOT Method: Panel EGLS (Cross-section random effects) Date: 05/13/15 Time: 23:49 Total panel observations: 852 Swamy and Arora estimator of component variances Variable Coefficient Std. Error t-Statistic Prob. C 3.73E+10 1.48E+10 2.517593 0.0120 CFOT_1 0.412948 0.031411 13.14682 0.0000 CFOT_2 0.891488 0.040031 22.26982 0.0000 Effects Specification S.D. Rho Cross-section random 0.000000 0.0000 Idiosyncratic random 4.29E+11 1.0000 Weighted Statistics R-squared 0.675143 Mean dependent var 1.43E+11 Adjusted R-squared 0.674378 S.D. dependent var 9.24E+11 S.E. of regression 5.27E+11 Sum squared resid 2.36E+26 F-statistic 882.2286 Durbin-Watson stat 2.355515 Prob(F-statistic) 0.000000 Unweighted Statistics R-squared 0.675143 Mean dependent var 1.43E+11 Sum squared resid 2.36E+26 Durbin-Watson stat 2.355515 Correlated Random Effects - Hausman Test Equation: Untitled Test cross-section random effects Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob. Cross-section random 454.870933 2 0.0000 Phương trình 4.2.3: Phương trình hồi quy đa biến, các biến độc lập có độ trễ 3 năm CFOt = α0 + α1CFOt-1 + α2 CFOt-2 + α3 CFOt-3 + µ (4.2.3) OLS Dependent Variable: CFOT Method: Least Squares Date: 05/14/15 Time: 00:00 Included observations: 852 Variable Coefficient Std. Error t-Statistic Prob. C 3.56E+10 1.83E+10 1.944615 0.0522 CFOT_1 0.402339 0.039462 10.19549 0.0000 CFOT_2 0.858317 0.055228 15.54131 0.0000 CFOT_3 0.084896 0.063959 1.327344 0.1848 R-squared 0.675816 Mean dependent var 1.43E+11 Adjusted R-squared 0.674670 S.D. dependent var 9.24E+11 S.E. of regression 5.27E+11 Akaike info criterion 56.82421 Sum squared resid 2.36E+26 Schwarz criterion 56.84650 Log likelihood -24203.11 Hannan-Quinn criter. 56.83275 F-statistic 589.2674 Durbin-Watson stat 2.360682 Prob(F-statistic) 0.000000 Heteroskedasticity Test: Breusch-Pagan-Godfrey F-statistic 27.18330 Prob. F(3,848) 0.0000 Obs*R-squared 74.74640 Prob. Chi-Square(3) 0.0000 Scaled explained SS 2816.842 Prob. Chi-Square(3) 0.0000 FE model Dependent Variable: CFOT Method: Panel Least Squares Date: 05/13/15 Time: 23:52 Total panel observations: 852 Variable Coefficient Std. Error t-Statistic Prob. C 1.52E+11 1.57E+10 9.674695 0.0000 CFOT_1 -0.515405 0.051337 -10.03958 0.0000 CFOT_2 0.337359 0.052088 6.476701 0.0000 CFOT_3 0.260078 0.058634 4.435586 0.0000 Effects Specification Cross-section fixed (dummy variables) Period fixed (dummy variables) R-squared 0.866033 Mean dependent var 1.43E+11 Adjusted R-squared 0.796054 S.D. dependent var 9.24E+11 S.E. of regression 4.17E+11 Akaike info criterion 56.61889 Sum squared resid 9.74E+25 Schwarz criterion 58.25157 Log likelihood -23826.65 Hannan-Quinn criter. 57.24423 F-statistic 12.37563 Durbin-Watson stat 2.648768 Prob(F-statistic) 0.000000 RE model Dependent Variable: CFOT Method: Panel EGLS (Cross-section random effects) Date: 05/13/15 Time: 23:54 Total panel observations: 852 Swamy and Arora estimator of component variances Variable Coefficient Std. Error t-Statistic Prob. C 3.56E+10 1.46E+10 2.428180 0.0154 CFOT_1 0.402339 0.031604 12.73079 0.0000 CFOT_2 0.858317 0.044230 19.40595 0.0000 CFOT_3 0.084896 0.051222 1.657414 0.0978 Effects Specification S.D. Rho Cross-section random 0.000000 0.0000 Idiosyncratic random 4.22E+11 1.0000 Weighted Statistics R-squared 0.675816 Mean dependent var 1.43E+11 Adjusted R-squared 0.674670 S.D. dependent var 9.24E+11 S.E. of regression 5.27E+11 Sum squared resid 2.36E+26 F-statistic 589.2674 Durbin-Watson stat 2.305675 Prob(F-statistic) 0.000000 Unweighted Statistics R-squared 0.675816 Mean dependent var 1.43E+11 Sum squared resid 2.36E+26 Durbin-Watson stat 2.305675 Correlated Random Effects - Hausman Test Equation: Untitled Test cross-section random effects Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob. Cross-section random 530.374109 3 0.0000 PHỤ LỤC 3: KẾT QUẢ HỒI QUY MÔ HÌNH DÒNG TIỀN & CÁC THÀNH PHẦN DỒN TÍCH GỘP CHUNG ACRT_1 ACRT_2 ACRT_3 Mean 9.26E+10 1.01E+11 7.71E+10 Median 2.16E+10 2.70E+10 2.06E+10 Maximum 5.71E+12 3.18E+12 3.18E+12 Minimum -2.11E+12 -2.11E+12 -1.84E+12 Std. Dev. 4.25E+11 3.96E+11 3.49E+11 Skewness 4.704641 2.717859 2.797672 Kurtosis 51.76342 22.91825 25.44024 Jarque-Bera 87557.40 15133.07 18987.97 Probability 0.000000 0.000000 0.000000 Sum 7.89E+13 8.61E+13 6.57E+13 Sum Sq. Dev. 1.54E+26 1.34E+26 1.04E+26 Observations 852 852 852 ACRT_1 ACRT_2 ACRT_3 CFOT CFOT_1 CFOT_2 CFOT_3 ACRT_1 1.000000 0.212690 0.204509 0.160864 -0.303507 0.075436 0.105897 ACRT_2 0.212690 1.000000 0.360829 -0.121937 -0.024789 -0.423837 -0.098152 ACRT_3 0.204509 0.360829 1.000000 0.077481 0.010678 -0.052330 -0.449288 CFOT 0.160864 -0.121937 0.077481 1.000000 0.741543 0.794664 0.611958 CFOT_1 -0.303507 -0.024789 0.010678 0.741543 1.000000 0.763294 0.634129 CFOT_2 0.075436 -0.423837 -0.052330 0.794664 0.763294 1.000000 0.710068 CFOT_3 0.105897 -0.098152 -0.449288 0.611958 0.634129 0.710068 1.000000 Phương trình 4.3.1: Phương trình hồi quy đa biến, các biến độc lập có độ trễ 1 năm CFOt = λ0 + λ1 CFOt-1 + λ2 ACRt-1 + ε (4.3.1) OLS Variance Inflation Factors Date: 05/14/15 Time: 00:19 Included observations: 852 Coefficient Uncentered Centered Variable Variance VIF VIF C 3.14E+20 1.091112 NA CFOT_1 0.000605 1.120960 1.101463 ACRT_1 0.001752 1.153706 1.101463 Dependent Variable: CFOT Method: Least Squares Date: 05/14/15 Time: 00:10 Included observations: 852 Variable Coefficient Std. Error t-Statistic Prob. C -4.92E+10 1.77E+10 -2.778905 0.0056 CFOT_1 1.111618 0.024599 45.18946 0.0000 ACRT_1 0.923718 0.041862 22.06556 0.0000 R-squared 0.713938 Mean dependent var 1.43E+11 Adjusted R-squared 0.713264 S.D. dependent var 9.24E+11 S.E. of regression 4.95E+11 Akaike info criterion 56.69676 Sum squared resid 2.08E+26 Schwarz criterion 56.71348 Log likelihood -24149.82 Hannan-Quinn criter. 56.70316 F-statistic 1059.444 Durbin-Watson stat 2.253081 Prob(F-statistic) 0.000000 5 Heteroskedasticity Test: Breusch-Pagan-Godfrey F-statistic 94.89148 Prob. F(2,849) 0.0000 Obs*R-squared 155.6582 Prob. Chi-Square(2) 0.0000 Scaled explained SS 6671.409 Prob. Chi-Square(2) 0.0000 FE model Dependent Variable: CFOT Method: Panel Least Squares Date: 05/14/15 Time: 00:23 Total panel observations: 852 Variable Coefficient Std. Error t-Statistic Prob. C 4.16E+10 1.73E+10 2.404218 0.0165 CFOT_1 0.187462 0.066546 2.817054 0.0050 ACRT_1 0.903857 0.062332 14.50068 0.0000 Effects Specification Cross-section fixed (dummy variables) Period fixed (dummy variables) R-squared 0.887043 Mean dependent var 1.43E+11 Adjusted R-squared 0.828346 S.D. dependent var 9.24E+11 S.E. of regression 3.83E+11 Akaike info criterion 56.44596 Sum squared resid 8.21E+25 Schwarz criterion 58.07307 Log likelihood -23753.98 Hannan-Quinn criter. 57.06916 F-statistic 15.11215 Durbin-Watson stat 2.418038 Prob(F-statistic) 0.000000 RE model Dependent Variable: CFOT Method: Panel EGLS (Cross-section random effects) Date: 05/14/15 Time: 00:24 Total panel observations: 852 Swamy and Arora estimator of component variances Variable Coefficient Std. Error t-Statistic Prob. C -4.92E+10 1.40E+10 -3.513779 0.0005 CFOT_1 1.111618 0.019454 57.13969 0.0000 ACRT_1 0.923718 0.033107 27.90074 0.0000 Effects Specification S.D. Rho Cross-section random 0.000000 0.0000 Idiosyncratic random 3.91E+11 1.0000 Weighted Statistics R-squared 0.713938 Mean dependent var 1.43E+11 Adjusted R-squared 0.713264 S.D. dependent var 9.24E+11 S.E. of regression 4.95E+11 Sum squared resid 2.08E+26 F-statistic 1059.444 Durbin-Watson stat 2.164581 Prob(F-statistic) 0.000000 Unweighted Statistics R-squared 0.713938 Mean dependent var 1.43E+11 Sum squared resid 2.08E+26 Durbin-Watson stat 2.164581 Correlated Random Effects - Hausman Test Equation: Untitled Test cross-section random effects Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob. Cross-section random 539.617313 2 0.0000 Phương trình 4.3.2: Phương trình hồi quy đa biến, các biến độc lập có độ trễ 2 năm CFOt = λ0 + λ1 CFOt-1 + λ2 CFOt-2+ λ3 ACRt-1 + λ4 ACRt-2+ ε (4.3.2) Variance Inflation Factors Date: 05/14/15 Time: 00:18 Included observations: 852 Coefficient Uncentered Centered Variable Variance VIF VIF C 2.88E+20 1.155439 NA CFOT_1 0.005380 11.48047 11.28079 CFOT_2 0.010003 13.13469 12.91355 ACRT_1 0.005219 3.957764 3.778546 ACRT_2 0.006756 4.524522 4.247996 OLS Dependent Variable: CFOT Method: Least Squares Date: 05/14/15 Time: 00:14 Included observations: 852 Variable Coefficient Std. Error t-Statistic Prob. C -1.38E+10 1.70E+10 -0.811884 0.4171 CFOT_1 1.076550 0.073348 14.67726 0.0000 CFOT_2 0.066414 0.100015 0.664036 0.5068 ACRT_1 0.982043 0.072242 13.59385 0.0000 ACRT_2 -0.419384 0.082193 -5.102463 0.0000 R-squared 0.752253 Mean dependent var 1.43E+11 Adjusted R-squared 0.751083 S.D. dependent var 9.24E+11 S.E. of regression 4.61E+11 Akaike info criterion 56.55765 Sum squared resid 1.80E+26 Schwarz criterion 56.58552 Log likelihood -24088.56 Hannan-Quinn criter. 56.56833 F-statistic 642.9532 Durbin-Watson stat 2.295557 Prob(F-statistic) 0.000000 Heteroskedasticity Test: Breusch-Pagan-Godfrey F-statistic 60.97815 Prob. F(4,847) 0.0000 Obs*R-squared 190.4951 Prob. Chi-Square(4) 0.0000 Scaled explained SS 5649.744 Prob. Chi-Square(4) 0.0000 FE model Dependent Variable: CFOT Method: Panel Least Squares Date: 05/14/15 Time: 00:26 Total panel observations: 852 Variable Coefficient Std. Error t-Statistic Prob. C 5.52E+10 2.05E+10 2.686244 0.0074 CFOT_1 0.192402 0.081998 2.346433 0.0193 CFOT_2 -0.029462 0.097568 -0.301967 0.7628 ACRT_1 0.879525 0.077906 11.28951 0.0000 ACRT_2 -0.095209 0.094498 -1.007522 0.3141 Effects Specification Cross-section fixed (dummy variables) Period fixed (dummy variables) R-squared 0.887422 Mean dependent var 1.43E+11 Adjusted R-squared 0.828309 S.D. dependent var 9.24E+11 S.E. of regression 3.83E+11 Akaike info criterion 56.44730 Sum squared resid 8.18E+25 Schwarz criterion 58.08555 Log likelihood -23752.55 Hannan-Quinn criter. 57.07476 F-statistic 15.01219 Durbin-Watson stat 2.434564 Prob(F-statistic) 0.000000 RE model Dependent Variable: CFOT Method: Panel EGLS (Cross-section random effects) Date: 05/14/15 Time: 00:26 Total panel observations: 852 Swamy and Arora estimator of component variances Variable Coefficient Std. Error t-Statistic Prob. C -1.38E+10 1.44E+10 -0.956581 0.3391 CFOT_1 1.076550 0.062253 17.29310 0.0000 CFOT_2 0.066414 0.084886 0.782383 0.4342 ACRT_1 0.982043 0.061314 16.01660 0.0000 ACRT_2 -0.419384 0.069760 -6.011844 0.0000 Effects Specification S.D. Rho Cross-section random 0.000000 0.0000 Idiosyncratic random 3.91E+11 1.0000 Weighted Statistics R-squared 0.752253 Mean dependent var 1.43E+11 Adjusted R-squared 0.751083 S.D. dependent var 9.24E+11 S.E. of regression 4.61E+11 Sum squared resid 1.80E+26 F-statistic 642.9532 Durbin-Watson stat 2.144740 Prob(F-statistic) 0.000000 Unweighted Statistics R-squared 0.752253 Mean dependent var 1.43E+11 Sum squared resid 1.80E+26 Durbin-Watson stat 2.144740 Correlated Random Effects - Hausman Test Equation: Untitled Test cross-section random effects Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob. Cross-section random 380.783372 4 0.0000 Phương trình 3.3: Phương trình hồi quy đa biến, các biến độc lập có độ trễ 3 năm CFOt = λ0 + λ1 CFOt-1 + λ2 CFOt-2+ λ3 CFOt-3+ λ4 ACRt-1 + λ5 ACRt-2+ λ6 ACRt-3 + ε (3.3) Variance Inflation Factors Date: 05/14/15 Time: 00:15 Included observations: 852 Coefficient Uncentered Centered Variable Variance VIF VIF C 2.90E+20 1.170251 NA CFOT_1 0.005367 11.54847 11.34761 CFOT_2 0.013552 17.94330 17.64120 CFOT_3 0.009482 6.570762 6.424480 ACRT_1 0.005223 3.993819 3.812968 ACRT_2 0.009271 6.260810 5.878166 ACRT_3 0.006881 3.554241 3.388997 OLS Dependent Variable: CFOT Method: Least Squares Date: 05/14/15 Time: 00:15 Included observations: 852 Variable Coefficient Std. Error t-Statistic Prob. C -1.92E+10 1.70E+10 -1.127570 0.2598 CFOT_1 1.089601 0.073261 14.87290 0.0000 CFOT_2 -0.032330 0.116415 -0.277713 0.7813 CFOT_3 0.116598 0.097375 1.197417 0.2315 ACRT_1 0.973227 0.072270 13.46658 0.0000 ACRT_2 -0.533504 0.096286 -5.540847 0.0000 ACRT_3 0.215671 0.082953 2.599930 0.0095 R-squared 0.754879 Mean dependent var 1.43E+11 Adjusted R-squared 0.753138 S.D. dependent var 9.24E+11 S.E. of regression 4.59E+11 Akaike info criterion 56.55170 Sum squared resid 1.78E+26 Schwarz criterion 56.59070 Log likelihood -24084.02 Hannan-Quinn criter. 56.56664 F-statistic 433.7119 Durbin-Watson stat 2.343423 Prob(F-statistic) 0.000000 FE model Dependent Variable: CFOT Method: Panel Least Squares Date: 05/14/15 Time: 00:28 Total panel observations: 852 Variable Coefficient Std. Error t-Statistic Prob. C -4.26E+10 2.04E+10 -2.082098 0.0378 CFOT_1 0.080905 0.074086 1.092038 0.2753 CFOT_2 -0.415047 0.094300 -4.401336 0.0000 CFOT_3 0.763306 0.082593 9.241751 0.0000 ACRT_1 1.001574 0.076211 13.14214 0.0000 ACRT_2 -0.161450 0.090875 -1.776619 0.0762 ACRT_3 1.106636 0.075849 14.58990 0.0000 Effects Specification Cross-section fixed (dummy variables) Period fixed (dummy variables) R-squared 0.918695 Mean dependent var 1.43E+11 Adjusted R-squared 0.875557 S.D. dependent var 9.24E+11 S.E. of regression 3.26E+11 Akaike info criterion 56.12655 Sum squared resid 5.91E+25 Schwarz criterion 57.77595 Log likelihood -23613.91 Hannan-Quinn criter. 56.75829 F-statistic 21.29647 Durbin-Watson stat 2.737023 Prob(F-statistic) 0.000000 RE model Dependent Variable: CFOT Method: Panel EGLS (Cross-section random effects) Date: 05/14/15 Time: 00:28 Total panel observations: 852 Swamy and Arora estimator of component variances Variable Coefficient Std. Error t-Statistic Prob. C -1.92E+10 1.21E+10 -1.585079 0.1133 CFOT_1 1.089601 0.052115 20.90754 0.0000 CFOT_2 -0.032330 0.082813 -0.390395 0.6963 CFOT_3 0.116598 0.069269 1.683267 0.0927 ACRT_1 0.973227 0.051410 18.93060 0.0000 ACRT_2 -0.533504 0.068494 -7.789031 0.0000 ACRT_3 0.215671 0.059010 3.654845 0.0003 Effects Specification S.D. Rho Cross-section random 0.000000 0.0000 Idiosyncratic random 3.27E+11 1.0000 Weighted Statistics R-squared 0.754879 Mean dependent var 1.43E+11 Adjusted R-squared 0.753138 S.D. dependent var 9.24E+11 S.E. of regression 4.59E+11 Sum squared resid 1.78E+26 F-statistic 433.7119 Durbin-Watson stat 2.216175 Prob(F-statistic) 0.000000 Unweighted Statistics R-squared 0.754879 Mean dependent var 1.43E+11 Sum squared resid 1.78E+26 Durbin-Watson stat 2.216175 Correlated Random Effects - Hausman Test Equation: Untitled Test cross-section random effects Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob. Cross-section random 851.091578 6 0.0000 Phụ lục 04: Kết quả hồi quy mô hình dòng tiền và các thành phần cụ thể của thông tin kế toán theo cơ sở dồn tích có trong lợi nhuận APT_1 APT_2 APT_3 ART_1 ART_2 ART_3 Mean 5.26E+10 5.36E+10 3.36E+10 4.37E+10 5.08E+10 4.83E+10 Median 0.000000 0.000000 0.000000 0.000000 7.21E+08 0.000000 Maximum 8.68E+12 8.68E+12 3.84E+12 4.41E+12 4.41E+12 4.41E+12 Minimum -2.55E+12 -8.45E+11 -8.45E+11 -1.48E+12 -1.31E+12 -6.32E+11 Std. Dev. 4.22E+11 4.00E+11 2.53E+11 2.56E+11 2.50E+11 2.39E+11 Skewness 12.40993 14.18983 9.553290 8.198415 9.089460 10.73480 Kurtosis 231.0115 273.8917 131.0795 130.5483 140.7626 169.3015 Jarque-Bera 1867486. 2633663. 595314.1 587078.7 685470.0 998158.3 Probability 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 Sum 4.48E+13 4.57E+13 2.87E+13 3.72E+13 4.33E+13 4.11E+13 Sum Sq. Dev. 1.51E+26 1.36E+26 5.45E+25 5.59E+25 5.34E+25 4.84E+25 Observations 852 852 852 852 852 852 INVT_1 INVT_2 INVT_3 OTHT_1 OTHT_2 OTHT_3 Mean 6.44E+10 6.15E+10 4.29E+10 1.50E+09 5.30E+09 4.71E+09 Median 0.000000 20938348 0.000000 0.000000 0.000000 0.000000 Maximum 7.01E+12 4.36E+12 1.74E+12 4.77E+11 6.76E+11 6.76E+11 Minimum -1.16E+12 -1.18E+12 -1.18E+12 -1.08E+12 -4.55E+11 -2.25E+11 Std. Dev. 3.47E+11 2.56E+11 1.74E+11 5.09E+10 4.28E+10 3.85E+10 Skewness 12.40521 7.903272 3.372203 -10.40250 6.756259 9.928788 Kurtosis 220.2444 110.8619 31.71585 262.3103 119.0542 149.7282 Jarque-Bera 1697279. 421883.2 30888.08 2402451. 484616.7 778283.5 Probability 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 Sum 5.49E+13 5.24E+13 3.66E+13 1.28E+12 4.52E+12 4.02E+12 Sum Sq. Dev. 1.03E+26 5.57E+25 2.57E+25 2.21E+24 1.56E+24 1.26E+24 Observations 852 852 852 852 852 852 DPRMT_1 DPRMT_2 DPRMT_3 Mean 4.99E+10 4.15E+10 3.39E+10 Median 1.18E+10 9.68E+09 8.15E+09 Maximum 3.09E+12 2.80E+12 1.73E+12 Minimum 0.000000 0.000000 0.000000 Std. Dev. 1.82E+11 1.47E+11 1.14E+11 Skewness 11.27115 11.22994 8.460543 Kurtosis 164.1255 175.1802 92.72448 Jarque-Bera 939670.7 1070342. 295956.6 Probability 0.000000 0.000000 0.000000 Sum 4.25E+13 3.53E+13 2.89E+13 Sum Sq. Dev. 2.82E+25 1.84E+25 1.11E+25 Observations 852 852 852 Phương trình 4.4.1: Phương trình hồi quy đa biến, các biến độc lập có độ trễ 1 năm: CFOt = e 0 + e1 CFO t-1 + e2 ∆ARt-1 + e3∆AP t-1 + e4∆INV t-1 + e5 ∆OTH t-1 + e6DPRM t-1 + ρ (4.4.1) OLS Dependent Variable: CFOT Method: Least Squares Date: 05/14/15 Time: 10:52 Included observations: 852 Variable Coefficient Std. Error t-Statistic Prob. C -9.75E+10 1.35E+10 -7.211995 0.0000 CFOT_1 0.712301 0.042091 16.92284 0.0000 APT_1 -0.828668 0.059649 -13.89229 0.0000 ART_1 1.099319 0.061531 17.86615 0.0000 INVT_1 1.296087 0.063212 20.50370 0.0000 OTHT_1 -0.288071 0.405560 -0.710304 0.4777 DPRMT_1 1.696612 0.158815 10.68292 0.0000 R-squared 0.842022 Mean dependent var 1.43E+11 Adjusted R-squared 0.840900 S.D. dependent var 9.24E+11 S.E. of regression 3.69E+11 Akaike info criterion 56.11240 Sum squared resid 1.15E+26 Schwarz criterion 56.15140 Log likelihood -23896.88 Hannan-Quinn criter. 56.12734 F-statistic 750.6410 Durbin-Watson stat 1.988822 Prob(F-statistic) 0.000000 Heteroskedasticity Test: Breusch-Pagan-Godfrey F-statistic 180.7592 Prob. F(6,845) 0.0000 Obs*R-squared 478.8881 Prob. Chi-Square(6) 0.0000 Scaled explained SS 8496.261 Prob. Chi-Square(6) 0.0000 Variance Inflation Factors Date: 05/14/15 Time: 15:17 Included observations: 852 Coefficient Uncentered Centered Variable Variance VIF VIF C 1.83E+20 1.145954 NA CFOT_1 0.001772 5.914886 5.812011 APT_1 0.003558 4.022192 3.960594 ART_1 0.003786 1.601199 1.555920 INVT_1 0.003996 3.121344 3.017317 OTHT_1 0.164479 2.675458 2.673131 DPRMT_1 0.025222 5.630280 5.236414 FE model Dependent Variable: CFOT Method: Panel Least Squares Date: 05/14/15 Time: 16:09 Cross-sections included Total panel (unbalanced) observations: 852 Variable Coefficient Std. Error t-Statistic Prob. C -4.93E+10 2.24E+10 -2.205138 0.0279 CFOT_1 0.063680 0.076432 0.833161 0.4051 APT_1 -0.724623 0.080331 -9.020449 0.0000 ART_1 0.877728 0.087506 10.03047 0.0000 INVT_1 0.969675 0.095773 10.12475 0.0000 OTHT_1 -0.449346 0.453372 -0.991119 0.3221 DPRMT_1 2.492599 0.324392 7.683912 0.0000 Effects Specification Cross-section fixed (dummy variables) Period fixed (dummy variables) R-squared 0.924163 Mean dependent var 1.43E+11 Adjusted R-squared 0.883925 S.D. dependent var 9.24E+11 S.E. of regression 3.15E+11 Akaike info criterion 56.05694 Sum squared resid 5.51E+25 Schwarz criterion 57.70633 Log likelihood -23584.26 Hannan-Quinn criter. 56.68867 F-statistic 22.96770 Durbin-Watson stat 2.484538 Prob(F-statistic) 0.000000 RE model Dependent Variable: CFOT Method: Panel EGLS (Cross-section random effects) Date: 05/14/15 Time: 16:10 Total panel observations: 852 Swamy and Arora estimator of component variances Variable Coefficient Std. Error t-Statistic Prob. C -9.75E+10 1.17E+10 -8.333068 0.0000 CFOT_1 0.712301 0.036428 19.55342 0.0000 APT_1 -0.828668 0.051625 -16.05179 0.0000 ART_1 1.099319 0.053253 20.64336 0.0000 INVT_1 1.296087 0.054708 23.69091 0.0000 OTHT_1 -0.288071 0.350999 -0.820717 0.4120 DPRMT_1 1.696612 0.137449 12.34353 0.0000 Effects Specification S.D. Rho Cross-section random 0.000000 0.0000 Idiosyncratic random 3.19E+11 1.0000 Weighted Statistics R-squared 0.842022 Mean dependent var 1.43E+11 Adjusted R-squared 0.840900 S.D. dependent var 9.24E+11 S.E. of regression 3.69E+11 Sum squared resid 1.15E+26 F-statistic 750.6410 Durbin-Watson stat 1.873498 Prob(F-statistic) 0.000000 Unweighted Statistics R-squared 0.842022 Mean dependent var 1.43E+11 Sum squared resid 1.15E+26 Durbin-Watson stat 1.873498 Correlated Random Effects - Hausman Test Equation: Untitled Test cross-section random effects Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob. Cross-section random 422.549514 6 0.0000 Phương trình 4.4.2: Phương trình hồi quy đa biến, các biến độc lập có độ trễ 2 năm: CFOt = e 0 + e1 CFOt-1 + e2 CFOt-2 + e3 ∆ARt-1 + e4 ∆AR t-2 + e5∆AP t-1+ e6∆APt-2 e7∆INVt- 1 + e8∆INV t-2 + e9∆OTH t-1 + e10 ∆OTHt-2 + e11DPRM t-1 + e12DPRM t-2 + ρ (4.4.2) Variance Inflation Factors Date: 05/14/15 Time: 15:42 Included observations: 852 Coefficient Uncentered Centered Variable Variance VIF VIF C 1.41E+20 1.255948 NA CFOT_1 0.002302 10.93805 10.74781 CFOT_2 0.003510 10.26058 10.08784 APT_1 0.003503 5.635724 5.549415 APT_2 0.004303 6.258543 6.148152 ART_1 0.003273 1.970062 1.914352 ART_2 0.004145 2.411122 2.315623 INVT_1 0.004347 4.832079 4.671037 INVT_2 0.005036 3.103997 2.934356 OTHT_1 0.123191 2.851766 2.849286 OTHT_2 0.148878 2.467093 2.429794 DPRMT_1 0.059962 19.04892 17.71635 DPRMT_2 0.071915 14.93990 13.83586 OLS Dependent Variable: CFOT Method: Least Squares Date: 05/14/15 Time: 15:40 Included observations: 852 Variable Coefficient Std. Error t-Statistic Prob. C -5.35E+10 1.19E+10 -4.512337 0.0000 CFOT_1 0.908081 0.047980 18.92608 0.0000 CFOT_2 -0.082574 0.059242 -1.393844 0.1637 APT_1 -0.850910 0.059187 -14.37663 0.0000 APT_2 0.563839 0.065595 8.595699 0.0000 ART_1 1.052486 0.057212 18.39626 0.0000 ART_2 -0.661669 0.064381 -10.27744 0.0000 INVT_1 1.100490 0.065929 16.69212 0.0000 INVT_2 0.021000 0.070963 0.295932 0.7674 OTHT_1 -0.854811 0.350986 -2.435460 0.0151 OTHT_2 0.703044 0.385847 1.822082 0.0688 DPRMT_1 1.563895 0.244872 6.386575 0.0000 DPRMT_2 -0.844021 0.268170 -3.147334 0.0017 R-squared 0.889781 Mean dependent var 1.43E+11 Adjusted R-squared 0.888205 S.D. dependent var 9.24E+11 S.E. of regression 3.09E+11 Akaike info criterion 55.76649 Sum squared resid 8.01E+25 Schwarz criterion 55.83893 Log likelihood -23743.53 Hannan-Quinn criter. 55.79424 F-statistic 564.4284 Durbin-Watson stat 1.896699 Prob(F-statistic) 0.000000 Heteroskedasticity Test: Breusch-Pagan-Godfrey F-statistic 18.33721 Prob. F(12,839) 0.0000 Obs*R-squared 177.0269 Prob. Chi-Square(12) 0.0000 Scaled explained SS 1959.439 Prob. Chi-Square(12) 0.0000 FE model Dependent Variable: CFOT Method: Panel Least Squares Date: 05/14/15 Time: 16:12 Total panel observations: 852 Variable Coefficient Std. Error t-Statistic Prob. C -4.47E+10 2.12E+10 -2.107755 0.0355 CFOT_1 0.067608 0.070304 0.961641 0.3367 CFOT_2 -0.278544 0.067471 -4.128326 0.0000 APT_1 -0.763389 0.071007 -10.75089 0.0000 APT_2 0.079242 0.073885 1.072508 0.2840 ART_1 0.751735 0.081411 9.233842 0.0000 ART_2 -0.190873 0.071809 -2.658072 0.0081 INVT_1 0.856248 0.081364 10.52365 0.0000 INVT_2 0.581657 0.083587 6.958729 0.0000 OTHT_1 -0.926885 0.404772 -2.289896 0.0224 OTHT_2 0.440919 0.399983 1.102345 0.2708 DPRMT_1 1.552724 0.351964 4.411601 0.0000 DPRMT_2 1.097229 0.309862 3.541027 0.0004 Effects Specification Cross-section fixed (dummy variables) Period fixed (dummy variables) R-squared 0.949748 Mean dependent var 1.43E+11 Adjusted R-squared 0.922246 S.D. dependent var 9.24E+11 S.E. of regression 2.58E+11 Akaike info criterion 55.65948 Sum squared resid 3.65E+25 Schwarz criterion 57.34231 Log likelihood -23408.94 Hannan-Quinn criter. 56.30402 F-statistic 34.53429 Durbin-Watson stat 2.548625 Prob(F-statistic) 0.000000 RE model Dependent Variable: CFOT Method: Panel EGLS (Cross-section random effects) Date: 05/14/15 Time: 16:14 Total panel observations: 852 Swamy and Arora estimator of component variances Variable Coefficient Std. Error t-Statistic Prob. C -5.35E+10 9.96E+09 -5.374460 0.0000 CFOT_1 0.908081 0.040284 22.54208 0.0000 CFOT_2 -0.082574 0.049739 -1.660151 0.0973 APT_1 -0.850910 0.049693 -17.12341 0.0000 APT_2 0.563839 0.055073 10.23799 0.0000 ART_1 1.052486 0.048035 21.91103 0.0000 ART_2 -0.661669 0.054053 -12.24104 0.0000 INVT_1 1.100490 0.055353 19.88130 0.0000 INVT_2 0.021000 0.059580 0.352472 0.7246 OTHT_1 -0.854811 0.294684 -2.900777 0.0038 OTHT_2 0.703044 0.323953 2.170207 0.0303 DPRMT_1 1.563895 0.205592 7.606789 0.0000 DPRMT_2 -0.844021 0.225153 -3.748661 0.0002 Effects Specification S.D. Rho Cross-section random 0.000000 0.0000 Idiosyncratic random 2.59E+11 1.0000 Weighted Statistics R-squared 0.889781 Mean dependent var 1.43E+11 Adjusted R-squared 0.888205 S.D. dependent var 9.24E+11 S.E. of regression 3.09E+11 Sum squared resid 8.01E+25 F-statistic 564.4284 Durbin-Watson stat 2.338839 Prob(F-statistic) 0.000000 Unweighted Statistics R-squared 0.889781 Mean dependent var 1.43E+11 Sum squared resid 8.01E+25 Durbin-Watson stat 2.338839 Correlated Random Effects - Hausman Test Equation: Untitled Test cross-section random effects Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob. Cross-section random 482.296112 12 0.0000 Phương trình 4.4.3: Phương trình hồi quy đa biến , các biến độc lập có độ trễ 3 năm: CFOt = e 0 + e1CFOt-1 + e2CFOt-2 + e3 CFO t-3 + e4∆AR t-1 + e5 ∆ARt-2 +e6 ∆AR t-3 + e7∆AP t-1 + e8∆AP t-2 + e9∆AP t-3 + e10∆INV t-1 + e11∆INV t-2 + e12∆INVt-3 + e13 DPRM t-1 + e14DPRM t-2 + e15DPRM t-3 +e16∆OTH t-1 + e17 ∆OTH t-2 + e18 ∆OTH t-3 +ρ (4.4.3) OLS Dependent Variable: CFOT Method: Least Squares Date: 05/14/15 Time: 15:44 Included observations: 852 Variable Coefficient Std. Error t-Statistic Prob. C -4.39E+10 1.18E+10 -3.711633 0.0002 CFOT_1 0.871604 0.048648 17.91642 0.0000 CFOT_2 -0.099445 0.065420 -1.520113 0.1289 CFOT_3 0.103478 0.058271 1.775802 0.0761 APT_1 -0.817295 0.059351 -13.77056 0.0000 APT_2 0.568577 0.073471 7.738788 0.0000 APT_3 0.209328 0.079655 2.627922 0.0087 ART_1 1.004103 0.057505 17.46121 0.0000 ART_2 -0.684025 0.067800 -10.08887 0.0000 ART_3 -0.147268 0.082730 -1.780102 0.0754 INVT_1 1.061079 0.066781 15.88902 0.0000 INVT_2 0.054115 0.075740 0.714492 0.4751 INVT_3 -0.177002 0.078801 -2.246200 0.0250 OTHT_1 -0.439499 0.364771 -1.204862 0.2286 OTHT_2 0.782735 0.391198 2.000868 0.0457 OTHT_3 -0.100766 0.378634 -0.266130 0.7902 DPRMT_1 1.288030 0.265748 4.846815 0.0000 DPRMT_2 0.000928 0.377872 0.002456 0.9980 DPRMT_3 -0.700472 0.252190 -2.777562 0.0056 R-squared 0.894653 Mean dependent var 1.43E+11 Adjusted R-squared 0.892376 S.D. dependent var 9.24E+11 S.E. of regression 3.03E+11 Akaike info criterion 55.73537 Sum squared resid 7.66E+25 Schwarz criterion 55.84124 Log likelihood -23724.27 Hannan-Quinn criter. 55.77592 F-statistic 393.0108 Durbin-Watson stat 1.891764 Prob(F-statistic) 0.000000 Heteroskedasticity Test: Breusch-Pagan-Godfrey F-statistic 12.07426 Prob. F(18,833) 0.0000 Obs*R-squared 176.2966 Prob. Chi-Square(18) 0.0000 Scaled explained SS 1996.319 Prob. Chi-Square(18) 0.0000 Variance Inflation Factors Date: 05/14/15 Time: 15:44 Included observations: 852 Coefficient Uncentered Centered Variable Variance VIF VIF C 1.40E+20 1.293576 NA CFOT_1 0.002367 11.68056 11.47740 CFOT_2 0.004280 12.99725 12.77842 CFOT_3 0.003396 5.397289 5.277131 APT_1 0.003523 5.886628 5.796477 APT_2 0.005398 8.155923 8.012064 APT_3 0.006345 3.827445 3.760920 ART_1 0.003307 2.067425 2.008961 ART_2 0.004597 2.777677 2.667660 ART_3 0.006844 3.752370 3.604495 INVT_1 0.004460 5.149929 4.978294 INVT_2 0.005737 3.672955 3.472219 INVT_3 0.006210 1.845068 1.739079 OTHT_1 0.133058 3.199567 3.196785 OTHT_2 0.153036 2.634295 2.594468 OTHT_3 0.143364 1.994904 1.965399 DPRMT_1 0.070622 23.30484 21.67455 DPRMT_2 0.142787 30.81283 28.53582 DPRMT_3 0.063600 8.341688 7.662912 FE model Dependent Variable: CFOT Method: Panel Least Squares Date: 05/14/15 Time: 16:26 Total panel (unbalanced) observations: 852 Variable Coefficient Std. Error t-Statistic Prob. C -6.81E+10 2.17E+10 -3.141851 0.0018 CFOT_1 -0.105004 0.070248 -1.494747 0.1356 CFOT_2 -0.206533 0.066206 -3.119572 0.0019 CFOT_3 -0.106958 0.068025 -1.572341 0.1165 APT_1 -0.706308 0.074042 -9.539252 0.0000 APT_2 -0.113543 0.080457 -1.411239 0.1587 APT_3 0.018948 0.099668 0.190114 0.8493 ART_1 0.803101 0.081269 9.882045 0.0000 ART_2 0.095524 0.088453 1.079939 0.2806 ART_3 0.244711 0.113297 2.159910 0.0312 INVT_1 0.871865 0.080080 10.88737 0.0000 INVT_2 0.889791 0.093510 9.515413 0.0000 INVT_3 0.474898 0.098773 4.807960 0.0000 OTHT_1 -1.148572 0.439737 -2.611950 0.0093 OTHT_2 0.353376 0.432222 0.817580 0.4140 OTHT_3 -0.325860 0.445226 -0.731898 0.4645 DPRMT_1 0.321975 0.373414 0.862247 0.3889 DPRMT_2 0.780995 0.331715 2.354417 0.0189 DPRMT_3 1.647527 0.409399 4.024261 0.0001 Effects Specification Cross-section fixed (dummy variables) Period fixed (dummy variables) R-squared 0.955655 Mean dependent var 1.43E+11 Adjusted R-squared 0.930630 S.D. dependent var 9.24E+11 S.E. of regression 2.43E+11 Akaike info criterion 55.54851 Sum squared resid 3.22E+25 Schwarz criterion 57.26478 Log likelihood -23355.67 Hannan-Quinn criter. 56.20586 F-statistic 38.18724 Durbin-Watson stat 2.501873 Prob(F-statistic) 0.000000 RE model Dependent Variable: CFOT Method: Panel EGLS (Cross-section random effects) Date: 05/14/15 Time: 16:27 Variable Coefficient Std. Error t-Statistic Prob. C -4.39E+10 9.52E+09 -4.606569 0.0000 CFOT_1 0.871604 0.039197 22.23636 0.0000 CFOT_2 -0.099445 0.052710 -1.886638 0.0596 CFOT_3 0.103478 0.046950 2.203978 0.0278 APT_1 -0.817295 0.047821 -17.09087 0.0000 APT_2 0.568577 0.059198 9.604738 0.0000 APT_3 0.209328 0.064180 3.261558 0.0012 ART_1 1.004103 0.046333 21.67140 0.0000 ART_2 -0.684025 0.054628 -12.52146 0.0000 ART_3 -0.147268 0.066658 -2.209315 0.0274 INVT_1 1.061079 0.053807 19.72013 0.0000 INVT_2 0.054115 0.061025 0.886768 0.3755 INVT_3 -0.177002 0.063492 -2.787796 0.0054 OTHT_1 -0.439499 0.293905 -1.495375 0.1352 OTHT_2 0.782735 0.315198 2.483311 0.0132 OTHT_3 -0.100766 0.305075 -0.330299 0.7413 DPRMT_1 1.288030 0.214120 6.015463 0.0000 DPRMT_2 0.000928 0.304461 0.003049 0.9976 DPRMT_3 -0.700472 0.203196 -3.447278 0.0006 Effects Specification S.D. Rho Cross-section random 0.000000 0.0000 Idiosyncratic random 2.44E+11 1.0000 Weighted Statistics R-squared 0.894653 Mean dependent var 1.43E+11 Adjusted R-squared 0.892376 S.D. dependent var 9.24E+11 S.E. of regression 3.03E+11 Sum squared resid 7.66E+25 F-statistic 393.0108 Durbin-Watson stat 2.257899 Prob(F-statistic) 0.000000 Unweighted Statistics R-squared 0.894653 Mean dependent var 1.43E+11 Sum squared resid 7.66E+25 Durbin-Watson stat 2.257899 Correlated Random Effects - Hausman Test Equation: Untitled Test cross-section random effects Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob. Cross-section random 572.424243 18 0.0000 PHỤ LỤC 05: KẾT QUẢ HỒI QUY MÔ HÌNH TỶ SUẤT DÒNG TIỀN Phươngtrình 5.5.1 (độtrễ 1 năm) Variance Inflation Factors Date: 06/01/15 Time: 20:21 Included observations: 852 Coefficient Uncentered Centered Variable Variance VIF VIF C 1.26E-05 1.068085 NA X1T_1 5.34E-07 1.031725 1.026577 X2T_1 1.86E-09 1.956319 1.950217 X3T_1 5.73E-07 1.883886 1.875595 X4T_1 1.22E-07 6.314347 6.309604 X5T_1 6.48E-09 11.47228 11.44988 X6T_1 8.01E-07 11.64819 11.62068 X7T_1 3.72E-06 1.051171 1.048996 X8T_1 1.66E-08 1.052787 1.052782 X9T_1 0.000508 1.130091 1.077122 OLS model Dependent Variable: CFOT Method: Least Squares Date: 06/01/15 Time: 20:20 Variable Coefficient Std. Error t-Statistic Prob. C -0.004541 0.003547 -1.280195 0.2009 X1T_1 -3.62E-05 0.000731 -0.049485 0.9605 X2T_1 -1.48E-05 4.32E-05 -0.342702 0.7319 X3T_1 -0.000303 0.000757 -0.400885 0.6886 X4T_1 0.000428 0.000350 1.224961 0.2210 X5T_1 -7.31E-05 8.05E-05 -0.908301 0.3640 X6T_1 0.001391 0.000895 1.553732 0.1207 X7T_1 0.002063 0.001929 1.069150 0.2853 X8T_1 8.97E-05 0.000129 0.695125 0.4872 X9T_1 0.053305 0.022543 2.364638 0.0183 R-squared 0.016549 Mean dependent var -0.002492 Adjusted R-squared 0.004637 S.D. dependent var 0.094404 S.E. of regression 0.094185 Akaike info criterion -1.873927 Sum squared resid 6.590973 Schwarz criterion -1.812518 Log likelihood 715.5334 Hannan-Quinn criter. -1.850269 F-statistic 1.389241 Durbin-Watson stat 1.738913 Prob(F-statistic) 0.188734 Heteroskedasticity Test: Breusch-Pagan-Godfrey F-statistic 0.090361 Prob. F(9,743) 0.9998 Obs*R-squared 0.823293 Prob. Chi-Square(9) 0.9997 Scaled explained SS 25.16922 Prob. Chi-Square(9) 0.0028 FE model Dependent Variable: CFOT Method: Panel Least Squares Date: 06/01/15 Time: 20:11 Variable Coefficient Std. Error t-Statistic Prob. C -0.001426 0.002956 -0.482259 0.6298 X1T_1 0.000343 0.001168 0.293958 0.7689 X2T_1 -1.58E-05 4.40E-05 -0.358625 0.7200 X3T_1 -0.000389 0.000757 -0.513695 0.6077 X4T_1 0.000601 0.000362 1.663037 0.0970 X5T_1 -0.000150 8.28E-05 -1.813088 0.0705 X6T_1 0.002356 0.000926 2.543935 0.0113 X7T_1 -0.000567 0.001972 -0.287503 0.7739 X8T_1 -7.20E-05 0.000142 -0.508657 0.6112 X9T_1 -0.039756 0.021838 -1.820469 0.0693 Effects Specification Cross-section fixed (dummy variables) Period fixed (dummy variables) R-squared 0.581497 Mean dependent var -0.002492 Adjusted R-squared 0.333233 S.D. dependent var 0.094404 S.E. of regression 0.077086 Akaike info criterion -2.008523 Sum squared resid 2.804759 Schwarz criterion -0.282942 Log likelihood 1037.209 Hannan-Quinn criter. -1.343743 F-statistic 2.342248 Durbin-Watson stat 2.500248 Prob(F-statistic) 0.000000 RE model Dependent Variable: CFOT Method: Panel EGLS (Cross-section random effects) Date: 06/01/15 Time: 20:12 Total panel (unbalanced) observations: 852 Swamy and Arora estimator of component variances Variable Coefficient Std. Error t-Statistic Prob. C -0.003235 0.004158 -0.778039 0.4368 X1T_1 -1.24E-05 0.000680 -0.018191 0.9855 X2T_1 -1.29E-05 3.92E-05 -0.330351 0.7412 X3T_1 -0.000325 0.000678 -0.478755 0.6323 X4T_1 0.000507 0.000319 1.588558 0.1126 X5T_1 -0.000101 7.29E-05 -1.392561 0.1642 X6T_1 0.001788 0.000812 2.202236 0.0280 X7T_1 0.001002 0.001755 0.570974 0.5682 X8T_1 3.22E-05 0.000119 0.270058 0.7872 X9T_1 0.013098 0.019859 0.659560 0.5097 Effects Specification S.D. Rho Cross-section random 0.047835 0.2771 Idiosyncratic random 0.077263 0.7229 Weighted Statistics R-squared 0.009095 Mean dependent var -0.001714 Adjusted R-squared -0.002908 S.D. dependent var 0.078872 S.E. of regression 0.078987 Sum squared resid 4.635549 F-statistic 0.757740 Durbin-Watson stat 2.265336 Prob(F-statistic) 0.655805 Unweighted Statistics R-squared 0.009783 Mean dependent var -0.002492 Sum squared resid 6.636322 Durbin-Watson stat 1.582364 Correlated Random Effects - Hausman Test Equation: Untitled Test cross-section random effects Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob. Cross-section random 49.672538 9 0.0000 Phươngtrình 4.5.2 (độtrễ 2 năm) Variance Inflation Factors Date: 06/01/15 Time: 20:22 Coefficient Uncentered Centered Variable Variance VIF VIF C 1.34E-05 1.093829 NA X1T_1 1.63E-06 1.098508 1.093901 X2T_1 3.41E-09 2.925741 2.920760 X3T_1 1.58E-06 2.112056 2.099664 X4T_1 1.47E-07 1.567429 1.567407 X5T_1 7.10E-09 2.923204 2.921645 X6T_1 2.60E-06 3.067228 3.062307 X7T_1 4.70E-06 1.338665 1.335399 X8T_1 3.06E-08 1.159190 1.157723 X9T_1 0.000542 1.187655 1.136799 X1T_2 2.16E-06 1.105055 1.104461 X2T_2 2.35E-09 2.954314 2.935416 X3T_2 7.81E-07 2.867728 2.844440 X4T_2 4.29E-07 19.21919 19.19113 X5T_2 1.28E-08 20.48768 20.43789 X6T_2 1.34E-06 18.60896 18.56288 X7T_2 8.44E-06 1.485113 1.476364 X8T_2 6.31E-08 1.365729 1.365184 X9T_2 0.000640 1.199456 1.185506 OLS model Dependent Variable: CFOT Method: Least Squares Date: 06/01/15 Time: 20:21 Included observations: 852 Variable Coefficient Std. Error t-Statistic Prob. C -0.005139 0.003658 -1.404540 0.1606 X1T_1 0.000413 0.001275 0.323990 0.7460 X2T_1 -3.84E-05 5.84E-05 -0.657214 0.5113 X3T_1 0.000213 0.001258 0.169641 0.8653 X4T_1 0.001206 0.000384 3.140127 0.0018 X5T_1 -0.000162 8.43E-05 -1.925468 0.0546 X6T_1 0.003652 0.001613 2.264298 0.0239 X7T_1 0.001896 0.002168 0.874817 0.3820 X8T_1 2.90E-05 0.000175 0.165597 0.8685 X9T_1 0.056876 0.023283 2.442848 0.0148 X1T_2 3.36E-05 0.001469 0.022867 0.9818 X2T_2 2.11E-05 4.85E-05 0.436237 0.6628 X3T_2 -0.000450 0.000883 -0.509624 0.6105 X4T_2 -0.003552 0.000655 -5.423725 0.0000 X5T_2 2.12E-05 0.000113 0.187109 0.8516 X6T_2 -0.006307 0.001157 -5.451233 0.0000 X7T_2 0.000257 0.002906 0.088586 0.9294 X8T_2 5.05E-05 0.000251 0.200975 0.8408 X9T_2 0.061242 0.025296 2.420989 0.0157 R-squared 0.081160 Mean dependent var -0.002802 Adjusted R-squared 0.057499 S.D. dependent var 0.096549 S.E. of regression 0.093733 Akaike info criterion -1.870637 Sum squared resid 6.141268 Schwarz criterion -1.749532 Log likelihood 690.5585 Hannan-Quinn criter. -1.823878 F-statistic 3.430114 Durbin-Watson stat 1.588680 Prob(F-statistic) 0.000002 Heteroskedasticity Test: Breusch-Pagan-Godfrey F-statistic 1.940924 Prob. F(18,699) 0.0110 Obs*R-squared 34.17803 Prob. Chi-Square(18) 0.0120 Scaled explained SS 816.7595 Prob. Chi-Square(18) 0.0000 FE model Dependent Variable: CFOT Method: Panel Least Squares Date: 06/01/15 Time: 20:14 Variable Coefficient Std. Error t-Statistic Prob. C -0.002177 0.002960 -0.735435 0.4625 X1T_1 0.000225 0.001177 0.191109 0.8485 X2T_1 -9.80E-05 4.82E-05 -2.030584 0.0429 X3T_1 0.000180 0.001019 0.176653 0.8599 X4T_1 0.001132 0.000336 3.373981 0.0008 X5T_1 -0.000414 9.19E-05 -4.506424 0.0000 X6T_1 0.005206 0.001441 3.611733 0.0003 X7T_1 -0.000538 0.001862 -0.289039 0.7727 X8T_1 -2.30E-05 0.000160 -0.143273 0.8861 X9T_1 -0.055162 0.021865 -2.522853 0.0120 X1T_2 0.000223 0.001555 0.143416 0.8860 X2T_2 5.97E-05 5.36E-05 1.112614 0.2665 X3T_2 0.001788 0.001338 1.336823 0.1820 X4T_2 -0.008647 0.000752 -11.49227 0.0000 X5T_2 -0.000131 0.000115 -1.135668 0.2567 X6T_2 -0.005951 0.002869 -2.074271 0.0386 X7T_2 -0.001585 0.003372 -0.470002 0.6386 X8T_2 -0.000340 0.000296 -1.149404 0.2510 X9T_2 -0.053952 0.025954 -2.078752 0.0382 Effects Specification Cross-section fixed (dummy variables) Period fixed (dummy variables) R-squared 0.705858 Mean dependent var -0.002802 Adjusted R-squared 0.518494 S.D. dependent var 0.096549 S.E. of regression 0.066996 Akaike info criterion -2.282667 Sum squared resid 1.965961 Schwarz criterion -0.497971 Log likelihood 1099.478 Hannan-Quinn criter. -1.593588 F-statistic 3.767306 Durbin-Watson stat 2.129597 Prob(F-statistic) 0.000000 RE model Dependent Variable: CFOT Method: Panel EGLS (Cross-section random effects) Date: 06/01/15 Time: 20:15 Total panel observations: 852 Swamy and Arora estimator of component variances Variable Coefficient Std. Error t-Statistic Prob. C -0.002516 0.004509 -0.558003 0.5770 X1T_1 0.000433 0.001041 0.415880 0.6776 X2T_1 -4.59E-05 4.46E-05 -1.028213 0.3042 X3T_1 0.000278 0.000957 0.290005 0.7719 X4T_1 0.001297 0.000310 4.186862 0.0000 X5T_1 -0.000225 7.10E-05 -3.163667 0.0016 X6T_1 0.004107 0.001302 3.154181 0.0017 X7T_1 0.000485 0.001741 0.278717 0.7805 X8T_1 -7.89E-06 0.000142 -0.055414 0.9558 X9T_1 0.006954 0.018821 0.369484 0.7119 X1T_2 -6.19E-05 0.001304 -0.047456 0.9622 X2T_2 2.55E-05 4.34E-05 0.589125 0.5560 X3T_2 -0.000607 0.000784 -0.775099 0.4385 X4T_2 -0.005545 0.000597 -9.284136 0.0000 X5T_2 -6.33E-08 9.72E-05 -0.000651 0.9995 X6T_2 -0.009538 0.001050 -9.083668 0.0000 X7T_2 0.000349 0.002713 0.128711 0.8976 X8T_2 -0.000128 0.000233 -0.549340 0.5829 X9T_2 0.015677 0.021652 0.724056 0.4693 Effects Specification S.D. Rho Cross-section random 0.057161 0.4195 Idiosyncratic random 0.067239 0.5805 Weighted Statistics R-squared 0.138429 Mean dependent var -0.001619 Adjusted R-squared 0.116242 S.D. dependent var 0.075483 S.E. of regression 0.070960 Sum squared resid 3.519645 F-statistic 6.239357 Durbin-Watson stat 2.035124 Prob(F-statistic) 0.000000 Unweighted Statistics R-squared 0.047992 Mean dependent var -0.002802 Sum squared resid 6.362956 Durbin-Watson stat 1.125721 Correlated Random Effects - Hausman Test Equation: Untitled Test cross-section random effects Test Summary Chi-Sq. Statistic Chi-Sq. d.f. Prob. Cross-section random 100.771126 18 0.0000 Chạy stepwise với độtrễ 1 năm Dependent Variable: CFOT Method: Stepwise Regression Date: 06/01/15 Time: 20:18 Included observations: 852 No always included regressors Number of search regressors: 9 Selection method: Stepwise forwards Stopping criterion: p-value forwards/backwards = 0.5/0.5 Note: final equation sample is larger than stepwise sample (rejected regressors contain missing values) Variable Coefficient Std. Error t-Statistic Prob.* X9T_1 0.044512 0.020102 2.214336 0.0271 X7T_1 0.002188 0.001824 1.199343 0.2307 X8T_1 9.46E-05 0.000123 0.770661 0.4411 R-squared 0.010202 Mean dependent var -0.002550 Adjusted R-squared 0.007806 S.D. dependent var 0.090441 S.E. of regression 0.090087 Akaike info criterion -1.972460 Sum squared resid 6.703602 Schwarz criterion -1.955379 Log likelihood 820.5849 Hannan-Quinn criter. -1.965910 Durbin-Watson stat 1.743085 Selection Summary Added X9T_1 Added X7T_1 Added X8T_1 *Note: p-values and subsequent tests do not account for stepwise selection. Chạy stepwise với độtrễ 2 năm Dependent Variable: CFOT Method: Stepwise Regression Date: 06/01/15 Time: 20:17 Included observations: 852 No always included regressors Number of search regressors: 18 Selection method: Stepwise forwards Stopping criterion: p-value forwards/backwards = 0.5/0.5 Note: final equation sample is larger than stepwise sample (rejected regressors contain missing values) Variable Coefficient Std. Error t-Statistic Prob.* X9T_2 0.059124 0.023008 2.569681 0.0104 X9T_1 0.050371 0.021456 2.347657 0.0192 X4T_2 -0.003586 0.000553 -6.489955 0.0000 X6T_2 -0.006108 0.000986 -6.192792 0.0000 X4T_1 0.001174 0.000379 3.094078 0.0021 X6T_1 0.003782 0.001406 2.690500 0.0073 X5T_1 -0.000139 7.40E-05 -1.881405 0.0603 X7T_1 0.002128 0.001886 1.128211 0.2596 R-squared 0.077777 Mean dependent var -0.002593 Adjusted R-squared 0.068736 S.D. dependent var 0.096355 S.E. of regression 0.092985 Akaike info criterion -1.901742 Sum squared resid 6.173375 Schwarz criterion -1.850971 Log likelihood 694.5288 Hannan-Quinn criter. -1.882144 Durbin-Watson stat 1.579891 Selection Summary Added X9T_2 Added X9T_1 Added X4T_2 Added X6T_2 Added X4T_1 Added X6T_1 Added X5T_1 Added X7T_1 *Note: p-values and subsequent tests do not account for stepwise selection.