Đề tài đã sử dụng các phương pháp định lượng, cụ thể là phương pháp phân
tích phi tham số DEA và sử dụng mô hình hồi quy Pooled OLS, FEM, REM,
FGLS vào phân tích các nhân tố phản ánh DVNHQT ảnh hưởng đến HQHĐ của
38 NHTMVN thời kỳ 2008-2014. Kết quả phân tích hồi quy và kiểm định cho
thấy các nhân tố như CVNT, TSNNT và các nhân tố kiểm soát khác như VCSH,
QMTS, CV, VHDCV, TTKT, LP đều đóng vai trò quan trọng trong việc giải
thích tác động của DVNHQT đến HQHĐ của các NHTMVN, các mối tương quan
đó cùng chiều hay ngược chiều còn tùy thuộc vào từng mô hình kiểm định.
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0,943 drs
BIDV 0,8 1 0,8 drs
Agribank 0,795 1 0,795 drs
Sacombank 0,829 0,942 0,88 drs
Militarybank 0,977 1 0,977 drs
Techcombank 0,899 1 0,899 drs
Eximbank 0,952 1 0,952 drs
SCB 1 1 1 -
ACB 0,878 1 0,878 drs
SHB 0,852 0,864 0,987 drs
Maritimebank 0,928 1 0,928 drs
VPbank 0,876 0,886 0,989 drs
HDbank 0,819 0,83 0,987 drs
VIB 0,926 0,986 0,94 drs
Lienvietpostbank 1 1 1 -
Anbinhbank 0,866 0,9 0,963 drs
SeAbank 1 1 1 -
DongAbank 0,839 0,871 0,963 drs
Tienphongbank 0,928 0,962 0,965 irs
MDbank 1 1 1 -
OCB 0,866 0,921 0,94 drs
VietAbank 0,838 0,85 0,986 drs
MHB 0,694 0,794 0,874 drs
Saigonbank 1 1 1 -
Kienlongbank 0,921 0,936 0,984 drs
PGbank 0,849 0,867 0,979 drs
NamAbank 0,814 0,814 1 -
Vietcapitalbank 0,801 0,906 0,884 irs
NCB 0,821 0,832 0,988 drs
Phuongnambank 1 1 1 -
Oceanbank 1 1 1 -
Baovietbank 0,879 0,91 0,966 irs
VNBC 0,888 0,898 0,989 drs
Westernbank 0,787 0,812 0,969 irs
GPbank 1 1 1 -
mean 0,893 0,938 0,952
164
PHỤ LỤC 10
HIỆU QUẢ KỸ THUẬT, HIỆU QUẢ KỸ THUẬT THUẦN, HIỆU QUẢ
QUY MÔ CỦA CÁC NGÂN HÀNG NGHIÊN CỨU NĂM 2011
firm crste vrste scale
Vietinbank 0,933 1 0,933 drs
Vietcombank 1 1 1 -
BIDV 0,924 1 0,924 drs
Agribank 0,905 1 0,905 drs
Sacombank 0,847 0,92 0,92 drs
Militarybank 1 1 1 -
Techcombank 1 1 1 -
Eximbank 1 1 1 -
SCB 0,821 0,826 0,993 drs
ACB 0,929 1 0,929 drs
SHB 0,89 0,893 0,997 drs
Maritimebank 0,976 1 0,976 drs
VPbank 0,866 0,867 0,998 drs
HDbank 0,947 0,956 0,991 irs
VIB 1 1 1 -
Lienvietpostbank 0,98 0,996 0,984 drs
Anbinhbank 0,939 0,941 0,997 drs
SeAbank 1 1 1 -
DongAbank 0,916 0,944 0,97 drs
BacAbank 1 1 1 -
MDbank 1 1 1 -
OCB 0,932 0,948 0,983 irs
VietAbank 0,909 0,921 0,987 irs
MHB 0,8 0,801 0,999 irs
Saigonbank 0,999 1 0,999 irs
Kienlongbank 0,992 1 0,992 irs
PGbank 0,99 0,993 0,998 drs
NamAbank 1 1 1 -
Vietcapitalbank 1 1 1 -
NCB 0,882 0,893 0,988 irs
Phuongnambank 1 1 1 -
Oceanbank 1 1 1 -
Baovietbank 0,892 0,999 0,893 irs
VNBC 0,97 1 0,97 irs
Westernbank 0,865 0,91 0,951 irs
mean 0,946 0,966 0,979
165
PHỤ LỤC 11
HIỆU QUẢ KỸ THUẬT, HIỆU QUẢ KỸ THUẬT THUẦN, HIỆU QUẢ
QUY MÔ CỦA CÁC NGÂN HÀNG NGHIÊN CỨU NĂM 2012
firm crste vrste scale
Vietinbank 0,928 1 0,928 drs
Vietcombank 1 1 1 -
BIDV 0,978 1 0,978 drs
Agribank 0,849 1 0,849 drs
Sacombank 0,87 0,94 0,926 drs
Militarybank 1 1 1 -
Techcombank 0,881 0,917 0,961 drs
Eximbank 0,984 1 0,984 drs
SCB 1 1 1 -
ACB 0,867 0,931 0,931 drs
SHB 0,913 0,916 0,997 drs
Maritimebank 0,865 0,877 0,987 drs
VPbank 0,882 0,896 0,985 drs
HDbank 1 1 1 -
VIB 0,873 0,874 0,999 irs
Lienvietpostbank 0,993 0,993 1 -
Anbinhbank 0,9 0,904 0,995 irs
SeAbank 0,98 0,991 0,989 drs
DongAbank 0,927 0,928 0,999 drs
Tienphongbank 1 1 1 -
BacAbank 0,956 1 0,956 irs
MDbank 1 1 1 -
OCB 1 1 1 -
VietAbank 0,882 1 0,882 irs
MHB 0,997 1 0,997 irs
Saigonbank 1 1 1 -
Kienlongbank 1 1 1 -
PGbank 0,979 1 0,979 irs
NamAbank 0,958 1 0,958 irs
Vietcapitalbank 0,948 0,985 0,963 irs
NCB 0,814 0,821 0,992 irs
Phuongnambank 1 1 1 -
Oceanbank 1 1 1 -
Baovietbank 0,937 1 0,937 irs
Westernbank 0,847 1 0,847 irs
mean 0,943 0,971 0,972
166
PHỤ LỤC 12
HIỆU QUẢ KỸ THUẬT, HIỆU QUẢ KỸ THUẬT THUẦN, HIỆU QUẢ
QUY MÔ CỦA CÁC NGÂN HÀNG NGHIÊN CỨU NĂM 2013
firm crste vrste scale
Vietinbank 0,949 1 0,949 drs
Vietcombank 1 1 1 -
BIDV 1 1 1 -
Agribank 1 1 1 -
Sacombank 0,917 0,936 0,98 drs
Militarybank 1 1 1 -
Techcombank 0,844 0,853 0,99 drs
Eximbank 0,862 0,873 0,988 drs
SCB 1 1 1 -
ACB 0,816 0,847 0,963 drs
SHB 0,841 0,857 0,981 drs
PVcombank 1 1 1 -
Maritimebank 0,932 0,937 0,995 drs
VPbank 0,863 0,877 0,985 drs
HDbank 1 1 1 -
VIB 0,93 0,933 0,996 irs
Lienvietpostbank 0,952 0,959 0,993 irs
Anbinhbank 0,838 0,853 0,982 irs
SeAbank 0,944 0,946 0,998 irs
DongAbank 0,847 0,855 0,99 irs
Tienphongbank 1 1 1 -
BacAbank 1 1 1 -
MDbank 1 1 1 -
OCB 1 1 1 -
VietAbank 0,992 1 0,992 irs
MHB 0,831 0,838 0,992 irs
Saigonbank 0,975 1 0,975 irs
Kienlongbank 0,94 0,96 0,979 irs
PGbank 0,817 0,955 0,855 irs
NamAbank 0,96 1 0,96 irs
Vietcapitalbank 0,817 1 0,817 irs
NCB 0,792 0,853 0,929 irs
Phuongnambank 1 1 1 -
Oceanbank 1 1 1 -
mean 0,931 0,951 0,979
167
PHỤ LỤC 13
HIỆU QUẢ KỸ THUẬT, HIỆU QUẢ KỸ THUẬT THUẦN, HIỆU QUẢ
QUY MÔ CỦA CÁC NGÂN HÀNG NGHIÊN CỨU NĂM 2014
firm crste vrste scale
Vietinbank 0,931 1 0,931 drs
Vietcombank 1 1 1 -
BIDV 1 1 1 -
Sacombank 0,9 0,927 0,971 drs
Militarybank 1 1 1 -
Techcombank 0,906 0,907 0,999 drs
Eximbank 0,848 0,849 0,999 drs
SCB 1 1 1 -
ACB 0,823 0,836 0,983 drs
SHB 0,981 0,981 0,999 drs
PVcombank 1 1 1 -
Maritimebank 0,967 0,968 0,999 irs
VPbank 0,85 0,874 0,973 drs
HDbank 0,883 0,892 0,991 irs
VIB 1 1 1 -
Lienvietpostbank 0,921 0,932 0,989 drs
Anbinhbank 0,883 0,885 0,997 irs
SeAbank 0,866 0,899 0,963 irs
DongAbank 0,826 0,836 0,988 irs
Tienphongbank 0,897 0,92 0,974 irs
BacAbank 1 1 1 -
MDbank 1 1 1 -
OCB 0,976 0,998 0,978 irs
VietAbank 0,889 1 0,889 irs
MHB 0,82 0,823 0,996 irs
Saigonbank 1 1 1 -
Kienlongbank 0,872 0,878 0,993 irs
PGbank 0,873 0,916 0,953 irs
NamAbank 0,926 0,992 0,933 irs
Vietcapitalbank 0,855 0,963 0,887 irs
NCB 0,841 0,854 0,985 irs
mean 0,92 0,94 0,98
168
PHỤ LỤC 14
MÔ HÌNH HỒI QUY VÀ PHƯƠNG PHÁP KIỂM ĐỊNH ĐỐI VỚI TOÀN BỘ CÁC
NGÂN HÀNG NGHIÊN CỨU VỚI BIẾN PHỤ THUỘC HQKT
MÔ HÌNH POOLED VỚI BIẾN PHỤ THUỘC HQKT
MÔ HÌNH FEM VỚI BIẾN PHỤ THUỘC HQKT
_cons .6889828 .1307129 5.27 0.000 .4314526 .946513
lp -.1875544 .0911962 -2.06 0.041 -.3672289 -.0078799
ttkt -.8817011 1.285676 -0.69 0.494 -3.414738 1.651335
vhdcv .0020336 .0169176 0.12 0.904 -.0312973 .0353646
cv -.1373814 .0495655 -2.77 0.006 -.2350352 -.0397275
qmts .0179817 .0060824 2.96 0.003 .0059981 .0299652
vcsh .282574 .0809409 3.49 0.001 .1231044 .4420436
tsnnt .1184907 .055666 2.13 0.034 .0088175 .2281638
cvnt -.0109582 .0246905 -0.44 0.658 -.0596035 .0376871
hqkt Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total 1.5846411 241 .006575274 Root MSE = .07609
Adj R-squared = 0.1195
Residual 1.34892367 233 .005789372 R-squared = 0.1488
Model .235717432 8 .029464679 Prob > F = 0.0000
F( 8, 233) = 5.09
Source SS df MS Number of obs = 242
F test that all u_i=0: F(37, 196) = 3.86 Prob > F = 0.0000
rho .58619073 (fraction of variance due to u_i)
sigma_e .06308982
sigma_u .0750894
_cons .0827712 .224129 0.37 0.712 -.3592429 .5247853
lp .028427 .0957356 0.30 0.767 -.1603771 .2172311
ttkt -2.317437 1.157534 -2.00 0.047 -4.600257 -.0346168
vhdcv -.0034738 .0167118 -0.21 0.836 -.0364319 .0294843
cv -.0361059 .0640442 -0.56 0.574 -.1624102 .0901983
qmts .0530703 .0120027 4.42 0.000 .0293993 .0767414
vcsh .2180074 .1009236 2.16 0.032 .0189718 .417043
tsnnt .1705981 .0911971 1.87 0.063 -.0092555 .3504517
cvnt -.0051003 .0303196 -0.17 0.867 -.0648948 .0546943
hqkt Coef. Std. Err. t P>|t| [95% Conf. Interval]
corr(u_i, Xb) = -0.6432 Prob > F = 0.0001
F(8,196) = 4.34
overall = 0.0424 max = 7
between = 0.0198 avg = 6.4
R-sq: within = 0.1505 Obs per group: min = 2
Group variable: bank Number of groups = 38
Fixed-effects (within) regression Number of obs = 242
169
MÔ HÌNH REM VỚI BIẾN PHỤ THUỘC HQKT
KIỂM ĐỊNH HAUSMAN
KIỂM ĐỊNH BREUSCH-PAGAN LAGRANGIAN
KIỂM ĐỊNH WOOLDRIDGE
rho .34796779 (fraction of variance due to u_i)
sigma_e .06308982
sigma_u .04608868
_cons .6118644 .1505694 4.06 0.000 .3167538 .906975
lp -.1293499 .0839068 -1.54 0.123 -.2938041 .0351043
ttkt -1.254605 1.114214 -1.13 0.260 -3.438425 .9292143
vhdcv -.0072557 .0159013 -0.46 0.648 -.0384217 .0239103
cv -.1321147 .0526093 -2.51 0.012 -.2352269 -.0290024
qmts .0245635 .0079107 3.11 0.002 .0090589 .0400681
vcsh .2074875 .0897825 2.31 0.021 .0315171 .3834579
tsnnt .0904065 .0690564 1.31 0.190 -.0449415 .2257546
cvnt -.0082521 .0266313 -0.31 0.757 -.0604484 .0439443
hqkt Coef. Std. Err. z P>|z| [95% Conf. Interval]
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0002
Random effects u_i ~ Gaussian Wald chi2(8) = 30.37
overall = 0.1258 max = 7
between = 0.1329 avg = 6.4
R-sq: within = 0.1144 Obs per group: min = 2
Group variable: bank Number of groups = 38
Random-effects GLS regression Number of obs = 242
(V_b-V_B is not positive definite)
Prob>chi2 = 0.0782
= 14.14
chi2(8) = (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
lp .028427 -.1293499 .1577769 .0460973
ttkt -2.317437 -1.254605 -1.062832 .3137062
vhdcv -.0034738 -.0072557 .0037819 .0051413
cv -.0361059 -.1321147 .0960087 .036523
qmts .0530703 .0245635 .0285069 .009027
vcsh .2180074 .2074875 .0105199 .0460942
tsnnt .1705981 .0904065 .0801915 .0595662
cvnt -.0051003 -.0082521 .0031518 .0144933
fe . Difference S.E.
(b) (B) (b-B) sqrt(diag(V_b-V_B))
Coefficients
Prob > chi2 = 0.0000
chi2(1) = 38.08
Test: Var(u) = 0
u .0021242 .0460887
e .0039803 .0630898
hqkt .0065753 .0810881
Var sd = sqrt(Var)
Estimated results:
hqkt[bank,t] = Xb + u[bank] + e[bank,t]
Breusch and Pagan Lagrangian multiplier test for random effects
Prob > F = 0.0016
F( 1, 36) = 11.597
H0: no first-order autocorrelation
Wooldridge test for autocorrelation in panel data
170
MÔ HÌNH FGLS VỚI BIẾN PHỤ THUỘC HQKT
PHỤ LỤC 15
MÔ HÌNH HỒI QUY VÀ PHƯƠNG PHÁP KIỂM ĐỊNH ĐỐI VỚI TOÀN BỘ CÁC
NGÂN HÀNG NGHIÊN CỨU VỚI BIẾN PHỤ THUỘC HQKTT
MÔ HÌNH POOLED VỚI BIẾN PHỤ THUỘC HQKTT
MÔ HÌNH FEM VỚI BIẾN PHỤ THUỘC HQKTT
_cons .738668 .1059039 6.97 0.000 .5311002 .9462358
lp -.0834843 .0629649 -1.33 0.185 -.2068933 .0399247
ttkt -1.735985 .8401119 -2.07 0.039 -3.382574 -.0893958
vhdcv -.0300667 .0133258 -2.26 0.024 -.0561847 -.0039487
cv -.1926906 .04281 -4.50 0.000 -.2765967 -.1087845
qmts .0222701 .0054582 4.08 0.000 .0115722 .0329679
vcsh .2398684 .0630296 3.81 0.000 .1163327 .3634041
tsnnt .1115416 .0498691 2.24 0.025 .0138 .2092832
cvnt -.0256816 .0208839 -1.23 0.219 -.0666132 .01525
hqkt Coef. Std. Err. z P>|z| [95% Conf. Interval]
Prob > chi2 = 0.0000
Wald chi2(8) = 68.30
max = 7
avg = 6.368421
Estimated coefficients = 9 Obs per group: min = 2
Estimated autocorrelations = 1 Number of groups = 38
Estimated covariances = 38 Number of obs = 242
Correlation: common AR(1) coefficient for all panels (0.3785)
Panels: heteroskedastic
Coefficients: generalized least squares
_cons .5679802 .1076613 5.28 0.000 .3558662 .7800942
lp -.009588 .0751135 -0.13 0.899 -.1575764 .1384003
ttkt -1.442498 1.058944 -1.36 0.174 -3.528826 .6438301
vhdcv .0100885 .0139341 0.72 0.470 -.0173645 .0375414
cv -.0528715 .0408245 -1.30 0.197 -.1333038 .0275608
qmts .0248042 .0050098 4.95 0.000 .014934 .0346744
vcsh .2900751 .0666668 4.35 0.000 .1587284 .4214218
tsnnt .0719499 .0458492 1.57 0.118 -.018382 .1622818
cvnt -.0124914 .0203363 -0.61 0.540 -.0525579 .0275752
hqktt Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total 1.08899436 241 .004518649 Root MSE = .06267
Adj R-squared = 0.1308
Residual .915102399 233 .003927478 R-squared = 0.1597
Model .17389196 8 .021736495 Prob > F = 0.0000
F( 8, 233) = 5.53
Source SS df MS Number of obs = 242
F test that all u_i=0: F(37, 196) = 3.68 Prob > F = 0.0000
rho .47682051 (fraction of variance due to u_i)
sigma_e .05248473
sigma_u .05010546
_cons .5488614 .1864541 2.94 0.004 .1811477 .9165751
lp .0068559 .0796429 0.09 0.931 -.1502112 .163923
ttkt -1.987262 .9629581 -2.06 0.040 -3.886351 -.0881724
vhdcv .0126838 .0139026 0.91 0.363 -.0147342 .0401018
cv -.0437124 .0532787 -0.82 0.413 -.1487855 .0613608
qmts .0270024 .0099851 2.70 0.007 .0073103 .0466944
vcsh .100462 .0839588 1.20 0.233 -.0651166 .2660407
tsnnt .2216493 .0758673 2.92 0.004 .0720282 .3712704
cvnt -.0002554 .025223 -0.01 0.992 -.0499988 .049488
hqktt Coef. Std. Err. t P>|t| [95% Conf. Interval]
corr(u_i, Xb) = -0.4613 Prob > F = 0.0012
F(8,196) = 3.38
overall = 0.1014 max = 7
between = 0.0963 avg = 6.4
R-sq: within = 0.1212 Obs per group: min = 2
Group variable: bank Number of groups = 38
Fixed-effects (within) regression Number of obs = 242
171
MÔ HÌNH REM VỚI BIẾN PHỤ THUỘC HQKTT
KIỂM ĐỊNH HAUSMAN
KIỂM ĐỊNH BREUSCH-PAGAN LAGRANGIAN
KIỂM ĐỊNH WOOLDRIDGE
rho .33542792 (fraction of variance due to u_i)
sigma_e .05248473
sigma_u .03728735
_cons .6818037 .122974 5.54 0.000 .4407791 .9228284
lp -.0273097 .0689244 -0.40 0.692 -.162399 .1077796
ttkt -1.544875 .9169089 -1.68 0.092 -3.341983 .2522335
vhdcv .0068475 .013072 0.52 0.600 -.0187732 .0324681
cv -.0695559 .0431131 -1.61 0.107 -.154056 .0149442
qmts .0202788 .0064511 3.14 0.002 .0076348 .0329228
vcsh .1588311 .0735995 2.16 0.031 .0145787 .3030835
tsnnt .1150312 .0564203 2.04 0.041 .0044495 .2256129
cvnt -.0126792 .0218316 -0.58 0.561 -.0554683 .0301099
hqktt Coef. Std. Err. z P>|z| [95% Conf. Interval]
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0003
Random effects u_i ~ Gaussian Wald chi2(8) = 28.84
overall = 0.1394 max = 7
between = 0.1512 avg = 6.4
R-sq: within = 0.1055 Obs per group: min = 2
Group variable: bank Number of groups = 38
Random-effects GLS regression Number of obs = 242
(V_b-V_B is not positive definite)
Prob>chi2 = 0.2888
= 9.67
chi2(8) = (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
lp .0068559 -.0273097 .0341656 .0399052
ttkt -1.987262 -1.544875 -.4423868 .2942216
vhdcv .0126838 .0068475 .0058364 .0047335
cv -.0437124 -.0695559 .0258435 .0313031
qmts .0270024 .0202788 .0067236 .0076214
vcsh .100462 .1588311 -.0583691 .0404004
tsnnt .2216493 .1150312 .1066181 .0507208
cvnt -.0002554 -.0126792 .0124238 .0126326
fe . Difference S.E.
(b) (B) (b-B) sqrt(diag(V_b-V_B))
Coefficients
Prob > chi2 = 0.0000
chi2(1) = 40.35
Test: Var(u) = 0
u .0013903 .0372873
e .0027546 .0524847
hqktt .0045186 .0672209
Var sd = sqrt(Var)
Estimated results:
hqktt[bank,t] = Xb + u[bank] + e[bank,t]
Breusch and Pagan Lagrangian multiplier test for random effects
Prob > F = 0.0023
F( 1, 36) = 10.724
H0: no first-order autocorrelation
Wooldridge test for autocorrelation in panel data
172
MÔ HÌNH FGLS VỚI BIẾN PHỤ THUỘC HQKTT
PHỤ LỤC 16
MÔ HÌNH HỒI QUY VÀ PHƯƠNG PHÁP KIỂM ĐỊNH ĐỐI VỚI TOÀN BỘ CÁC
NGÂN HÀNG NGHIÊN CỨU VỚI BIẾN PHỤ THUỘC HQQM
MÔ HÌNH POOLED VỚI BIẾN PHỤ THUỘC HQQM
MÔ HÌNH FEM VỚI BIẾN PHỤ THUỘC HQQM
_cons .66676 .0768905 8.67 0.000 .5160574 .8174627
lp -.0017012 .039563 -0.04 0.966 -.0792432 .0758409
ttkt -.8488412 .5445592 -1.56 0.119 -1.916158 .2184753
vhdcv .0059352 .0092168 0.64 0.520 -.0121293 .0239998
cv -.0320864 .0331425 -0.97 0.333 -.0970444 .0328717
qmts .0182934 .004281 4.27 0.000 .0099028 .0266839
vcsh .1634918 .0519448 3.15 0.002 .0616818 .2653018
tsnnt .0671865 .0327671 2.05 0.040 .0029642 .1314089
cvnt -.0004067 .0167505 -0.02 0.981 -.033237 .0324236
hqktt Coef. Std. Err. z P>|z| [95% Conf. Interval]
Prob > chi2 = 0.0000
Wald chi2(8) = 39.09
max = 7
avg = 6.368421
Estimated coefficients = 9 Obs per group: min = 2
Estimated autocorrelations = 1 Number of groups = 38
Estimated covariances = 38 Number of obs = 242
Correlation: common AR(1) coefficient for all panels (0.4936)
Panels: heteroskedastic
Coefficients: generalized least squares
_cons 1.095848 .0837498 13.08 0.000 .9308439 1.260851
lp -.1898781 .0584308 -3.25 0.001 -.3049984 -.0747579
ttkt .5987865 .8237527 0.73 0.468 -1.024169 2.221742
vhdcv -.0061593 .0108394 -0.57 0.570 -.027515 .0151963
cv -.0853608 .0317574 -2.69 0.008 -.1479291 -.0227925
qmts -.005817 .0038971 -1.49 0.137 -.013495 .0018611
vcsh .0048439 .0518601 0.09 0.926 -.0973307 .1070186
tsnnt .0520516 .0356661 1.46 0.146 -.0182177 .1223209
cvnt .002265 .0158196 0.14 0.886 -.0289027 .0334328
hqqm Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total .61096355 241 .002535118 Root MSE = .04875
Adj R-squared = 0.0625
Residual .553755128 233 .002376631 R-squared = 0.0936
Model .057208422 8 .007151053 Prob > F = 0.0031
F( 8, 233) = 3.01
Source SS df MS Number of obs = 242
F test that all u_i=0: F(37, 196) = 4.31 Prob > F = 0.0000
rho .61692073 (fraction of variance due to u_i)
sigma_e .03946075
sigma_u .0500767
_cons .4886467 .1401859 3.49 0.001 .2121804 .765113
lp .0165544 .0598797 0.28 0.782 -.1015368 .1346456
ttkt -.3513773 .724002 -0.49 0.628 -1.779211 1.076457
vhdcv -.0149486 .0104527 -1.43 0.154 -.0355629 .0056656
cv .0087397 .0400577 0.22 0.828 -.0702597 .0877392
qmts .028432 .0075073 3.79 0.000 .0136265 .0432375
vcsh .1273834 .0631246 2.02 0.045 .0028928 .2518741
tsnnt -.0435729 .057041 -0.76 0.446 -.1560658 .06892
cvnt -.0070343 .018964 -0.37 0.711 -.044434 .0303654
hqqm Coef. Std. Err. t P>|t| [95% Conf. Interval]
corr(u_i, Xb) = -0.7022 Prob > F = 0.0030
F(8,196) = 3.04
overall = 0.0165 max = 7
between = 0.1345 avg = 6.4
R-sq: within = 0.1105 Obs per group: min = 2
Group variable: bank Number of groups = 38
Fixed-effects (within) regression Number of obs = 242
173
MÔ HÌNH REM VỚI BIẾN PHỤ THUỘC HQQM
KIỂM ĐỊNH HAUSMAN
KIỂM ĐỊNH MODIFIED WALD
KIỂM ĐỊNH WOOLDRIDGE
rho .29355267 (fraction of variance due to u_i)
sigma_e .03946075
sigma_u .02543715
_cons .9301615 .0938172 9.91 0.000 .7462831 1.11404
lp -.1225975 .0536342 -2.29 0.022 -.2277186 -.0174764
ttkt .3552342 .7178766 0.49 0.621 -1.051778 1.762246
vhdcv -.0122304 .0101948 -1.20 0.230 -.0322117 .007751
cv -.0682715 .0332611 -2.05 0.040 -.133462 -.003081
qmts .0040047 .0048934 0.82 0.413 -.0055863 .0135956
vcsh .0535347 .0568113 0.94 0.346 -.0578134 .1648829
tsnnt -.0132859 .0430567 -0.31 0.758 -.0976756 .0711037
cvnt .0039679 .016857 0.24 0.814 -.0290711 .037007
hqqm Coef. Std. Err. z P>|z| [95% Conf. Interval]
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.1318
Random effects u_i ~ Gaussian Wald chi2(8) = 12.46
overall = 0.0509 max = 7
between = 0.0734 avg = 6.4
R-sq: within = 0.0490 Obs per group: min = 2
Group variable: bank Number of groups = 38
Random-effects GLS regression Number of obs = 242
(V_b-V_B is not positive definite)
Prob>chi2 = 0.0002
= 29.96
chi2(8) = (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
lp .0165544 -.1225975 .1391519 .0266261
ttkt -.3513773 .3552342 -.7066115 .0939796
vhdcv -.0149486 -.0122304 -.0027182 .0023079
cv .0087397 -.0682715 .0770112 .0223231
qmts .028432 .0040047 .0244273 .0056933
vcsh .1273834 .0535347 .0738487 .0275171
tsnnt -.0435729 -.0132859 -.030287 .0374138
cvnt -.0070343 .0039679 -.0110022 .0086877
fe . Difference S.E.
(b) (B) (b-B) sqrt(diag(V_b-V_B))
Coefficients
Prob>chi2 = 0.0000
chi2 (38) = 4880.16
H0: sigma(i)^2 = sigma^2 for all i
in fixed effect regression model
Modified Wald test for groupwise heteroskedasticity
Prob > F = 0.0377
F( 1, 36) = 4.653
H0: no first-order autocorrelation
Wooldridge test for autocorrelation in panel data
174
MÔ HÌNH FGLS VỚI BIẾN PHỤ THUỘC HQQM
PHỤ LỤC 17
MÔ HÌNH HỒI QUY VÀ PHƯƠNG PHÁP KIỂM ĐỊNH ĐỐI VỚI CÁC NGÂN
HÀNG NHÓM 1 VỚI BIẾN PHỤ THUỘC HQKT
MÔ HÌNH POOLED VỚI BIẾN PHỤ THUỘC HQKT
MÔ HÌNH FEM VỚI BIẾN PHỤ THUỘC HQKT
_cons .981067 .0646598 15.17 0.000 .8543361 1.107798
lp -.0696219 .032509 -2.14 0.032 -.1333385 -.0059054
ttkt -.1710881 .4381833 -0.39 0.696 -1.029912 .6877354
vhdcv -.0187937 .0071428 -2.63 0.009 -.0327933 -.004794
cv -.082662 .020907 -3.95 0.000 -.123639 -.041685
qmts .0048155 .0034368 1.40 0.161 -.0019205 .0115514
vcsh .028787 .0306177 0.94 0.347 -.0312225 .0887965
tsnnt -.0317596 .0279002 -1.14 0.255 -.086443 .0229237
cvnt -.0062644 .010491 -0.60 0.550 -.0268265 .0142976
hqqm Coef. Std. Err. z P>|z| [95% Conf. Interval]
Prob > chi2 = 0.0013
Wald chi2(8) = 25.45
max = 7
avg = 6.368421
Estimated coefficients = 9 Obs per group: min = 2
Estimated autocorrelations = 1 Number of groups = 38
Estimated covariances = 38 Number of obs = 242
Correlation: common AR(1) coefficient for all panels (0.3870)
Panels: heteroskedastic
Coefficients: generalized least squares
_cons .9323893 .3080593 3.03 0.004 .3175004 1.547278
lp -.2211092 .1445136 -1.53 0.131 -.5095595 .0673411
ttkt -.828911 2.05012 -0.40 0.687 -4.920968 3.263147
vhdcv -.0500903 .0443562 -1.13 0.263 -.1386255 .038445
cv -.2337826 .1360365 -1.72 0.090 -.5053126 .0377473
qmts .0142129 .0159639 0.89 0.376 -.0176511 .046077
vcsh .2103276 .3060629 0.69 0.494 -.4005765 .8212317
tsnnt .0816045 .0941882 0.87 0.389 -.106396 .269605
cvnt -.0989029 .0520511 -1.90 0.062 -.2027974 .0049916
hqkt Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total .380690676 75 .005075876 Root MSE = .06717
Adj R-squared = 0.1110
Residual .302322451 67 .004512275 R-squared = 0.2059
Model .078368224 8 .009796028 Prob > F = 0.0408
F( 8, 67) = 2.17
Source SS df MS Number of obs = 76
F test that all u_i=0: F(10, 57) = 2.02 Prob > F = 0.0478
rho .41890269 (fraction of variance due to u_i)
sigma_e .06257961
sigma_u .05313308
_cons .2218203 .4600037 0.48 0.632 -.6993212 1.142962
lp -.0454251 .1869112 -0.24 0.809 -.4197082 .3288581
ttkt -1.343945 2.001207 -0.67 0.505 -5.351294 2.663404
vhdcv -.0215857 .0657215 -0.33 0.744 -.1531908 .1100194
cv .0131097 .2324369 0.06 0.955 -.4523372 .4785566
qmts .0393995 .0217065 1.82 0.075 -.0040671 .0828661
vcsh .4966837 .386375 1.29 0.204 -.277019 1.270386
tsnnt .2122024 .1683688 1.26 0.213 -.1249503 .5493551
cvnt -.0564119 .0973935 -0.58 0.565 -.2514391 .1386153
hqkt Coef. Std. Err. t P>|t| [95% Conf. Interval]
corr(u_i, Xb) = -0.5106 Prob > F = 0.3757
F(8,57) = 1.10
overall = 0.0398 max = 7
between = 0.0058 avg = 6.9
R-sq: within = 0.1339 Obs per group: min = 6
Group variable: bank Number of groups = 11
Fixed-effects (within) regression Number of obs = 76
175
MÔ HÌNH REM VỚI BIẾN PHỤ THUỘC HQKT
KIỂM ĐỊNH HAUSMAN
KIỂM ĐỊNH BREUSCH-PAGAN LAGRANGIAN
KIỂM ĐỊNH WOOLDRIDGE
rho .22720711 (fraction of variance due to u_i)
sigma_e .06257961
sigma_u .03393222
_cons .747534 .327944 2.28 0.023 .1047756 1.390292
lp -.1913941 .1431033 -1.34 0.181 -.4718713 .0890832
ttkt -.7627531 1.912856 -0.40 0.690 -4.511881 2.986375
vhdcv -.0328833 .0516899 -0.64 0.525 -.1341936 .0684271
cv -.1716585 .1553412 -1.11 0.269 -.4761216 .1328047
qmts .0192601 .0167431 1.15 0.250 -.0135557 .052076
vcsh .3794709 .3222557 1.18 0.239 -.2521388 1.011081
tsnnt .0990759 .1126068 0.88 0.379 -.1216294 .3197811
cvnt -.0827722 .0652355 -1.27 0.205 -.2106315 .045087
hqkt Coef. Std. Err. z P>|z| [95% Conf. Interval]
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.1882
Random effects u_i ~ Gaussian Wald chi2(8) = 11.25
overall = 0.1938 max = 7
between = 0.4036 avg = 6.9
R-sq: within = 0.1044 Obs per group: min = 6
Group variable: bank Number of groups = 11
Random-effects GLS regression Number of obs = 76
Prob>chi2 = 0.8323
= 4.27
chi2(8) = (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
lp -.0454251 -.1913941 .145969 .1202382
ttkt -1.343945 -.7627531 -.5811919 .5880593
vhdcv -.0215857 -.0328833 .0112976 .0405891
cv .0131097 -.1716585 .1847682 .1729047
qmts .0393995 .0192601 .0201394 .0138146
vcsh .4966837 .3794709 .1172128 .2131593
tsnnt .2122024 .0990759 .1131265 .1251709
cvnt -.0564119 -.0827722 .0263603 .0723176
fe . Difference S.E.
(b) (B) (b-B) sqrt(diag(V_b-V_B))
Coefficients
Prob > chi2 = 0.2140
chi2(1) = 1.54
Test: Var(u) = 0
u .0011514 .0339322
e .0039162 .0625796
hqkt .0050759 .0712452
Var sd = sqrt(Var)
Estimated results:
hqkt[bank,t] = Xb + u[bank] + e[bank,t]
Breusch and Pagan Lagrangian multiplier test for random effects
Prob > F = 0.0184
F( 1, 10) = 7.906
H0: no first-order autocorrelation
Wooldridge test for autocorrelation in panel data
176
MÔ HÌNH FGLS VỚI BIẾN PHỤ THUỘC HQKT
PHỤ LỤC 18
MÔ HÌNH HỒI QUY VÀ PHƯƠNG PHÁP KIỂM ĐỊNH ĐỐI VỚI CÁC NGÂN
HÀNG NHÓM 1 VỚI BIẾN PHỤ THUỘC HQKTT
MÔ HÌNH POOLED VỚI BIẾN PHỤ THUỘC HQKTT
MÔ HÌNH FEM VỚI BIẾN PHỤ THUỘC HQKTT
_cons .9456188 .3313764 2.85 0.004 .296133 1.595105
lp -.148855 .122328 -1.22 0.224 -.3886134 .0909034
ttkt -.2971461 1.699891 -0.17 0.861 -3.628871 3.034578
vhdcv -.0252933 .0468556 -0.54 0.589 -.1171285 .0665419
cv -.0732797 .1439377 -0.51 0.611 -.3553924 .2088331
qmts .0056908 .0171035 0.33 0.739 -.0278316 .0392131
vcsh .1258016 .3243871 0.39 0.698 -.5099855 .7615887
tsnnt .1280488 .1045611 1.22 0.221 -.0768872 .3329847
cvnt -.1214874 .0564355 -2.15 0.031 -.232099 -.0108758
hqkt Coef. Std. Err. z P>|z| [95% Conf. Interval]
Prob > chi2 = 0.1161
Wald chi2(8) = 12.88
max = 7
avg = 6.909091
Estimated coefficients = 9 Obs per group: min = 6
Estimated autocorrelations = 1 Number of groups = 11
Estimated covariances = 1 Number of obs = 76
Correlation: common AR(1) coefficient for all panels (0.4041)
Panels: homoskedastic
Coefficients: generalized least squares
_cons .6450415 .2168671 2.97 0.004 .212173 1.07791
lp .1640911 .1017344 1.61 0.111 -.0389716 .3671539
ttkt -.7535215 1.44324 -0.52 0.603 -3.634241 2.127199
vhdcv .0090185 .0312258 0.29 0.774 -.0533084 .0713454
cv .1102052 .0957668 1.15 0.254 -.080946 .3013564
qmts .015462 .0112382 1.38 0.173 -.0069696 .0378937
vcsh -.1156767 .2154617 -0.54 0.593 -.54574 .3143866
tsnnt .1540297 .0663065 2.32 0.023 .0216814 .286378
cvnt -.0726497 .0366429 -1.98 0.052 -.1457892 .0004898
hqktt Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total .201589945 75 .002687866 Root MSE = .04729
Adj R-squared = 0.1680
Residual .149826638 67 .002236218 R-squared = 0.2568
Model .051763307 8 .006470413 Prob > F = 0.0079
F( 8, 67) = 2.89
Source SS df MS Number of obs = 76
F test that all u_i=0: F(10, 57) = 3.57 Prob > F = 0.0010
rho .5156108 (fraction of variance due to u_i)
sigma_e .04021022
sigma_u .04148588
_cons .8733539 .2955731 2.95 0.005 .2814789 1.465229
lp -.0244686 .1200989 -0.20 0.839 -.2649624 .2160252
ttkt .5601288 1.285866 0.44 0.665 -2.014774 3.135031
vhdcv .0448697 .0422291 1.06 0.292 -.0396925 .129432
cv .1355143 .1493512 0.91 0.368 -.1635564 .434585
qmts -.003978 .0139474 -0.29 0.777 -.0319072 .0239513
vcsh -.0269137 .2482634 -0.11 0.914 -.5240526 .4702252
tsnnt .3023456 .1081845 2.79 0.007 .0857097 .5189814
cvnt -.09563 .0625797 -1.53 0.132 -.2209438 .0296837
hqktt Coef. Std. Err. t P>|t| [95% Conf. Interval]
corr(u_i, Xb) = -0.4874 Prob > F = 0.0032
F(8,57) = 3.37
overall = 0.1043 max = 7
between = 0.0001 avg = 6.9
R-sq: within = 0.3208 Obs per group: min = 6
Group variable: bank Number of groups = 11
Fixed-effects (within) regression Number of obs = 76
177
MÔ HÌNH REM VỚI BIẾN PHỤ THUỘC HQKTT
KIỂM ĐỊNH HAUSMAN
KIỂM ĐỊNH BREUSCH-PAGAN LAGRANGIAN
KIỂM ĐỊNH WOOLDRIDGE
rho .30099115 (fraction of variance due to u_i)
sigma_e .04021022
sigma_u .02638591
_cons .6976899 .2248918 3.10 0.002 .2569102 1.13847
lp .096351 .0968797 0.99 0.320 -.0935298 .2862318
ttkt -.0699193 1.270445 -0.06 0.956 -2.559946 2.420107
vhdcv .0346993 .0356912 0.97 0.331 -.0352542 .1046528
cv .1996138 .1078 1.85 0.064 -.0116703 .4108979
qmts .0062579 .011392 0.55 0.583 -.0160701 .0285858
vcsh -.0874461 .218971 -0.40 0.690 -.5166214 .3417291
tsnnt .2441341 .0787878 3.10 0.002 .0897128 .3985553
cvnt -.0978926 .0458293 -2.14 0.033 -.1877165 -.0080688
hqktt Coef. Std. Err. z P>|z| [95% Conf. Interval]
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0023
Random effects u_i ~ Gaussian Wald chi2(8) = 23.94
overall = 0.2224 max = 7
between = 0.1782 avg = 6.9
R-sq: within = 0.2985 Obs per group: min = 6
Group variable: bank Number of groups = 11
Random-effects GLS regression Number of obs = 76
(V_b-V_B is not positive definite)
Prob>chi2 = 0.0683
= 14.56
chi2(8) = (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
lp -.0244686 .096351 -.1208196 .0709793
ttkt .5601288 -.0699193 .6300481 .1985466
vhdcv .0448697 .0346993 .0101705 .0225706
cv .1355143 .1996138 -.0640995 .103368
qmts -.003978 .0062579 -.0102358 .0080469
vcsh -.0269137 -.0874461 .0605324 .116989
tsnnt .3023456 .2441341 .0582115 .0741376
cvnt -.09563 -.0978926 .0022626 .0426133
fe . Difference S.E.
(b) (B) (b-B) sqrt(diag(V_b-V_B))
Coefficients
Prob > chi2 = 0.0173
chi2(1) = 5.67
Test: Var(u) = 0
u .0006962 .0263859
e .0016169 .0402102
hqktt .0026879 .0518446
Var sd = sqrt(Var)
Estimated results:
hqktt[bank,t] = Xb + u[bank] + e[bank,t]
Breusch and Pagan Lagrangian multiplier test for random effects
Prob > F = 0.0555
F( 1, 10) = 4.695
H0: no first-order autocorrelation
Wooldridge test for autocorrelation in panel data
178
MÔ HÌNH FGLS VỚI BIẾN PHỤ THUỘC HQKTT
PHỤ LỤC 19
MÔ HÌNH HỒI QUY VÀ PHƯƠNG PHÁP KIỂM ĐỊNH ĐỐI VỚI CÁC NGÂN
HÀNG NHÓM 1 VỚI BIẾN PHỤ THUỘC HQQM
MÔ HÌNH POOLED VỚI BIẾN PHỤ THUỘC HQQM
MÔ HÌNH FEM VỚI BIẾN PHỤ THUỘC HQQM
_cons .5903455 .1625765 3.63 0.000 .2717014 .9089896
lp .0901457 .0589896 1.53 0.126 -.0254719 .2057632
ttkt -.6161471 .7932508 -0.78 0.437 -2.17089 .9385959
vhdcv .0008527 .0292233 0.03 0.977 -.0564239 .0581293
cv .0685118 .0787681 0.87 0.384 -.0858708 .2228944
qmts .0199237 .0082772 2.41 0.016 .0037007 .0361468
vcsh -.0913024 .1805952 -0.51 0.613 -.4452625 .2626578
tsnnt .0847568 .0371928 2.28 0.023 .0118601 .1576534
cvnt -.0367651 .0285121 -1.29 0.197 -.0926478 .0191176
hqktt Coef. Std. Err. z P>|z| [95% Conf. Interval]
Prob > chi2 = 0.0002
Wald chi2(8) = 30.29
max = 7
avg = 6.909091
Estimated coefficients = 9 Obs per group: min = 6
Estimated autocorrelations = 0 Number of groups = 11
Estimated covariances = 11 Number of obs = 76
Correlation: no autocorrelation
Panels: heteroskedastic
Coefficients: generalized least squares
_cons 1.281242 .2435447 5.26 0.000 .7951248 1.767359
lp -.3872294 .1142492 -3.39 0.001 -.6152717 -.1591871
ttkt -.0767315 1.620779 -0.05 0.962 -3.311819 3.158356
vhdcv -.060267 .035067 -1.72 0.090 -.130261 .009727
cv -.3491417 .1075474 -3.25 0.002 -.5638072 -.1344763
qmts -.0006776 .0126207 -0.05 0.957 -.0258686 .0245134
vcsh .3245717 .2419664 1.34 0.184 -.1583952 .8075387
tsnnt -.0731784 .0744631 -0.98 0.329 -.2218074 .0754505
cvnt -.0276023 .0411504 -0.67 0.505 -.109739 .0545343
hqqm Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total .2952914 75 .003937219 Root MSE = .05311
Adj R-squared = 0.2837
Residual .188955311 67 .002820229 R-squared = 0.3601
Model .10633609 8 .013292011 Prob > F = 0.0001
F( 8, 67) = 4.71
Source SS df MS Number of obs = 76
F test that all u_i=0: F(10, 57) = 3.56 Prob > F = 0.0010
rho .70804565 (fraction of variance due to u_i)
sigma_e .04518342
sigma_u .07036428
_cons .3529386 .3321296 1.06 0.292 -.3121394 1.018017
lp -.030438 .1349527 -0.23 0.822 -.300676 .2398001
ttkt -1.856164 1.444902 -1.28 0.204 -4.74953 1.037202
vhdcv -.0645584 .0474519 -1.36 0.179 -.1595793 .0304624
cv -.1267759 .167823 -0.76 0.453 -.4628355 .2092838
qmts .0430017 .0156724 2.74 0.008 .0116181 .0743852
vcsh .5209135 .2789686 1.87 0.067 -.0377114 1.079538
tsnnt -.0877707 .1215648 -0.72 0.473 -.3312 .1556586
cvnt .0387694 .0703196 0.55 0.584 -.1020432 .179582
hqqm Coef. Std. Err. t P>|t| [95% Conf. Interval]
corr(u_i, Xb) = -0.6895 Prob > F = 0.0258
F(8,57) = 2.41
overall = 0.0228 max = 7
between = 0.5275 avg = 6.9
R-sq: within = 0.2528 Obs per group: min = 6
Group variable: bank Number of groups = 11
Fixed-effects (within) regression Number of obs = 76
179
MÔ HÌNH REM VỚI BIẾN PHỤ THUỘC HQQM
KIỂM ĐỊNH HAUSMAN
KIỂM ĐỊNH BREUSCH-PAGAN LAGRANGIAN
KIỂM ĐỊNH WOOLDRIDGE
rho .02033747 (fraction of variance due to u_i)
sigma_e .04518342
sigma_u .00651012
_cons 1.251849 .2447428 5.11 0.000 .7721616 1.731536
lp -.3777144 .1135805 -3.33 0.001 -.6003281 -.1551008
ttkt -.1336482 1.602445 -0.08 0.934 -3.274382 3.007085
vhdcv -.0606122 .0357906 -1.69 0.090 -.1307605 .0095361
cv -.3542843 .1092018 -3.24 0.001 -.5683159 -.1402527
qmts .0010299 .0126876 0.08 0.935 -.0238372 .0258971
vcsh .3495524 .2433472 1.44 0.151 -.1273994 .8265043
tsnnt -.082754 .0760564 -1.09 0.277 -.2318218 .0663138
cvnt -.0229074 .0424005 -0.54 0.589 -.1060109 .0601961
hqqm Coef. Std. Err. z P>|z| [95% Conf. Interval]
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
Random effects u_i ~ Gaussian Wald chi2(8) = 34.38
overall = 0.3596 max = 7
between = 0.7384 avg = 6.9
R-sq: within = 0.0744 Obs per group: min = 6
Group variable: bank Number of groups = 11
Random-effects GLS regression Number of obs = 76
(V_b-V_B is not positive definite)
Prob>chi2 = 0.2865
= 9.70
chi2(8) = (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
lp -.030438 -.3777144 .3472765 .0728814
ttkt -1.856164 -.1336482 -1.722516 .
vhdcv -.0645584 -.0606122 -.0039462 .0311564
cv -.1267759 -.3542843 .2275084 .1274343
qmts .0430017 .0010299 .0419717 .0092006
vcsh .5209135 .3495524 .1713611 .1364023
tsnnt -.0877707 -.082754 -.0050167 .0948337
cvnt .0387694 -.0229074 .0616768 .0560985
fe . Difference S.E.
(b) (B) (b-B) sqrt(diag(V_b-V_B))
Coefficients
Prob > chi2 = 0.3333
chi2(1) = 0.94
Test: Var(u) = 0
u .0000424 .0065101
e .0020415 .0451834
hqqm .0039372 .0627473
Var sd = sqrt(Var)
Estimated results:
hqqm[bank,t] = Xb + u[bank] + e[bank,t]
Breusch and Pagan Lagrangian multiplier test for random effects
Prob > F = 0.0709
F( 1, 10) = 4.084
H0: no first-order autocorrelation
Wooldridge test for autocorrelation in panel data
180
PHỤ LỤC 20
MÔ HÌNH HỒI QUY VÀ PHƯƠNG PHÁP KIỂM ĐỊNH ĐỐI VỚI CÁC NGÂN
HÀNG NHÓM 2 VỚI BIẾN PHỤ THUỘC HQKT
MÔ HÌNH POOLED VỚI BIẾN PHỤ THUỘC HQKT
MÔ HÌNH FEM VỚI BIẾN PHỤ THUỘC HQKT
MÔ HÌNH REM VỚI BIẾN PHỤ THUỘC HQKT
_cons .2611162 .219746 1.19 0.237 -.1729237 .6951562
lp -.0753591 .1225861 -0.61 0.540 -.3174898 .1667716
ttkt -1.448569 1.645688 -0.88 0.380 -4.699113 1.801975
vhdcv .0077257 .0188011 0.41 0.682 -.0294101 .0448615
cv -.0780945 .058642 -1.33 0.185 -.1939235 .0377344
qmts .0409463 .011467 3.57 0.000 .0182969 .0635957
vcsh .401728 .09948 4.04 0.000 .2052363 .5982197
tsnnt .1018308 .0789949 1.29 0.199 -.0541992 .2578608
cvnt .0075779 .0287573 0.26 0.793 -.0492233 .064379
hqkt Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total 1.20102703 165 .007278952 Root MSE = .07921
Adj R-squared = 0.1380
Residual .985085803 157 .006274432 R-squared = 0.1798
Model .215941225 8 .026992653 Prob > F = 0.0001
F( 8, 157) = 4.30
Source SS df MS Number of obs = 166
F test that all u_i=0: F(26, 131) = 4.11 Prob > F = 0.0000
rho .47981474 (fraction of variance due to u_i)
sigma_e .06437032
sigma_u .06182206
_cons -.0083122 .2642345 -0.03 0.975 -.531031 .5144067
lp .0718645 .1178646 0.61 0.543 -.1612998 .3050288
ttkt -2.618872 1.468328 -1.78 0.077 -5.523576 .2858311
vhdcv -.0056092 .0178845 -0.31 0.754 -.0409891 .0297707
cv -.0287132 .0702489 -0.41 0.683 -.1676822 .1102558
qmts .0611276 .0148774 4.11 0.000 .0316964 .0905587
vcsh .2179748 .1112491 1.96 0.052 -.0021024 .438052
tsnnt .1132769 .1200583 0.94 0.347 -.1242272 .3507809
cvnt -.0032652 .0332665 -0.10 0.922 -.0690743 .0625439
hqkt Coef. Std. Err. t P>|t| [95% Conf. Interval]
corr(u_i, Xb) = -0.3136 Prob > F = 0.0009
F(8,131) = 3.55
overall = 0.0963 max = 7
between = 0.0762 avg = 6.1
R-sq: within = 0.1784 Obs per group: min = 2
Group variable: bank Number of groups = 27
Fixed-effects (within) regression Number of obs = 166
rho .41184216 (fraction of variance due to u_i)
sigma_e .06437032
sigma_u .05386469
_cons .1845554 .2282526 0.81 0.419 -.2628114 .6319222
lp -.0012097 .109867 -0.01 0.991 -.216545 .2141256
ttkt -2.021809 1.403096 -1.44 0.150 -4.771826 .7282084
vhdcv -.0056723 .0169017 -0.34 0.737 -.038799 .0274544
cv -.0677006 .0613351 -1.10 0.270 -.1879152 .052514
qmts .0494749 .0126666 3.91 0.000 .0246487 .074301
vcsh .2630833 .1021426 2.58 0.010 .0628876 .4632791
tsnnt .0654087 .0950758 0.69 0.491 -.1209363 .2517538
cvnt -.0008519 .0296573 -0.03 0.977 -.0589791 .0572753
hqkt Coef. Std. Err. z P>|z| [95% Conf. Interval]
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0002
Random effects u_i ~ Gaussian Wald chi2(8) = 29.75
overall = 0.1414 max = 7
between = 0.1369 avg = 6.1
R-sq: within = 0.1674 Obs per group: min = 2
Group variable: bank Number of groups = 27
Random-effects GLS regression Number of obs = 166
181
KIỂM ĐỊNH HAUSMAN
KIỂM ĐỊNH BREUSCH-PAGAN LAGRANGIAN
KIỂM ĐỊNH WOOLDRIDGE
MÔ HÌNH FGLS VỚI BIẾN PHỤ THUỘC HQKT
Prob>chi2 = 0.6646
= 5.85
chi2(8) = (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
lp .0718645 -.0012097 .0730742 .0426768
ttkt -2.618872 -2.021809 -.5970634 .4327928
vhdcv -.0056092 -.0056723 .0000631 .0058472
cv -.0287132 -.0677006 .0389874 .0342477
qmts .0611276 .0494749 .0116527 .0078035
vcsh .2179748 .2630833 -.0451086 .0440823
tsnnt .1132769 .0654087 .0478681 .0733117
cvnt -.0032652 -.0008519 -.0024133 .01507
fe . Difference S.E.
(b) (B) (b-B) sqrt(diag(V_b-V_B))
Coefficients
Prob > chi2 = 0.0000
chi2(1) = 32.11
Test: Var(u) = 0
u .0029014 .0538647
e .0041435 .0643703
hqkt .007279 .0853168
Var sd = sqrt(Var)
Estimated results:
hqkt[bank,t] = Xb + u[bank] + e[bank,t]
Breusch and Pagan Lagrangian multiplier test for random effects
Prob > F = 0.0041
F( 1, 25) = 9.990
H0: no first-order autocorrelation
Wooldridge test for autocorrelation in panel data
_cons .3921823 .1698437 2.31 0.021 .0592948 .7250698
lp -.0207302 .083462 -0.25 0.804 -.1843128 .1428524
ttkt -2.440381 1.068111 -2.28 0.022 -4.533841 -.3469215
vhdcv -.0200198 .0133082 -1.50 0.132 -.0461033 .0060638
cv -.1511831 .0475824 -3.18 0.001 -.2444428 -.0579233
qmts .0414814 .0088869 4.67 0.000 .0240634 .0588994
vcsh .3038906 .0789031 3.85 0.000 .1492435 .4585378
tsnnt .1230141 .0711734 1.73 0.084 -.0164832 .2625114
cvnt .0102921 .0236386 0.44 0.663 -.0360388 .0566229
hqkt Coef. Std. Err. z P>|z| [95% Conf. Interval]
Prob > chi2 = 0.0000
Wald chi2(8) = 54.23
max = 7
avg = 6.148148
Estimated coefficients = 9 Obs per group: min = 2
Estimated autocorrelations = 1 Number of groups = 27
Estimated covariances = 27 Number of obs = 166
Correlation: common AR(1) coefficient for all panels (0.3824)
Panels: heteroskedastic
Coefficients: generalized least squares
182
PHỤ LỤC 21
MÔ HÌNH HỒI QUY VÀ PHƯƠNG PHÁP KIỂM ĐỊNH ĐỐI VỚI CÁC NGÂN
HÀNG NHÓM 2 VỚI BIẾN PHỤ THUỘC HQKTT
MÔ HÌNH POOLED VỚI BIẾN PHỤ THUỘC HQKTT
MÔ HÌNH FEM VỚI BIẾN PHỤ THUỘC HQKTT
MÔ HÌNH REM VỚI BIẾN PHỤ THUỘC HQKTT
_cons .7290852 .1876258 3.89 0.000 .3584888 1.099682
lp -.120405 .1046677 -1.15 0.252 -.3271435 .0863335
ttkt -1.550119 1.405138 -1.10 0.272 -4.325532 1.225294
vhdcv .0117523 .016053 0.73 0.465 -.0199554 .0434599
cv -.0840328 .0500703 -1.68 0.095 -.1829311 .0148654
qmts .0170754 .0097908 1.74 0.083 -.0022634 .0364141
vcsh .26818 .084939 3.16 0.002 .1004094 .4359506
tsnnt .0761245 .0674483 1.13 0.261 -.0570987 .2093476
cvnt -.00178 .0245539 -0.07 0.942 -.0502786 .0467185
hqktt Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total .839049457 165 .005085148 Root MSE = .06763
Adj R-squared = 0.1005
Residual .718153365 157 .004574225 R-squared = 0.1441
Model .120896092 8 .015112012 Prob > F = 0.0016
F( 8, 157) = 3.30
Source SS df MS Number of obs = 166
F test that all u_i=0: F(26, 131) = 3.87 Prob > F = 0.0000
rho .48450057 (fraction of variance due to u_i)
sigma_e .05569628
sigma_u .05399571
_cons .3553797 .2286283 1.55 0.123 -.0969017 .807661
lp .0427291 .1019821 0.42 0.676 -.1590159 .244474
ttkt -2.939926 1.270468 -2.31 0.022 -5.453214 -.4266375
vhdcv .0061754 .0154746 0.40 0.690 -.024437 .0367877
cv -.0240399 .0607827 -0.40 0.693 -.1442825 .0962027
qmts .0423004 .0128727 3.29 0.001 .0168352 .0677656
vcsh .1419431 .096258 1.47 0.143 -.0484782 .3323645
tsnnt .0912243 .1038802 0.88 0.381 -.1142756 .2967241
cvnt -.0004984 .0287838 -0.02 0.986 -.0574396 .0564428
hqktt Coef. Std. Err. t P>|t| [95% Conf. Interval]
corr(u_i, Xb) = -0.3855 Prob > F = 0.0051
F(8,131) = 2.91
overall = 0.0426 max = 7
between = 0.0074 avg = 6.1
R-sq: within = 0.1510 Obs per group: min = 2
Group variable: bank Number of groups = 27
Fixed-effects (within) regression Number of obs = 166
rho .3775976 (fraction of variance due to u_i)
sigma_e .05569628
sigma_u .04338156
_cons .5904594 .1962403 3.01 0.003 .2058355 .9750833
lp -.0413342 .0950796 -0.43 0.664 -.2276868 .1450184
ttkt -2.200606 1.217085 -1.81 0.071 -4.58605 .1848375
vhdcv .0038971 .0146417 0.27 0.790 -.0248001 .0325943
cv -.0661893 .0527421 -1.25 0.209 -.1695618 .0371833
qmts .0282488 .0108694 2.60 0.009 .0069452 .0495524
vcsh .1783482 .0881107 2.02 0.043 .0056544 .3510421
tsnnt .0348507 .0811598 0.43 0.668 -.1242195 .193921
cvnt -.0027622 .0255385 -0.11 0.914 -.0528167 .0472922
hqktt Coef. Std. Err. z P>|z| [95% Conf. Interval]
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0059
Random effects u_i ~ Gaussian Wald chi2(8) = 21.52
overall = 0.1020 max = 7
between = 0.0715 avg = 6.1
R-sq: within = 0.1327 Obs per group: min = 2
Group variable: bank Number of groups = 27
Random-effects GLS regression Number of obs = 166
183
KIỂM ĐỊNH HAUSMAN
KIỂM ĐỊNH BREUSCH-PAGAN LAGRANGIAN
KIỂM ĐỊNH WOOLDRIDGE
MÔ HÌNH FGLS VỚI BIẾN PHỤ THUỘC HQKTT
Prob>chi2 = 0.4242
= 8.10
chi2(8) = (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
lp .0427291 -.0413342 .0840633 .0368811
ttkt -2.939926 -2.200606 -.7393196 .3644053
vhdcv .0061754 .0038971 .0022783 .0050083
cv -.0240399 -.0661893 .0421494 .0302127
qmts .0423004 .0282488 .0140516 .0068965
vcsh .1419431 .1783482 -.0364051 .038757
tsnnt .0912243 .0348507 .0563735 .0648397
cvnt -.0004984 -.0027622 .0022638 .0132775
fe . Difference S.E.
(b) (B) (b-B) sqrt(diag(V_b-V_B))
Coefficients
Prob > chi2 = 0.0000
chi2(1) = 28.30
Test: Var(u) = 0
u .001882 .0433816
e .0031021 .0556963
hqktt .0050851 .0713102
Var sd = sqrt(Var)
Estimated results:
hqktt[bank,t] = Xb + u[bank] + e[bank,t]
Breusch and Pagan Lagrangian multiplier test for random effects
Prob > F = 0.0038
F( 1, 25) = 10.179
H0: no first-order autocorrelation
Wooldridge test for autocorrelation in panel data
_cons .8495037 .1570778 5.41 0.000 .5416368 1.157371
lp -.0537214 .0720377 -0.75 0.456 -.1949128 .0874699
ttkt -2.085647 .9351658 -2.23 0.026 -3.918538 -.2527554
vhdcv .002055 .0095541 0.22 0.830 -.0166707 .0207808
cv -.0963768 .0394909 -2.44 0.015 -.1737776 -.018976
qmts .0138718 .0085421 1.62 0.104 -.0028703 .030614
vcsh .1759197 .0658513 2.67 0.008 .0468534 .304986
tsnnt .0776117 .0607484 1.28 0.201 -.0414531 .1966764
cvnt -.0016853 .0201198 -0.08 0.933 -.0411195 .0377489
hqktt Coef. Std. Err. z P>|z| [95% Conf. Interval]
Prob > chi2 = 0.0006
Wald chi2(8) = 27.34
max = 7
avg = 6.148148
Estimated coefficients = 9 Obs per group: min = 2
Estimated autocorrelations = 1 Number of groups = 27
Estimated covariances = 27 Number of obs = 166
Correlation: common AR(1) coefficient for all panels (0.4173)
Panels: heteroskedastic
Coefficients: generalized least squares
184
PHỤ LỤC 22
MÔ HÌNH HỒI QUY VÀ PHƯƠNG PHÁP KIỂM ĐỊNH ĐỐI VỚI CÁC NGÂN
HÀNG NHÓM 2 VỚI BIẾN PHỤ THUỘC HQQM
MÔ HÌNH POOLED VỚI BIẾN PHỤ THUỘC HQQM
MÔ HÌNH FEM VỚI BIẾN PHỤ THUỘC HQQM
MÔ HÌNH REM VỚI BIẾN PHỤ THUỘC HQQM
_cons .4965681 .109734 4.53 0.000 .2798228 .7133134
lp .0304117 .0612155 0.50 0.620 -.0905004 .1513238
ttkt .1377362 .8218024 0.17 0.867 -1.485479 1.760951
vhdcv -.0018776 .0093887 -0.20 0.842 -.020422 .0166668
cv .0059055 .0292839 0.20 0.840 -.0519357 .0637467
qmts .0253941 .0057262 4.43 0.000 .0140837 .0367045
vcsh .1509605 .049677 3.04 0.003 .052839 .2490821
tsnnt .0355709 .0394475 0.90 0.369 -.0423453 .1134872
cvnt .010094 .0143605 0.70 0.483 -.0182706 .0384587
hqqm Coef. Std. Err. t P>|t| [95% Conf. Interval]
Total .291357835 165 .001765805 Root MSE = .03956
Adj R-squared = 0.1139
Residual .245648482 157 .00156464 R-squared = 0.1569
Model .045709353 8 .005713669 Prob > F = 0.0006
F( 8, 157) = 3.65
Source SS df MS Number of obs = 166
F test that all u_i=0: F(26, 131) = 2.20 Prob > F = 0.0020
rho .30041858 (fraction of variance due to u_i)
sigma_e .03613652
sigma_u .02368048
_cons .5704304 .1483372 3.85 0.000 .276984 .8638768
lp .0259915 .0661674 0.39 0.695 -.1049034 .1568864
ttkt .258377 .824297 0.31 0.754 -1.372279 1.889033
vhdcv -.0107464 .0100401 -1.07 0.286 -.0306082 .0091153
cv -.0011626 .0394366 -0.03 0.977 -.0791777 .0768525
qmts .0225017 .008352 2.69 0.008 .0059795 .0390239
vcsh .0914793 .0624535 1.46 0.145 -.0320686 .2150273
tsnnt .0300795 .0673989 0.45 0.656 -.1032517 .1634106
cvnt -.0059199 .0186753 -0.32 0.752 -.0428641 .0310244
hqqm Coef. Std. Err. t P>|t| [95% Conf. Interval]
corr(u_i, Xb) = 0.0178 Prob > F = 0.1420
F(8,131) = 1.56
overall = 0.1362 max = 7
between = 0.2399 avg = 6.1
R-sq: within = 0.0871 Obs per group: min = 2
Group variable: bank Number of groups = 27
Fixed-effects (within) regression Number of obs = 166
rho .2049295 (fraction of variance due to u_i)
sigma_e .03613652
sigma_u .01834618
_cons .5425528 .1173575 4.62 0.000 .3125364 .7725692
lp .0263917 .0592802 0.45 0.656 -.0897953 .1425787
ttkt .18228 .7702863 0.24 0.813 -1.327453 1.692013
vhdcv -.0063504 .0091702 -0.69 0.489 -.0243236 .0116228
cv -.0016857 .0315117 -0.05 0.957 -.0634474 .060076
qmts .0235767 .006405 3.68 0.000 .011023 .0361303
vcsh .116519 .0534304 2.18 0.029 .0117975 .2212406
tsnnt .037697 .0464264 0.81 0.417 -.0532971 .1286911
cvnt .0038658 .015371 0.25 0.801 -.0262608 .0339924
hqqm Coef. Std. Err. z P>|z| [95% Conf. Interval]
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0064
Random effects u_i ~ Gaussian Wald chi2(8) = 21.32
overall = 0.1522 max = 7
between = 0.2927 avg = 6.1
R-sq: within = 0.0827 Obs per group: min = 2
Group variable: bank Number of groups = 27
Random-effects GLS regression Number of obs = 166
185
KIỂM ĐỊNH HAUSMAN
KIỂM ĐỊNH BREUSCH-PAGAN LAGRANGIAN
KIỂM ĐỊNH WOOLDRIDGE
MÔ HÌNH FGLS VỚI BIẾN PHỤ THUỘC HQQM
Prob>chi2 = 0.8692
= 3.86
chi2(8) = (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
lp .0259915 .0263917 -.0004002 .0293936
ttkt .258377 .18228 .076097 .2934699
vhdcv -.0107464 -.0063504 -.004396 .004088
cv -.0011626 -.0016857 .0005231 .0237121
qmts .0225017 .0235767 -.001075 .0053601
vcsh .0914793 .116519 -.0250397 .0323364
tsnnt .0300795 .037697 -.0076176 .048859
cvnt -.0059199 .0038658 -.0097857 .0106066
fe . Difference S.E.
(b) (B) (b-B) sqrt(diag(V_b-V_B))
Coefficients
Prob > chi2 = 0.0046
chi2(1) = 8.03
Test: Var(u) = 0
u .0003366 .0183462
e .0013058 .0361365
hqqm .0017658 .0420215
Var sd = sqrt(Var)
Estimated results:
hqqm[bank,t] = Xb + u[bank] + e[bank,t]
Breusch and Pagan Lagrangian multiplier test for random effects
Prob > F = 0.1910
F( 1, 25) = 1.806
H0: no first-order autocorrelation
Wooldridge test for autocorrelation in panel data
_cons .7489874 .0763581 9.81 0.000 .5993283 .8986465
lp -.0359849 .0327955 -1.10 0.273 -.1002629 .0282932
ttkt .1790037 .3573899 0.50 0.616 -.5214677 .879475
vhdcv -.007626 .0053583 -1.42 0.155 -.0181282 .0028761
cv -.0326891 .0180833 -1.81 0.071 -.0681317 .0027535
qmts .0137401 .0036888 3.72 0.000 .0065101 .02097
vcsh .0803187 .0356561 2.25 0.024 .010434 .1502033
tsnnt .0124882 .0261436 0.48 0.633 -.0387524 .0637288
cvnt .0050155 .0094298 0.53 0.595 -.0134665 .0234976
hqqm Coef. Std. Err. z P>|z| [95% Conf. Interval]
Prob > chi2 = 0.0000
Wald chi2(8) = 103.31
max = 7
avg = 6.148148
Estimated coefficients = 9 Obs per group: min = 2
Estimated autocorrelations = 0 Number of groups = 27
Estimated covariances = 27 Number of obs = 166
Correlation: no autocorrelation
Panels: heteroskedastic
Coefficients: generalized least squares