Luận án Tác động của rủi ro thanh khoản đến hiệu quả hoạt động kinh doanh ngân hàng: Nghiên cứu trường hợp các quốc gia Đông Nam Á

0.00644*** [-5.68] [-6.90] [-7.86] [-3.94] nim 0.00670 0.0149*** 0.00733 0.0161*** [1.46] [3.14] [1.63] [4.43] gdp 0.00427 0.0123* 0.00545 0.0293*** [0.51] [1.72] [0.72] [5.04] infl -0.000843 -0.000101 -0.000187 0.000494 [-1.06] [-0.16] [-0.26] [1.23] m2 -0.00000416 -0.00000222 -0.00000260 -0.00000332*** [-1.25] [-0.84] [-0.88] [-2.80] d_cris -0.0129 -0.00714 -0.00928 -0.00716 [-0.95] [-0.64] [-0.76] [-0.77] size2 1.254*** 1.254*** 1.669*** [3.91] [4.72] [2.65] _cons -0.221*** -0.320*** -0.220*** -0.552*** [-3.22] [-4.52] [-3.41] [-9.40] ---------------------------------------------------------------------------- N 157 157 157 130 R-sq 0.901 0.804 ---------------------------------------------------------------------------- t statistics in brackets * p<0.1, ** p<0.05, *** p<0.01 . . esttab P7 F7 R7 GMM7,r2 star(* 0.1 ** 0.05 *** 0.01) brackets nogap ---------------------------------------------------------------------------- (1) (2) (3) (4) nlta nlta nlta nlta ---------------------------------------------------------------------------- L.nlta 0.444*** 0.208*** 0.410*** -0.0107 [9.72] [3.98] [8.99] [-0.12] size 37.38** 27.95 38.04** 74.91 [2.35] [1.62] [2.38] [1.51] size2 107.6*** 116.2*** 113.5*** 152.6*** [4.16] [3.70] [4.40] [3.26] lia 0.0690 -0.0962 0.0290 0.533 [0.67] [-0.71] [0.27] [1.32] llr 0.0679*** 0.0785*** 0.0711*** 0.121*** [5.64] [5.68] [5.92] [3.56] lads 0.223 -0.100 0.144 1.199 [0.63] [-0.21] [0.39] [1.27] eta 0.651 -0.845 0.344 0.464 [1.05] [-1.13] [0.52] [0.36] 182 llp -0.700*** -0.752*** -0.731*** -1.097*** [-7.24] [-6.65] [-7.53] [-3.53] nim 0.419 1.321*** 0.547 0.755 [1.00] [2.84] [1.26] [0.73] gdp 0.640 1.198* 0.619 2.424 [0.83] [1.72] [0.84] [1.64] infl 0.00353 -0.00465 -0.00214 -0.0366 [0.05] [-0.07] [-0.03] [-0.70] m2 -0.000267 -0.000220 -0.000249 -0.000727** [-0.88] [-0.86] [-0.86] [-2.40] d_cris -0.158 -0.451 -0.243 0.0788 [-0.13] [-0.42] [-0.20] [0.05] _cons 35.38*** 50.21*** 38.68*** 43.47*** [5.46] [7.49] [6.01] [3.98] ---------------------------------------------------------------------------- N 157 157 157 130 R-sq 0.908 0.795 ---------------------------------------------------------------------------- t statistics in brackets * p<0.1, ** p<0.05, *** p<0.01 . . esttab P8 F8 R8 GMM8,r2 star(* 0.1 ** 0.05 *** 0.01) brackets nogap ---------------------------------------------------------------------------- (1) (2) (3) (4) nlst nlst nlst nlst ---------------------------------------------------------------------------- L.nlst 0.556*** 0.281*** 0.556*** 0.109 [12.31] [4.56] [12.31] [0.84] size 53.89** 63.42** 53.89** 76.26 [2.45] [2.46] [2.45] [0.69] size2 95.91*** 110.9** 95.91*** 50.23 [2.79] [2.38] [2.79] [0.41] lia 0.334** 0.441** 0.334** 1.497*** [2.32] [2.18] [2.32] [2.98] llr 0.0727*** 0.0965*** 0.0727*** 0.0922 [4.48] [4.75] [4.48] [1.18] lads 0.389 0.299 0.389 1.510* [0.80] [0.42] [0.80] [1.94] eta -0.0433 -1.533 -0.0433 -0.958 [-0.05] [-1.37] [-0.05] [-0.39] llp -0.750*** -0.913*** -0.750*** -0.808 [-5.82] [-5.50] [-5.82] [-1.14] nim 0.512 1.260* 0.512 3.129 [0.89] [1.83] [0.89] [1.62] gdp 0.913 1.150 0.913 2.786 [0.87] [1.12] [0.87] [1.61] infl 0.105 0.0858 0.105 0.140 [1.04] [0.91] [1.04] [1.58] m2 -0.000575 -0.000503 -0.000575 -0.000744*** [-1.38] [-1.31] [-1.38] [-2.87] d_cris 1.423 1.740 1.423 2.769 [0.83] [1.07] [0.83] [1.09] _cons 28.13*** 46.12*** 28.13*** 21.33* [3.17] [4.56] [3.17] [1.68] ---------------------------------------------------------------------------- N 157 157 157 130 R-sq 0.899 0.682 ---------------------------------------------------------------------------- t statistics in brackets * p<0.1, ** p<0.05, *** p<0.01 . . . . esttab P4 P7 P8,r2 star(* 0.1 ** 0.05 *** 0.01) brackets nogap ------------------------------------------------------------ (1) (2) (3) fgap nlta nlst ------------------------------------------------------------ L.fgap 0.476*** [10.93] size 0.621*** 37.38** 53.89** [3.77] [2.35] [2.45] lia 0.00634*** 0.0690 0.334** [5.29] [0.67] [2.32] llr 0.000450*** 0.0679*** 0.0727*** [3.83] [5.64] [4.48] lads 0.00227 0.223 0.389 [0.58] [0.63] [0.80] eta 0.00993 0.651 -0.0433 [1.46] [1.05] [-0.05] llp -0.00513*** -0.700*** -0.750*** [-5.68] [-7.24] [-5.82] nim 0.00670 0.419 0.512 [1.46] [1.00] [0.89] gdp 0.00427 0.640 0.913 [0.51] [0.83] [0.87] 183 infl -0.000843 0.00353 0.105 [-1.06] [0.05] [1.04] m2 -0.00000416 -0.000267 -0.000575 [-1.25] [-0.88] [-1.38] d_cris -0.0129 -0.158 1.423 [-0.95] [-0.13] [0.83] L.nlta 0.444*** [9.72] size2 107.6*** 95.91*** [4.16] [2.79] L.nlst 0.556*** [12.31] _cons -0.221*** 35.38*** 28.13*** [-3.22] [5.46] [3.17] ------------------------------------------------------------ N 157 157 157 R-sq 0.901 0.908 0.899 ------------------------------------------------------------ t statistics in brackets * p<0.1, ** p<0.05, *** p<0.01 . . esttab GMM4 GMM7 GMM8,r2 star(* 0.1 ** 0.05 *** 0.01) brackets nogap ------------------------------------------------------------ (1) (2) (3) fgap nlta nlst ------------------------------------------------------------ L.fgap -0.122 [-1.34] size -0.306 74.91 76.26 [-0.94] [1.51] [0.69] size2 1.669*** 152.6*** 50.23 [2.65] [3.26] [0.41] lia 0.0137*** 0.533 1.497*** [6.68] [1.32] [2.98] llr 0.000707*** 0.121*** 0.0922 [3.85] [3.56] [1.18] lads 0.00875*** 1.199 1.510* [3.72] [1.27] [1.94] eta -0.00787 0.464 -0.958 [-1.27] [0.36] [-0.39] llp -0.00644*** -1.097*** -0.808 [-3.94] [-3.53] [-1.14] nim 0.0161*** 0.755 3.129 [4.43] [0.73] [1.62] gdp 0.0293*** 2.424 2.786 [5.04] [1.64] [1.61] infl 0.000494 -0.0366 0.140 [1.23] [-0.70] [1.58] m2 -0.00000332*** -0.000727** -0.000744*** [-2.80] [-2.40] [-2.87] d_cris -0.00716 0.0788 2.769 [-0.77] [0.05] [1.09] L.nlta -0.0107 [-0.12] L.nlst 0.109 [0.84] _cons -0.552*** 43.47*** 21.33* [-9.40] [3.98] [1.68] ------------------------------------------------------------ N 130 130 130 R-sq ------------------------------------------------------------ t statistics in brackets * p<0.1, ** p<0.05, *** p<0.01 . . . . . . Mo hinh 2 unrecognized command: Mo r(199); . . xtset donvi year panel variable: donvi (strongly balanced) time variable: year, 2004 to 2016 delta: 1 unit . . *roa . . reg roa l.roa fgap nlst nlta lia llr lads size eta llp gdp infl m2 d_cris d_deve note: fgap omitted because of collinearity note: d_deve omitted because of collinearity 184 Source | SS df MS Number of obs = 157 -------------+------------------------------ F( 13, 143) = 42.88 Model | 94.4931377 13 7.2687029 Prob > F = 0.0000 Residual | 24.2395509 143 .169507349 R-squared = 0.7958 -------------+------------------------------ Adj R-squared = 0.7773 Total | 118.732689 156 .761106978 Root MSE = .41171 ------------------------------------------------------------------------------ roa | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- roa | L1. | .4983654 .0663831 7.51 0.000 .3671463 .6295844 | fgap | 0 (omitted) nlst | .005178 .0064872 0.80 0.426 -.0076452 .0180011 nlta | .0150925 .0092549 1.63 0.105 -.0032016 .0333866 lia | .0293628 .0093659 3.14 0.002 .0108494 .0478762 llr | -.0113433 .0009365 -12.11 0.000 -.0131945 -.009492 lads | .0575284 .029014 1.98 0.049 .0001766 .1148802 size | -9.121109 1.317432 -6.92 0.000 -11.72527 -6.516951 eta | -.074858 .0541746 -1.38 0.169 -.1819446 .0322285 llp | .0709431 .0076219 9.31 0.000 .0558769 .0860093 gdp | .0923846 .0650162 1.42 0.158 -.0361324 .2209016 infl | .017127 .0061704 2.78 0.006 .00493 .029324 m2 | -.0000103 .0000252 -0.41 0.682 -.0000601 .0000394 d_cris | -.2002523 .1033808 -1.94 0.055 -.4046043 .0040998 d_deve | 0 (omitted) _cons | -1.70163 .5586348 -3.05 0.003 -2.805879 -.5973811 ------------------------------------------------------------------------------ . . vif Variable | VIF 1/VIF -------------+---------------------- llp | 107.05 0.009341 llr | 35.27 0.028351 size | 23.97 0.041727 nlta | 19.06 0.052467 nlst | 16.14 0.061966 d_cris | 2.05 0.487672 m2 | 1.86 0.536198 roa | L1. | 1.70 0.586966 lia | 1.62 0.617919 lads | 1.51 0.661554 eta | 1.48 0.675614 infl | 1.45 0.688735 gdp | 1.36 0.737796 -------------+---------------------- Mean VIF | 16.50 . . reg roa l.roa fgap nlst nlta lia llr lads size size2 eta llp gdp infl m2 d_cris d_deve note: fgap omitted because of collinearity note: d_deve omitted because of collinearity Source | SS df MS Number of obs = 157 -------------+------------------------------ F( 14, 142) = 41.90 Model | 95.5918251 14 6.82798751 Prob > F = 0.0000 Residual | 23.1408634 142 .162963827 R-squared = 0.8051 -------------+------------------------------ Adj R-squared = 0.7859 Total | 118.732689 156 .761106978 Root MSE = .40369 ------------------------------------------------------------------------------ roa | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- roa | L1. | .4563222 .067073 6.80 0.000 .3237315 .588913 | fgap | 0 (omitted) nlst | .0036743 .006387 0.58 0.566 -.0089517 .0163002 nlta | .024494 .0097702 2.51 0.013 .0051802 .0438079 lia | .0313557 .0092153 3.40 0.001 .0131387 .0495726 llr | -.0128935 .0010953 -11.77 0.000 -.0150588 -.0107283 lads | .0539645 .0284816 1.89 0.060 -.0023382 .1102672 size | -8.10174 1.350094 -6.00 0.000 -10.77062 -5.43286 size2 | -6.010815 2.314951 -2.60 0.010 -10.58704 -1.434594 eta | -.0956466 .0537187 -1.78 0.077 -.2018382 .0105451 llp | .0854604 .0093333 9.16 0.000 .0670102 .1039107 gdp | .07194 .0642334 1.12 0.265 -.0550372 .1989172 infl | .015172 .0060968 2.49 0.014 .0031197 .0272243 m2 | -.0000139 .0000247 -0.56 0.574 -.0000628 .000035 d_cris | -.2108984 .1014487 -2.08 0.039 -.4114432 -.0103536 d_deve | 0 (omitted) _cons | -2.252242 .5873621 -3.83 0.000 -3.413345 -1.091138 ------------------------------------------------------------------------------ . . est sto P44 185 . . imtest, white White's test for Ho: homoskedasticity against Ha: unrestricted heteroskedasticity chi2(115) = 137.47 Prob > chi2 = 0.0752 Cameron & Trivedi's decomposition of IM-test --------------------------------------------------- Source | chi2 df p ---------------------+----------------------------- Heteroskedasticity | 137.47 115 0.0752 Skewness | 20.92 14 0.1036 Kurtosis | 1.72 1 0.1897 ---------------------+----------------------------- Total | 160.11 130 0.0375 --------------------------------------------------- . . xtreg roa l.roa fgap nlst nlta lia llr lads size size2 eta llp gdp infl m2 d_cris d_deve,fe note: fgap omitted because of collinearity note: d_deve omitted because of collinearity Fixed-effects (within) regression Number of obs = 157 Group variable: donvi Number of groups = 25 R-sq: within = 0.7108 Obs per group: min = 1 between = 0.9223 avg = 6.3 overall = 0.7925 max = 11 F(14,118) = 20.72 corr(u_i, Xb) = 0.1124 Prob > F = 0.0000 ------------------------------------------------------------------------------ roa | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- roa | L1. | .3854346 .0791577 4.87 0.000 .2286808 .5421885 | fgap | 0 (omitted) nlst | .0007943 .0085654 0.09 0.926 -.0161674 .017756 nlta | .0246336 .0128294 1.92 0.057 -.0007721 .0500392 lia | .0371125 .0142955 2.60 0.011 .0088035 .0654216 llr | -.0109561 .0016353 -6.70 0.000 -.0141944 -.0077178 lads | .0181839 .0483444 0.38 0.707 -.0775512 .113919 size | -7.675649 1.770483 -4.34 0.000 -11.18169 -4.16961 size2 | -3.120339 3.489678 -0.89 0.373 -10.03085 3.790173 eta | -.1249202 .076054 -1.64 0.103 -.2755278 .0256874 llp | .070889 .0139406 5.09 0.000 .0432828 .0984951 gdp | .0097178 .07112 0.14 0.892 -.1311191 .1505547 infl | .0204458 .0064213 3.18 0.002 .0077299 .0331617 m2 | 2.41e-07 .000026 0.01 0.993 -.0000513 .0000518 d_cris | -.2244187 .1106724 -2.03 0.045 -.4435801 -.0052573 d_deve | 0 (omitted) _cons | -1.364898 .8190216 -1.67 0.098 -2.986783 .2569879 -------------+---------------------------------------------------------------- sigma_u | .2487858 sigma_e | .39880197 rho | .28014442 (fraction of variance due to u_i) ------------------------------------------------------------------------------ F test that all u_i=0: F(24, 118) = 1.15 Prob > F = 0.3070 . . est sto F44 . . xtreg roa l.roa fgap nlst nlta lia llr lads size size2 eta llp gdp infl m2 d_cris d_deve,re note: lia omitted because of collinearity note: d_deve omitted because of collinearity Random-effects GLS regression Number of obs = 157 Group variable: donvi Number of groups = 25 R-sq: within = 0.7021 Obs per group: min = 1 between = 0.9583 avg = 6.3 overall = 0.8051 max = 11 Wald chi2(14) = 586.58 corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ roa | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- roa | L1. | .4563222 .067073 6.80 0.000 .3248615 .587783 | 186 fgap | 3.135567 .9215328 3.40 0.001 1.329396 4.941738 nlst | .0036743 .006387 0.58 0.565 -.0088441 .0161926 nlta | -.0068617 .0115173 -0.60 0.551 -.0294351 .0157118 lia | 0 (omitted) llr | -.0128935 .0010953 -11.77 0.000 -.0150403 -.0107468 lads | .0539645 .0284816 1.89 0.058 -.0018584 .1097874 size | -8.10174 1.350094 -6.00 0.000 -10.74788 -5.455605 size2 | -6.010815 2.314951 -2.60 0.009 -10.54804 -1.473593 eta | -.0956466 .0537187 -1.78 0.075 -.2009332 .0096401 llp | .0854604 .0093333 9.16 0.000 .0671674 .1037534 gdp | .07194 .0642334 1.12 0.263 -.053955 .1978351 infl | .015172 .0060968 2.49 0.013 .0032224 .0271215 m2 | -.0000139 .0000247 -0.56 0.574 -.0000624 .0000346 d_cris | -.2108984 .1014487 -2.08 0.038 -.4097341 -.0120627 d_deve | 0 (omitted) _cons | .8833254 1.017039 0.87 0.385 -1.110035 2.876686 -------------+---------------------------------------------------------------- sigma_u | 0 sigma_e | .39880197 rho | 0 (fraction of variance due to u_i) ------------------------------------------------------------------------------ . . xttest0 Breusch and Pagan Lagrangian multiplier test for random effects roa[donvi,t] = Xb + u[donvi] + e[donvi,t] Estimated results: | Var sd = sqrt(Var) ---------+----------------------------- roa | .761107 .8724145 e | .159043 .398802 u | 0 0 Test: Var(u) = 0 chibar2(01) = 0.00 Prob > chibar2 = 1.0000 . . est sto R44 . . hausman F44 R44 Note: the rank of the differenced variance matrix (11) does not equal the number of coefficients being tested (13); be sure this is what you expect, or there may be problems computing the test. Examine the output of your estimators for anything unexpected and possibly consider scaling your variables so that the coefficients are on a similar scale. ---- Coefficients ---- | (b) (B) (b-B) sqrt(diag(V_b-V_B)) | F44 R44 Difference S.E. -------------+---------------------------------------------------------------- L.roa | .3854346 .4563222 -.0708876 .0420375 nlst | .0007943 .0036743 -.0028799 .0057071 nlta | .0246336 -.0068617 .0314952 .005652 llr | -.0109561 -.0128935 .0019374 .0012143 lads | .0181839 .0539645 -.0357806 .0390638 size | -7.675649 -8.10174 .4260914 1.145364 size2 | -3.120339 -6.010815 2.890475 2.611293 eta | -.1249202 -.0956466 -.0292736 .0538378 llp | .070889 .0854604 -.0145715 .0103551 gdp | .0097178 .07194 -.0622222 .0305307 infl | .0204458 .015172 .0052738 .0020153 m2 | 2.41e-07 -.0000139 .0000142 8.13e-06 d_cris | -.2244187 -.2108984 -.0135203 .0442328 ------------------------------------------------------------------------------ b = consistent under Ho and Ha; obtained from xtreg B = inconsistent under Ha, efficient under Ho; obtained from xtreg Test: Ho: difference in coefficients not systematic chi2(11) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 21.30 Prob>chi2 = 0.0304 (V_b-V_B is not positive definite) . . xtabond roa fgap nlst nlta lia llr lads size size2 eta llp gdp infl m2 d_cris,twostep note: fgap dropped from div() because of collinearity note: fgap dropped because of collinearity Arellano-Bond dynamic panel-data estimation Number of obs = 130 Group variable: donvi Number of groups = 24 Time variable: year Obs per group: min = 1 187 avg = 5.416667 max = 10 Number of instruments = 72 Wald chi2(14) = 361.41 Prob > chi2 = 0.0000 Two-step results ------------------------------------------------------------------------------ roa | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- roa | L1. | .3072212 .1362385 2.26 0.024 .0401987 .5742437 | nlst | .0160877 .0072268 2.23 0.026 .0019235 .0302519 nlta | .0179939 .0092566 1.94 0.052 -.0001488 .0361366 lia | -.0026777 .0195678 -0.14 0.891 -.0410299 .0356746 llr | -.0163747 .004612 -3.55 0.000 -.025414 -.0073353 lads | -.0110062 .0331433 -0.33 0.740 -.0759659 .0539534 size | -13.94398 6.227093 -2.24 0.025 -26.14886 -1.739105 size2 | -5.984973 6.0763 -0.98 0.325 -17.8943 5.924356 eta | -.1902359 .0861303 -2.21 0.027 -.3590482 -.0214235 llp | .1154805 .0417166 2.77 0.006 .0337176 .1972435 gdp | .0268833 .0505349 0.53 0.595 -.0721634 .12593 infl | .0187371 .0046394 4.04 0.000 .009644 .0278301 m2 | .000013 .0000126 1.04 0.299 -.0000116 .0000376 d_cris | -.3852435 .146601 -2.63 0.009 -.6725761 -.0979109 _cons | -1.286283 .6334346 -2.03 0.042 -2.527792 -.0447739 ------------------------------------------------------------------------------ Warning: gmm two-step standard errors are biased; robust standard errors are recommended. Instruments for differenced equation GMM-type: L(2/.).roa Standard: D.nlst D.nlta D.lia D.llr D.lads D.size D.size2 D.eta D.llp D.gdp D.infl D.m2 D.d_cris Instruments for level equation Standard: _cons . . estat sargan Sargan test of overidentifying restrictions H0: overidentifying restrictions are valid chi2(57) = 12.39259 Prob > chi2 = 1.0000 . . estat abond Arellano-Bond test for zero autocorrelation in first-differenced errors +-----------------------+ |Order | z Prob > z| |------+----------------| | 1 |-2.1002 0.0357 | | 2 | -.8664 0.3863 | +-----------------------+ H0: no autocorrelation . . est sto GMM44 . . esttab P44 F44 R44 GMM44,r2 star(* 0.1 ** 0.05 *** 0.01) brackets nogap ---------------------------------------------------------------------------- (1) (2) (3) (4) roa roa roa roa ---------------------------------------------------------------------------- L.roa 0.456*** 0.385*** 0.456*** 0.307** [6.80] [4.87] [6.80] [2.26] fgap . . 3.136*** . . [3.40] nlst 0.00367 0.000794 0.00367 0.0161** [0.58] [0.09] [0.58] [2.23] nlta 0.0245** 0.0246* -0.00686 0.0180* [2.51] [1.92] [-0.60] [1.94] lia 0.0314*** 0.0371** . -0.00268 [3.40] [2.60] . [-0.14] llr -0.0129*** -0.0110*** -0.0129*** -0.0164*** [-11.77] [-6.70] [-11.77] [-3.55] lads 0.0540* 0.0182 0.0540* -0.0110 [1.89] [0.38] [1.89] [-0.33] size -8.102*** -7.676*** -8.102*** -13.94** [-6.00] [-4.34] [-6.00] [-2.24] size2 -6.011** -3.120 -6.011*** -5.985 [-2.60] [-0.89] [-2.60] [-0.98] eta -0.0956* -0.125 -0.0956* -0.190** [-1.78] [-1.64] [-1.78] [-2.21] llp 0.0855*** 0.0709*** 0.0855*** 0.115*** [9.16] [5.09] [9.16] [2.77] gdp 0.0719 0.00972 0.0719 0.0269 [1.12] [0.14] [1.12] [0.53] infl 0.0152** 0.0204*** 0.0152** 0.0187*** 188 [2.49] [3.18] [2.49] [4.04] m2 -0.0000139 0.000000241 -0.0000139 0.0000130 [-0.56] [0.01] [-0.56] [1.04] d_cris -0.211** -0.224** -0.211** -0.385*** [-2.08] [-2.03] [-2.08] [-2.63] d_deve . . . . . . _cons -2.252*** -1.365* 0.883 -1.286** [-3.83] [-1.67] [0.87] [-2.03] ---------------------------------------------------------------------------- N 157 157 157 130 R-sq 0.805 0.711 ---------------------------------------------------------------------------- t statistics in brackets * p<0.1, ** p<0.05, *** p<0.01 . . . . *roe . . reg roe l.roe fgap nlst nlta lia llr lads size eta llp gdp infl m2 d_cris d_deve note: fgap omitted because of collinearity note: d_deve omitted because of collinearity Source | SS df MS Number of obs = 157 -------------+------------------------------ F( 13, 143) = 36.52 Model | 9845.77361 13 757.367201 Prob > F = 0.0000 Residual | 2965.78037 143 20.7397229 R-squared = 0.7685 -------------+------------------------------ Adj R-squared = 0.7475 Total | 12811.554 156 82.125346 Root MSE = 4.5541 ------------------------------------------------------------------------------ roe | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- roe | L1. | .5893137 .0565544 10.42 0.000 .477523 .7011044 | fgap | 0 (omitted) nlst | .0964257 .0718563 1.34 0.182 -.0456121 .2384634 nlta | .0728387 .1024238 0.71 0.478 -.1296216 .275299 lia | -.2560856 .1011317 -2.53 0.012 -.4559918 -.0561793 llr | -.1075303 .0104312 -10.31 0.000 -.1281496 -.086911 lads | .6286773 .3209482 1.96 0.052 -.0057385 1.263093 size | -82.31008 14.55215 -5.66 0.000 -111.0752 -53.54496 eta | -.5869784 .5851464 -1.00 0.317 -1.743633 .5696758 llp | .6642811 .0846022 7.85 0.000 .4970485 .8315137 gdp | 1.35285 .7192332 1.88 0.062 -.0688531 2.774552 infl | .1709757 .0678327 2.52 0.013 .0368912 .3050602 m2 | -.0002053 .0002785 -0.74 0.462 -.0007559 .0003453 d_cris | -1.506804 1.145673 -1.32 0.191 -3.771447 .7578388 d_deve | 0 (omitted) _cons | -14.64525 6.329203 -2.31 0.022 -27.15614 -2.134364 ------------------------------------------------------------------------------ . . vif Variable | VIF 1/VIF -------------+---------------------- llp | 107.80 0.009276 llr | 35.76 0.027961 size | 23.90 0.041844 nlta | 19.08 0.052413 nlst | 16.18 0.061795 d_cris | 2.06 0.485848 m2 | 1.86 0.536394 lia | 1.54 0.648436 lads | 1.51 0.661493 infl | 1.43 0.697296 eta | 1.41 0.708559 gdp | 1.36 0.737657 roe | L1. | 1.27 0.788640 -------------+---------------------- Mean VIF | 16.55 . . reg roe l.roe fgap nlst nlta lia llr lads size size2 eta llp gdp infl m2 d_cris d_deve note: fgap omitted because of collinearity note: d_deve omitted because of collinearity Source | SS df MS Number of obs = 157 -------------+------------------------------ F( 14, 142) = 34.77 Model | 9918.12044 14 708.437174 Prob > F = 0.0000 Residual | 2893.43354 142 20.3762925 R-squared = 0.7742 -------------+------------------------------ Adj R-squared = 0.7519 Total | 12811.554 156 82.125346 Root MSE = 4.514 189 ------------------------------------------------------------------------------ roe | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- roe | L1. | .562428 .0578441 9.72 0.000 .4480811 .6767749 | fgap | 0 (omitted) nlst | .0850705 .0714784 1.19 0.236 -.0562288 .2263698 nlta | .1478534 .109049 1.36 0.177 -.0677159 .3634227 lia | -.2698121 .100506 -2.68 0.008 -.4684936 -.0711307 llr | -.120806 .0125117 -9.66 0.000 -.1455392 -.0960728 lads | .5994075 .3185027 1.88 0.062 -.0302122 1.229027 size | -74.71403 14.97682 -4.99 0.000 -104.3204 -45.10768 size2 | -48.84259 25.92098 -1.88 0.062 -100.0835 2.398298 eta | -.7305918 .5849831 -1.25 0.214 -1.886993 .4258093 llp | .7866096 .1060507 7.42 0.000 .5769673 .9962518 gdp | 1.184992 .7184479 1.65 0.101 -.2352433 2.605228 infl | .1536235 .0678635 2.26 0.025 .0194701 .2877768 m2 | -.0002328 .0002765 -0.84 0.401 -.0007794 .0003137 d_cris | -1.636634 1.137679 -1.44 0.152 -3.88561 .6123422 d_deve | 0 (omitted) _cons | -18.83468 6.655835 -2.83 0.005 -31.99201 -5.677357 ------------------------------------------------------------------------------ . . est sto P55 . . imtest, white White's test for Ho: homoskedasticity against Ha: unrestricted heteroskedasticity chi2(114) = 130.87 Prob > chi2 = 0.1335 Cameron & Trivedi's decomposition of IM-test --------------------------------------------------- Source | chi2 df p ---------------------+----------------------------- Heteroskedasticity | 130.87 114 0.1335 Skewness | 19.02 14 0.1641 Kurtosis | 0.85 1 0.3561 ---------------------+----------------------------- Total | 150.74 129 0.0925 --------------------------------------------------- . . xtreg roe l.roe fgap nlst nlta lia llr lads size size2 eta llp gdp infl m2 d_cris d_deve,fe note: fgap omitted because of collinearity note: d_deve omitted because of collinearity Fixed-effects (within) regression Number of obs = 157 Group variable: donvi Number of groups = 25 R-sq: within = 0.6698 Obs per group: min = 1 between = 0.8861 avg = 6.3 overall = 0.7516 max = 11 F(14,118) = 17.09 corr(u_i, Xb) = 0.0346 Prob > F = 0.0000 ------------------------------------------------------------------------------ roe | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- roe | L1. | .4610082 .0728161 6.33 0.000 .3168124 .605204 | fgap | 0 (omitted) nlst | .0621701 .0959793 0.65 0.518 -.127895 .2522352 nlta | .1922172 .1449335 1.33 0.187 -.0947906 .479225 lia | -.3079005 .1588775 -1.94 0.055 -.6225212 .0067203 llr | -.1130117 .0184714 -6.12 0.000 -.1495902 -.0764333 lads | .1208528 .5418384 0.22 0.824 -.9521347 1.19384 size | -84.62384 19.84146 -4.27 0.000 -123.9153 -45.33235 size2 | -15.81165 39.06511 -0.40 0.686 -93.17121 61.54791 eta | -1.359252 .8492742 -1.60 0.112 -3.041046 .3225421 llp | .7289909 .157584 4.63 0.000 .4169317 1.04105 gdp | .2947037 .8059558 0.37 0.715 -1.301308 1.890716 infl | .2073965 .0717753 2.89 0.005 .0652619 .349531 m2 | -.0000909 .0002916 -0.31 0.756 -.0006683 .0004865 d_cris | -2.205937 1.241312 -1.78 0.078 -4.664074 .252199 d_deve | 0 (omitted) _cons | -8.514988 9.180259 -0.93 0.356 -26.6944 9.664424 -------------+---------------------------------------------------------------- sigma_u | 2.806291 sigma_e | 4.4700767 rho | .28270489 (fraction of variance due to u_i) ------------------------------------------------------------------------------ 190 F test that all u_i=0: F(24, 118) = 1.12 Prob > F = 0.3366 . . est sto F55 . . xtreg roe l.roe fgap nlst nlta lia llr lads size size2 eta llp gdp infl m2 d_cris d_deve,re note: lia omitted because of collinearity note: d_deve omitted because of collinearity Random-effects GLS regression Number of obs = 157 Group variable: donvi Number of groups = 25 R-sq: within = 0.6566 Obs per group: min = 1 between = 0.9277 avg = 6.3 overall = 0.7742 max = 11 Wald chi2(14) = 486.75 corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ roe | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- roe | L1. | .562428 .0578441 9.72 0.000 .4490556 .6758004 | fgap | -26.98122 10.0506 -2.68 0.007 -46.68004 -7.282394 nlst | .0850705 .0714784 1.19 0.234 -.0550246 .2251656 nlta | .4176656 .130732 3.19 0.001 .1614355 .6738957 lia | 0 (omitted) llr | -.120806 .0125117 -9.66 0.000 -.1453284 -.0962835 lads | .5994074 .3185027 1.88 0.060 -.0248464 1.223661 size | -74.71402 14.97682 -4.99 0.000 -104.0681 -45.35999 size2 | -48.84259 25.92098 -1.88 0.060 -99.64678 1.961607 eta | -.7305919 .5849831 -1.25 0.212 -1.877138 .415954 llp | .7866095 .1060507 7.42 0.000 .578754 .9944651 gdp | 1.184992 .7184479 1.65 0.099 -.2231398 2.593124 infl | .1536234 .0678635 2.26 0.024 .0206134 .2866335 m2 | -.0002328 .0002765 -0.84 0.400 -.0007747 .000309 d_cris | -1.636634 1.137679 -1.44 0.150 -3.866444 .5931758 d_deve | 0 (omitted) _cons | -45.8159 10.60575 -4.32 0.000 -66.60279 -25.02901 -------------+---------------------------------------------------------------- sigma_u | 0 sigma_e | 4.4700767 rho | 0 (fraction of variance due to u_i) ------------------------------------------------------------------------------ . . xttest0 Breusch and Pagan Lagrangian multiplier test for random effects roe[donvi,t] = Xb + u[donvi] + e[donvi,t] Estimated results: | Var sd = sqrt(Var) ---------+----------------------------- roe | 82.12535 9.062304 e | 19.98159 4.470077 u | 0 0 Test: Var(u) = 0 chibar2(01) = 0.00 Prob > chibar2 = 1.0000 . . est sto R55 . . hausman F55 R55 Note: the rank of the differenced variance matrix (11) does not equal the number of coefficients being tested (13); be sure this is what you expect, or there may be problems computing the test. Examine the output of your estimators for anything unexpected and possibly consider scaling your variables so that the coefficients are on a similar scale. ---- Coefficients ---- | (b) (B) (b-B) sqrt(diag(V_b-V_B)) | F55 R55 Difference S.E. -------------+---------------------------------------------------------------- L.roe | .4610082 .562428 -.1014198 .0442295 nlst | .0621701 .0850705 -.0229004 .0640536 nlta | .1922172 .4176656 -.2254484 .0625688 llr | -.1130117 -.120806 .0077943 .0135886 lads | .1208528 .5994074 -.4785546 .4383433 size | -84.62384 -74.71402 -9.909812 13.01454 size2 | -15.81165 -48.84259 33.03094 29.22645 191 eta | -1.359252 -.7305919 -.6286601 .6156796 llp | .7289909 .7866095 -.0576187 .1165588 gdp | .2947037 1.184992 -.8902885 .365236 infl | .2073965 .1536234 .053773 .0233716 m2 | -.0000909 -.0002328 .0001419 .0000926 d_cris | -2.205937 -1.636634 -.5693036 .496531 ------------------------------------------------------------------------------ b = consistent under Ho and Ha; obtained from xtreg B = inconsistent under Ha, efficient under Ho; obtained from xtreg Test: Ho: difference in coefficients not systematic chi2(11) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 13.92 Prob>chi2 = 0.2374 (V_b-V_B is not positive definite) . . xtabond roe fgap nlst nlta lia llr lads size size2 eta llp gdp infl m2 d_cris,twostep note: fgap dropped from div() because of collinearity note: fgap dropped because of collinearity Arellano-Bond dynamic panel-data estimation Number of obs = 130 Group variable: donvi Number of groups = 24 Time variable: year Obs per group: min = 1 avg = 5.416667 max = 10 Number of instruments = 72 Wald chi2(14) = 955.46 Prob > chi2 = 0.0000 Two-step results ------------------------------------------------------------------------------ roe | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- roe | L1. | .3617753 .1532079 2.36 0.018 .0614933 .6620573 | nlst | .1813828 .0830921 2.18 0.029 .0185252 .3442404 nlta | .0741174 .0539163 1.37 0.169 -.0315566 .1797914 lia | -.4462176 .1509575 -2.96 0.003 -.7420888 -.1503464 llr | -.1352479 .0287517 -4.70 0.000 -.1916001 -.0788957 lads | .3531372 .8265227 0.43 0.669 -1.266817 1.973092 size | -84.07204 45.42891 -1.85 0.064 -173.1111 4.966992 size2 | -54.91203 35.46578 -1.55 0.122 -124.4237 14.59963 eta | -2.936372 1.618607 -1.81 0.070 -6.108784 .2360404 llp | .8758312 .2559605 3.42 0.001 .3741578 1.377505 gdp | .6439101 .7330851 0.88 0.380 -.7929104 2.080731 infl | .1222572 .0605955 2.02 0.044 .0034923 .2410221 m2 | -.0001368 .0002645 -0.52 0.605 -.0006553 .0003817 d_cris | -2.566756 1.31293 -1.95 0.051 -5.140051 .0065392 _cons | -9.460171 5.760187 -1.64 0.101 -20.74993 1.829588 ------------------------------------------------------------------------------ Warning: gmm two-step standard errors are biased; robust standard errors are recommended. Instruments for differenced equation GMM-type: L(2/.).roe Standard: D.nlst D.nlta D.lia D.llr D.lads D.size D.size2 D.eta D.llp D.gdp D.infl D.m2 D.d_cris Instruments for level equation Standard: _cons . . estat sargan Sargan test of overidentifying restrictions H0: overidentifying restrictions are valid chi2(57) = 11.0932 Prob > chi2 = 1.0000 . . estat abond Arellano-Bond test for zero autocorrelation in first-differenced errors +-----------------------+ |Order | z Prob > z| |------+----------------| | 1 |-1.9475 0.0515 | | 2 |-1.5705 0.1163 | +-----------------------+ H0: no autocorrelation . . est sto GMM55 . . esttab P55 F55 R55 GMM55,r2 star(* 0.1 ** 0.05 *** 0.01) brackets nogap ---------------------------------------------------------------------------- (1) (2) (3) (4) roe roe roe roe 192 ---------------------------------------------------------------------------- L.roe 0.562*** 0.461*** 0.562*** 0.362** [9.72] [6.33] [9.72] [2.36] fgap . . -26.98*** . . [-2.68] nlst 0.0851 0.0622 0.0851 0.181** [1.19] [0.65] [1.19] [2.18] nlta 0.148 0.192 0.418*** 0.0741 [1.36] [1.33] [3.19] [1.37] lia -0.270*** -0.308* . -0.446*** [-2.68] [-1.94] . [-2.96] llr -0.121*** -0.113*** -0.121*** -0.135*** [-9.66] [-6.12] [-9.66] [-4.70] lads 0.599* 0.121 0.599* 0.353 [1.88] [0.22] [1.88] [0.43] size -74.71*** -84.62*** -74.71*** -84.07* [-4.99] [-4.27] [-4.99] [-1.85] size2 -48.84* -15.81 -48.84* -54.91 [-1.88] [-0.40] [-1.88] [-1.55] eta -0.731 -1.359 -0.731 -2.936* [-1.25] [-1.60] [-1.25] [-1.81] llp 0.787*** 0.729*** 0.787*** 0.876*** [7.42] [4.63] [7.42] [3.42] gdp 1.185 0.295 1.185* 0.644 [1.65] [0.37] [1.65] [0.88] infl 0.154** 0.207*** 0.154** 0.122** [2.26] [2.89] [2.26] [2.02] m2 -0.000233 -0.0000909 -0.000233 -0.000137 [-0.84] [-0.31] [-0.84] [-0.52] d_cris -1.637 -2.206* -1.637 -2.567* [-1.44] [-1.78] [-1.44] [-1.95] d_deve . . . . . . _cons -18.83*** -8.515 -45.82*** -9.460 [-2.83] [-0.93] [-4.32] [-1.64] ---------------------------------------------------------------------------- N 157 157 157 130 R-sq 0.774 0.670 ---------------------------------------------------------------------------- t statistics in brackets * p<0.1, ** p<0.05, *** p<0.01 . . . . *nim . . reg nim l.nim fgap nlst nlta lia llr lads size eta llp gdp infl m2 d_cris d_deve note: fgap omitted because of collinearity note: d_deve omitted because of collinearity Source | SS df MS Number of obs = 157 -------------+------------------------------ F( 13, 143) = 19.07 Model | 134.549892 13 10.3499917 Prob > F = 0.0000 Residual | 77.6161502 143 .542770281 R-squared = 0.6342 -------------+------------------------------ Adj R-squared = 0.6009 Total | 212.166042 156 1.36003873 Root MSE = .73673 ------------------------------------------------------------------------------ nim | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- nim | L1. | .7146162 .0673768 10.61 0.000 .581433 .8477993 | fgap | 0 (omitted) nlst | .0055084 .0116048 0.47 0.636 -.0174306 .0284475 nlta | .0023318 .0168197 0.14 0.890 -.0309156 .0355791 lia | .0326788 .0164213 1.99 0.048 .000219 .0651386 llr | .001191 .001686 0.71 0.481 -.0021417 .0045238 lads | .0925032 .0520177 1.78 0.077 -.0103198 .1953262 size | 1.997726 2.357967 0.85 0.398 -2.66325 6.658702 eta | .1352516 .0929154 1.46 0.148 -.0484135 .3189167 llp | -.0124462 .0137036 -0.91 0.365 -.039534 .0146415 gdp | -.157214 .1143195 -1.38 0.171 -.3831885 .0687606 infl | -.0098002 .0109152 -0.90 0.371 -.0313762 .0117759 m2 | -.0001018 .0000453 -2.25 0.026 -.0001914 -.0000122 d_cris | .0187786 .1849689 0.10 0.919 -.3468479 .3844052 d_deve | 0 (omitted) _cons | .8281528 .9763508 0.85 0.398 -1.101792 2.758098 ------------------------------------------------------------------------------ . . vif Variable | VIF 1/VIF -------------+---------------------- llp | 108.07 0.009253 llr | 35.70 0.028010 size | 23.98 0.041709 193 nlta | 19.66 0.050865 nlst | 16.13 0.062004 d_cris | 2.05 0.487795 m2 | 1.89 0.530342 lia | 1.55 0.643638 lads | 1.52 0.659031 infl | 1.42 0.704764 nim | L1. | 1.40 0.715952 eta | 1.36 0.735432 gdp | 1.31 0.764128 -------------+---------------------- Mean VIF | 16.62 . . reg nim l.nim fgap nlst nlta lia llr lads size size2 eta llp gdp infl m2 d_cris d_deve note: fgap omitted because of collinearity note: d_deve omitted because of collinearity Source | SS df MS Number of obs = 157 -------------+------------------------------ F( 14, 142) = 17.58 Model | 134.549902 14 9.6107073 Prob > F = 0.0000 Residual | 77.6161402 142 .546592537 R-squared = 0.6342 -------------+------------------------------ Adj R-squared = 0.5981 Total | 212.166042 156 1.36003873 Root MSE = .73932 ------------------------------------------------------------------------------ nim | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- nim | L1. | .7146075 .067644 10.56 0.000 .5808881 .8483268 | fgap | 0 (omitted) nlst | .0055133 .0117015 0.47 0.638 -.0176183 .028645 nlta | .0023045 .0180392 0.13 0.899 -.0333556 .0379646 lia | .0326796 .01648 1.98 0.049 .0001018 .0652574 llr | .0011956 .0019985 0.60 0.551 -.002755 .0051462 lads | .092511 .0522323 1.77 0.079 -.0107423 .1957644 size | 1.994871 2.458237 0.81 0.418 -2.8646 6.854341 size2 | .0176429 4.116084 0.00 0.997 -8.119077 8.154363 eta | .135284 .0935477 1.45 0.150 -.0496421 .3202101 llp | -.012489 .0169888 -0.74 0.463 -.0460727 .0210946 gdp | -.1571819 .1149658 -1.37 0.174 -.3844475 .0700838 infl | -.0097927 .0110918 -0.88 0.379 -.0317191 .0121337 m2 | -.0001018 .0000455 -2.23 0.027 -.0001918 -.0000117 d_cris | .0188132 .1857939 0.10 0.919 -.3484662 .3860926 d_deve | 0 (omitted) _cons | .830004 1.070749 0.78 0.440 -1.286664 2.946672 ------------------------------------------------------------------------------ . . est sto P66 . . imtest, white White's test for Ho: homoskedasticity against Ha: unrestricted heteroskedasticity chi2(115) = 125.04 Prob > chi2 = 0.2459 Cameron & Trivedi's decomposition of IM-test --------------------------------------------------- Source | chi2 df p ---------------------+----------------------------- Heteroskedasticity | 125.04 115 0.2459 Skewness | 9.54 14 0.7948 Kurtosis | 2.66 1 0.1027 ---------------------+----------------------------- Total | 137.25 130 0.3147 --------------------------------------------------- . . xtreg nim l.nim fgap nlst nlta lia llr lads size size2 eta llp gdp infl m2 d_cris d_deve,fe note: fgap omitted because of collinearity note: d_deve omitted because of collinearity Fixed-effects (within) regression Number of obs = 157 Group variable: donvi Number of groups = 25 R-sq: within = 0.4271 Obs per group: min = 1 between = 0.6595 avg = 6.3 overall = 0.5379 max = 11 F(14,118) = 6.28 corr(u_i, Xb) = -0.2714 Prob > F = 0.0000 ------------------------------------------------------------------------------ 194 nim | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- nim | L1. | .4741567 .0876272 5.41 0.000 .300631 .6476824 | fgap | 0 (omitted) nlst | .0090947 .0149947 0.61 0.545 -.0205989 .0387883 nlta | .0267038 .0231557 1.15 0.251 -.0191509 .0725584 lia | .048391 .0255882 1.89 0.061 -.0022806 .0990626 llr | .0026825 .0027697 0.97 0.335 -.0028022 .0081673 lads | .0134569 .0839654 0.16 0.873 -.1528175 .1797313 size | 3.452345 3.095244 1.12 0.267 -2.677081 9.58177 size2 | -.0206942 5.76869 -0.00 0.997 -11.44427 11.40288 eta | .2030523 .1309546 1.55 0.124 -.0562734 .4623781 llp | -.0180397 .0235717 -0.77 0.446 -.064718 .0286386 gdp | -.1981395 .121514 -1.63 0.106 -.4387704 .0424914 infl | -.0016922 .0110754 -0.15 0.879 -.0236244 .0202401 m2 | -.0000554 .0000458 -1.21 0.229 -.0001461 .0000353 d_cris | -.0435437 .1923798 -0.23 0.821 -.4245082 .3374207 d_deve | 0 (omitted) _cons | -.1510615 1.423926 -0.11 0.916 -2.970822 2.668699 -------------+---------------------------------------------------------------- sigma_u | .5450701 sigma_e | .69271262 rho | .38239343 (fraction of variance due to u_i) ------------------------------------------------------------------------------ F test that all u_i=0: F(24, 118) = 1.82 Prob > F = 0.0187 . . est sto F66 . . xtreg nim l.nim fgap nlst nlta lia llr lads size size2 eta llp gdp infl m2 d_cris d_deve,re note: lia omitted because of collinearity note: d_deve omitted because of collinearity Random-effects GLS regression Number of obs = 157 Group variable: donvi Number of groups = 25 R-sq: within = 0.3667 Obs per group: min = 1 between = 0.8812 avg = 6.3 overall = 0.6342 max = 11 Wald chi2(14) = 246.16 corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ nim | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- nim | L1. | .7146075 .067644 10.56 0.000 .5820277 .8471872 | fgap | 3.267956 1.647998 1.98 0.047 .037939 6.497972 nlst | .0055133 .0117015 0.47 0.638 -.0174212 .0284479 nlta | -.0303751 .0207151 -1.47 0.143 -.0709759 .0102257 lia | 0 (omitted) llr | .0011956 .0019985 0.60 0.550 -.0027213 .0051125 lads | .092511 .0522323 1.77 0.077 -.0098624 .1948844 size | 1.994871 2.458237 0.81 0.417 -2.823186 6.812927 size2 | .017643 4.116084 0.00 0.997 -8.049733 8.085019 eta | .135284 .0935477 1.45 0.148 -.0480661 .3186342 llp | -.012489 .0169888 -0.74 0.462 -.0457864 .0208084 gdp | -.1571819 .1149658 -1.37 0.172 -.3825107 .068147 infl | -.0097927 .0110918 -0.88 0.377 -.0315322 .0119468 m2 | -.0001018 .0000455 -2.23 0.025 -.000191 -.0000125 d_cris | .0188132 .1857939 0.10 0.919 -.3453361 .3829625 d_deve | 0 (omitted) _cons | 4.097959 1.800383 2.28 0.023 .5692745 7.626644 -------------+---------------------------------------------------------------- sigma_u | 0 sigma_e | .69271263 rho | 0 (fraction of variance due to u_i) ------------------------------------------------------------------------------ . . xttest0 Breusch and Pagan Lagrangian multiplier test for random effects nim[donvi,t] = Xb + u[donvi] + e[donvi,t] Estimated results: | Var sd = sqrt(Var) ---------+----------------------------- nim | 1.360039 1.166207 e | .4798508 .6927126 u | 0 0 Test: Var(u) = 0 chibar2(01) = 0.00 195 Prob > chibar2 = 1.0000 . . est sto R66 . . hausman F66 R66 Note: the rank of the differenced variance matrix (11) does not equal the number of coefficients being tested (13); be sure this is what you expect, or there may be problems computing the test. Examine the output of your estimators for anything unexpected and possibly consider scaling your variables so that the coefficients are on a similar scale. ---- Coefficients ---- | (b) (B) (b-B) sqrt(diag(V_b-V_B)) | F66 R66 Difference S.E. -------------+---------------------------------------------------------------- L.nim | .4741567 .7146075 -.2404508 .0557029 nlst | .0090947 .0055133 .0035814 .0093764 nlta | .0267038 -.0303751 .0570788 .0103476 llr | .0026825 .0011956 .0014869 .0019177 lads | .0134569 .092511 -.0790541 .0657418 size | 3.452345 1.994871 1.457474 1.880852 size2 | -.0206942 .017643 -.0383372 4.041737 eta | .2030523 .135284 .0677683 .0916402 llp | -.0180397 -.012489 -.0055507 .0163402 gdp | -.1981395 -.1571819 -.0409576 .0393513 infl | -.0016922 -.0097927 .0081005 . m2 | -.0000554 -.0001018 .0000464 4.93e-06 d_cris | -.0435437 .0188132 -.0623569 .0499062 ------------------------------------------------------------------------------ b = consistent under Ho and Ha; obtained from xtreg B = inconsistent under Ha, efficient under Ho; obtained from xtreg Test: Ho: difference in coefficients not systematic chi2(11) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 54.82 Prob>chi2 = 0.0000 (V_b-V_B is not positive definite) . . xtabond nim fgap nlst nlta lia llr lads size size2 eta llp gdp infl m2 d_cris,twostep note: fgap dropped from div() because of collinearity note: fgap dropped because of collinearity Arellano-Bond dynamic panel-data estimation Number of obs = 130 Group variable: donvi Number of groups = 24 Time variable: year Obs per group: min = 1 avg = 5.416667 max = 10 Number of instruments = 72 Wald chi2(14) = 47914.46 Prob > chi2 = 0.0000 Two-step results ------------------------------------------------------------------------------ nim | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- nim | L1. | .3168381 .1150499 2.75 0.006 .0913445 .5423318 | nlst | -.0119653 .0165088 -0.72 0.469 -.0443219 .0203912 nlta | .0196503 .0152884 1.29 0.199 -.0103145 .049615 lia | .0907776 .0655259 1.39 0.166 -.0376509 .2192061 llr | .0168902 .0084396 2.00 0.045 .0003489 .0334315 lads | .2536683 .1681254 1.51 0.131 -.0758515 .5831881 size | 31.05614 13.55198 2.29 0.022 4.494753 57.61752 size2 | -2.631114 9.137201 -0.29 0.773 -20.5397 15.27747 eta | .5413333 .4173132 1.30 0.195 -.2765856 1.359252 llp | -.1464228 .0741311 -1.98 0.048 -.2917172 -.0011285 gdp | -.1346717 .1913661 -0.70 0.482 -.5097424 .2403991 infl | -.0119401 .0070365 -1.70 0.090 -.0257313 .0018512 m2 | -.0001321 .0000433 -3.05 0.002 -.0002171 -.0000472 d_cris | .2662153 .4067729 0.65 0.513 -.531045 1.063476 _cons | -1.44425 1.535312 -0.94 0.347 -4.453406 1.564906 ------------------------------------------------------------------------------ Warning: gmm two-step standard errors are biased; robust standard errors are recommended. Instruments for differenced equation GMM-type: L(2/.).nim Standard: D.nlst D.nlta D.lia D.llr D.lads D.size D.size2 D.eta D.llp D.gdp D.infl D.m2 D.d_cris Instruments for level equation Standard: _cons . . estat sargan Sargan test of overidentifying restrictions 196 H0: overidentifying restrictions are valid chi2(57) = 15.9888 Prob > chi2 = 1.0000 . . estat abond Arellano-Bond test for zero autocorrelation in first-differenced errors +-----------------------+ |Order | z Prob > z| |------+----------------| | 1 |-2.8026 0.0051 | | 2 |-1.4778 0.1395 | +-----------------------+ H0: no autocorrelation . . est sto GMM66 . . esttab P66 F66 R66 GMM66,r2 star(* 0.1 ** 0.05 *** 0.01) brackets nogap ---------------------------------------------------------------------------- (1) (2) (3) (4) nim nim nim nim ---------------------------------------------------------------------------- L.nim 0.715*** 0.474*** 0.715*** 0.317*** [10.56] [5.41] [10.56] [2.75] fgap . . 3.268** . . [1.98] nlst 0.00551 0.00909 0.00551 -0.0120 [0.47] [0.61] [0.47] [-0.72] nlta 0.00230 0.0267 -0.0304 0.0197 [0.13] [1.15] [-1.47] [1.29] lia 0.0327** 0.0484* . 0.0908 [1.98] [1.89] . [1.39] llr 0.00120 0.00268 0.00120 0.0169** [0.60] [0.97] [0.60] [2.00] lads 0.0925* 0.0135 0.0925* 0.254 [1.77] [0.16] [1.77] [1.51] size 1.995 3.452 1.995 31.06** [0.81] [1.12] [0.81] [2.29] size2 0.0176 -0.0207 0.0176 -2.631 [0.00] [-0.00] [0.00] [-0.29] eta 0.135 0.203 0.135 0.541 [1.45] [1.55] [1.45] [1.30] llp -0.0125 -0.0180 -0.0125 -0.146** [-0.74] [-0.77] [-0.74] [-1.98] gdp -0.157 -0.198 -0.157 -0.135 [-1.37] [-1.63] [-1.37] [-0.70] infl -0.00979 -0.00169 -0.00979 -0.0119* [-0.88] [-0.15] [-0.88] [-1.70] m2 -0.000102** -0.0000554 -0.000102** -0.000132*** [-2.23] [-1.21] [-2.23] [-3.05] d_cris 0.0188 -0.0435 0.0188 0.266 [0.10] [-0.23] [0.10] [0.65] d_deve . . . . . . _cons 0.830 -0.151 4.098** -1.444 [0.78] [-0.11] [2.28] [-0.94] ---------------------------------------------------------------------------- N 157 157 157 130 R-sq 0.634 0.427 ---------------------------------------------------------------------------- t statistics in brackets * p<0.1, ** p<0.05, *** p<0.01