Luận án Tác động của rủi ro tín dụng đến hiệu quả kinh doanh của các ngân hàng thương mại Việt Nam

3 0.000 5.98 4.09 1.86 21246 7.62 Navi 2015 0.021 0.010 0.788 0.933 0.005 17.691 0.002 0.000 6.68 0.63 2.31 22381 6.5 Ocean 2005 7.55 8.28 2.10 15916 8.4 Ocean 2006 0.000 0.821 13.817 0.052 0.009 6.98 7.39 2.30 16054 8.4 Ocean 2007 0.001 0.002 0.919 16.431 0.070 0.006 7.13 8.30 2.30 16114 8.8 Ocean 2008 0.014 0.002 0.580 0.923 0.590 16.461 0.041 0.003 5.66 23.12 2.40 16977 13.46 Ocean 2009 0.016 0.005 0.367 0.933 0.175 17.336 0.137 0.009 5.40 7.05 2.60 17941 10.37 Ocean 2010 0.039 0.010 0.305 0.926 -0.035 17.825 0.164 0.012 6.42 8.86 2.60 18932 11.5 Ocean 2011 0.021 0.012 0.397 0.926 -0.029 17.953 0.112 0.008 6.24 18.68 2.00 20828 13 Ocean 2012 0.035 0.026 0.472 0.930 -0.100 17.982 0.053 0.004 5.25 9.09 1.80 20828 11.5 Ocean 2013 0.030 0.025 0.489 0.935 0.035 18.021 0.043 0.003 5.42 6.59 2.00 21036 8.48 Ocean 2014 5.98 4.09 1.86 21246 7.62 Ocean 2015 6.68 0.63 2.31 22381 6.5 EIB 2005 0.927 16.246 0.031 0.002 7.55 8.28 2.10 15916 8.4 EIB 2006 0.008 0.004 0.313 0.894 0.404 16.724 0.186 0.017 6.98 7.39 2.30 16054 8.4 EIB 2007 0.009 0.004 0.348 0.813 0.327 17.333 0.112 0.018 7.13 8.30 2.30 16114 8.8 EIB 2008 0.047 0.018 0.319 0.733 0.302 17.692 0.074 0.017 5.66 23.12 2.40 16977 13.46 EIB 2009 0.018 0.010 0.352 0.796 0.233 17.997 0.086 0.020 5.40 7.05 2.60 17941 10.37 EIB 2010 0.014 0.010 0.280 0.897 0.214 18.692 0.135 0.018 6.42 8.86 2.60 18932 11.5 EIB 2011 0.016 0.008 0.306 0.911 0.150 19.028 0.204 0.019 6.24 18.68 2.00 20828 13 EIB 2012 0.013 0.008 0.426 0.907 0.090 18.952 0.133 0.012 5.25 9.09 1.80 20828 11.5 EIB 2013 0.020 0.009 0.653 0.914 0.158 18.950 0.043 0.004 5.42 6.59 2.00 21036 8.48 EIB 2014 0.024 0.012 0.696 0.913 0.079 18.898 0.004 0.000 5.98 4.09 1.86 21246 7.62 EIB 2015 0.019 0.010 0.607 0.895 0.106 18.643 0.003 0.000 6.68 0.63 2.31 22381 6.5 Lienviet 2005 7.55 8.28 2.10 15916 8.4 Lienviet 2006 6.98 7.39 2.30 16054 8.4 Lienviet 2007 7.13 8.30 2.30 16114 8.8 Lienviet 2008 0.002 0.252 0.538 0.265 15.824 0.129 0.060 5.66 23.12 2.40 16977 13.46 Lienviet 2009 0.003 0.005 0.362 0.780 0.263 16.670 0.148 0.044 5.40 7.05 2.60 17941 10.37 Lienviet 2010 0.004 0.008 0.385 0.883 0.078 17.370 0.172 0.026 6.42 8.86 2.60 18932 11.5 Lienviet 2011 0.021 0.009 0.447 0.883 0.021 17.843 0.183 0.021 6.24 18.68 2.00 20828 13 Lienviet 2012 0.027 0.018 0.448 0.889 -0.062 18.011 0.124 0.014 5.25 9.09 1.80 20828 11.5 Lienviet 2013 0.025 0.020 0.557 0.909 -0.062 18.192 0.077 0.008 5.42 6.59 2.00 21036 8.48 Lienviet 2014 0.011 0.011 0.639 0.927 -0.084 18.429 0.064 0.005 5.98 4.09 1.86 21246 7.62 Lienviet 2015 0.009 0.012 0.628 0.929 -0.163 18.494 0.047 0.003 6.68 0.63 2.31 22381 6.5 KLB 2005 0.011 0.808 0.880 -0.758 12.840 0.226 0.027 7.55 8.28 2.10 15916 8.4 KLB 2006 0.009 0.683 0.615 -0.666 13.626 0.100 0.030 6.98 7.39 2.30 16054 8.4 KLB 2007 0.013 0.005 0.295 0.710 0.010 14.604 0.113 0.036 7.13 8.30 2.30 16114 8.8 KLB 2008 0.017 0.005 0.597 0.562 0.076 14.688 0.044 0.016 5.66 23.12 2.40 16977 13.46 KLB 2009 0.012 0.006 0.464 0.851 0.045 15.828 0.085 0.019 5.40 7.05 2.60 17941 10.37 KLB 2010 0.011 0.009 0.383 0.745 -0.052 16.351 0.090 0.019 6.42 8.86 2.60 18932 11.5 KLB 2011 0.028 0.011 0.387 0.806 0.041 16.697 0.118 0.026 6.24 18.68 2.00 20828 13 KLB 2012 0.029 0.015 0.512 0.815 0.027 16.738 0.102 0.019 5.25 9.09 1.80 20828 11.5 KLB 2013 0.025 0.010 0.553 0.837 0.027 16.878 0.091 0.016 5.42 6.59 2.00 21036 8.48 KLB 2014 0.020 0.010 0.655 0.854 0.010 16.956 0.051 0.008 5.98 4.09 1.86 21246 7.62 KLB 2015 0.011 0.008 0.673 0.867 0.031 17.047 0.049 0.007 6.68 0.63 2.31 22381 6.5 ABB 2005 0.002 0.723 13.429 0.044 0.012 7.55 8.28 2.10 15916 8.4 ABB 2006 0.013 0.219 0.618 0.373 14.951 0.084 0.031 6.98 7.39 2.30 16054 8.4 ABB 2007 0.015 0.008 0.347 0.856 0.231 16.659 0.088 0.016 7.13 8.30 2.30 16114 8.8 ABB 2008 0.042 0.012 0.732 0.707 0.196 16.418 0.015 0.003 5.66 23.12 2.40 16977 13.46 ABB 2009 0.015 0.011 0.418 0.831 0.179 17.093 0.074 0.016 5.40 7.05 2.60 17941 10.37 ABB 2010 0.012 0.011 0.438 0.878 0.101 17.453 0.109 0.015 6.42 8.86 2.60 18932 11.5 ABB 2011 0.028 0.016 0.471 0.886 -0.019 17.542 0.066 0.008 6.24 18.68 2.00 20828 13 ABB 2012 0.023 0.022 0.612 0.894 0.047 17.648 0.083 0.009 5.25 9.09 1.80 20828 11.5 ABB 2013 0.067 0.028 0.669 0.900 0.212 17.870 0.026 0.003 5.42 6.59 2.00 21036 8.48 ABB 2014 0.040 0.018 0.656 0.915 0.119 18.027 0.020 0.002 5.98 4.09 1.86 21246 7.62 ABB 2015 0.024 0.012 0.604 0.910 0.165 17.980 0.016 0.001 6.68 0.63 2.31 22381 6.5 OCB 2005 0.005 0.897 15.207 0.153 0.015 7.55 8.28 2.10 15916 8.4 OCB 2006 0.005 0.219 0.871 0.259 15.678 0.166 0.020 6.98 7.39 2.30 16054 8.4 OCB 2007 0.014 0.005 0.380 0.859 0.108 16.280 0.136 0.019 7.13 8.30 2.30 16114 8.8 OCB 2008 0.029 0.008 0.640 0.842 0.197 16.128 0.040 0.006 5.66 23.12 2.40 16977 13.46 OCB 2009 0.026 0.010 0.421 0.816 0.116 16.356 0.105 0.018 5.40 7.05 2.60 17941 10.37 OCB 2010 0.021 0.009 0.401 0.841 0.105 16.796 0.111 0.019 6.42 8.86 2.60 18932 11.5 OCB 2011 0.028 0.013 0.470 0.852 0.003 17.051 0.088 0.013 6.24 18.68 2.00 20828 13 OCB 2012 0.028 0.018 0.479 0.861 -0.111 17.127 0.061 0.009 5.25 9.09 1.80 20828 11.5 OCB 2013 0.029 0.010 0.496 0.879 -0.023 17.306 0.062 0.008 5.42 6.59 2.00 21036 8.48 OCB 2014 0.029 0.014 0.528 0.897 0.130 17.482 0.055 0.006 5.98 4.09 1.86 21246 7.62 OCB 2015 0.019 0.009 0.558 0.915 0.068 17.716 0.051 0.005 6.68 0.63 2.31 22381 6.5 PGB 2005 7.55 8.28 2.10 15916 8.4 PGB 2006 0.001 0.271 0.820 -0.083 13.986 0.059 0.011 6.98 7.39 2.30 16054 8.4 PGB 2007 0.001 0.002 0.281 0.884 0.134 15.359 0.108 0.014 7.13 8.30 2.30 16114 8.8 PGB 2008 0.014 0.007 0.487 0.834 0.339 15.638 0.084 0.012 5.66 23.12 2.40 16977 13.46 PGB 2009 0.012 0.008 0.366 0.895 0.319 16.159 0.165 0.021 5.40 7.05 2.60 17941 10.37 PGB 2010 0.014 0.010 0.425 0.867 0.222 16.611 0.134 0.016 6.42 8.86 2.60 18932 11.5 PGB 2011 0.021 0.015 0.388 0.853 0.063 16.682 0.187 0.026 6.24 18.68 2.00 20828 13 PGB 2012 0.084 0.023 0.500 0.834 0.120 16.773 0.083 0.013 5.25 9.09 1.80 20828 11.5 PGB 2013 0.030 0.013 0.699 0.871 0.235 17.029 0.012 0.002 5.42 6.59 2.00 21036 8.48 PGB 2014 0.025 0.012 0.638 0.870 0.126 17.065 0.040 0.005 5.98 4.09 1.86 21246 7.62 PGB 2015 0.028 0.011 0.649 0.863 0.123 17.022 0.012 0.002 6.68 0.63 2.31 22381 6.5 SCB 2005 0.004 0.628 0.918 0.174 15.210 0.187 0.015 7.55 8.28 2.10 15916 8.4 SCB 2006 0.005 0.925 16.208 0.215 0.017 6.98 7.39 2.30 16054 8.4 SCB 2007 0.003 0.004 0.399 0.897 0.354 17.073 0.149 0.014 7.13 8.30 2.30 16114 8.8 SCB 2008 0.006 0.008 0.380 0.927 0.171 17.469 0.169 0.014 5.66 23.12 2.40 16977 13.46 SCB 2009 0.013 0.011 0.427 0.916 0.219 17.814 0.085 0.007 5.40 7.05 2.60 17941 10.37 SCB 2010 0.125 0.023 0.388 0.922 0.696 17.913 0.060 0.005 6.42 8.86 2.60 18932 11.5 SCB 2011 0.072 0.025 0.922 18.791 6.24 18.68 2.00 20828 13 SCB 2012 0.072 0.011 0.711 0.924 0.035 18.821 0.006 0.000 5.25 9.09 1.80 20828 11.5 SCB 2013 0.016 0.007 0.707 0.928 0.224 19.014 0.003 0.000 5.42 6.59 2.00 21036 8.48 SCB 2014 0.005 0.005 0.541 0.946 0.350 19.305 0.007 0.000 5.98 4.09 1.86 21246 7.62 SCB 2015 0.005 0.007 0.523 0.951 0.100 19.557 0.006 0.000 6.68 0.63 2.31 22381 6.5 VietA 2005 0.003 0.361 0.866 0.206 14.673 0.115 0.015 7.55 8.28 2.10 15916 8.4 VietA 2006 0.006 0.628 0.819 0.079 15.246 0.099 0.016 6.98 7.39 2.30 16054 8.4 VietA 2007 0.004 0.488 0.860 0.119 16.063 0.141 0.021 7.13 8.30 2.30 16114 8.8 VietA 2008 0.018 0.009 0.547 0.860 0.301 16.145 0.052 0.007 5.66 23.12 2.40 16977 13.46 VietA 2009 0.013 0.010 0.387 0.892 0.365 16.577 0.133 0.016 5.40 7.05 2.60 17941 10.37 VietA 2010 0.025 0.015 0.420 0.859 0.273 16.997 0.104 0.013 6.42 8.86 2.60 18932 11.5 VietA 2011 0.026 0.016 0.505 0.841 0.242 16.930 0.071 0.011 6.24 18.68 2.00 20828 13 VietA 2012 0.047 0.015 0.593 0.856 0.409 17.019 0.046 0.007 5.25 9.09 1.80 20828 11.5 VietA 2013 0.029 0.013 0.645 0.867 0.122 17.113 0.017 0.002 5.42 6.59 2.00 21036 8.48 VietA 2014 0.023 0.012 0.827 0.898 0.051 17.388 0.013 0.002 5.98 4.09 1.86 21246 7.62 VietA 2015 0.023 0.011 0.501 0.906 -0.259 17.550 0.022 0.002 6.68 0.63 2.31 22381 6.5 Nguồn: Tác giả thu thập từ BCTC và ADB 4. Tóm tắt kết quả nghiên cứu của Hasna Chaibi và Zied Ftiti (2015) Biến GMM Estimations Kỳ vọng Pháp Đức NPL(t-1) 0.39*** 0.36*** + -3.95 -3.56 Biến nội tại Dự phòng rủi ro tín dụng(LLP) 160.9** -58.2 + -2.99 (-1.12) Kém hiệu quả (EFF) 0.0052** -0.001 +/- -3.83 (-0.34) Đòn bẩy (LEV) -6.282 10.22* + (-086) -2.38 Thu nhập ngoài lãi (NII) - -0.0003 - (-1.41) Quy mô (SIZE) 2.683** 0.276* + -2.49 -1.99 Lợi nhuận (ROE) -0.01* -0.02' -/+ (-220) (-2.61) Biến kinh tế vĩ mô Lạm phát (INF) -0.517 -0.621*** +/- (-1.62) (—4.91) Tăng trưởng GDP (GGDP) -0.491*** -0.097* - -3.59 (—/.97) Lãi suất danh nghĩa (INR) 2.061** - + -3.17 Tỷ lệ thất nghiệp (UNR) 327* 0.472*** + -2.58 -4.86 Tỷ giá hối đoái (EXR) 0.571*** -0.203* +/- -3.63 -2.61 Sargan test (p-value) 0.5074 0.9696 Serial correlation test (p-value) 0.7245 0.3267 Số quan sát 199 78 Nguồn: Hasna Chaibi và Zied Ftiti (2015) 5. Kết quả nghiên cứu trên phần mềm STATA 13 . *** Mo hinh 1 . . xtset donvi time panel variable: donvi (strongly balanced) time variable: time, 2005 to 2015 delta: 1 unit . . sum npl llr eff lev nii size roe ggdp inf unr exr inr Variable | Obs Mean Std. Dev. Min Max -------------+-------------------------------------------------------- npl | 233 .0224712 .0158215 .001 .1246 llr | 271 .0111496 .0066228 .0001286 .0370178 eff | 262 .4879579 .190311 .0795316 2.0527 lev | 276 .8698281 .1108404 .0152707 1.129474 nii | 264 .1606875 .2713953 -2.003685 .7855639 -------------+-------------------------------------------------------- size | 276 17.34343 1.619804 11.88353 20.56153 roe | 275 .114088 .0747594 .0007494 .4449051 ggdp | 286 6.246387 .7420688 5.247367 7.547248 inf | 286 9.280675 6.03656 .63 23.11632 unr | 286 2.206564 .2625723 1.8 2.6 -------------+-------------------------------------------------------- exr | 286 18932.05 2319.773 15916 22380.54 inr | 286 9.820909 2.178888 6.5 13.46 . . corr npl llr eff lev nii size roe ggdp inf unr exr inr (obs=230) | npl llr eff lev nii size roe ggdp inf unr exr -------------+--------------------------------------------------------------------------------------------- ------ npl | 1.0000 llr | 0.5258 1.0000 eff | 0.2015 -0.0229 1.0000 lev | -0.0936 0.1457 -0.2249 1.0000 nii | -0.0711 -0.0030 -0.5166 0.3357 1.0000 size | 0.0029 0.4629 -0.2154 0.5494 0.2359 1.0000 roe | -0.2439 -0.0531 -0.5585 0.1936 0.3051 0.2812 1.0000 ggdp | -0.2795 -0.2966 -0.1968 0.0643 -0.0057 -0.0930 0.2636 1.0000 inf | 0.0412 -0.0481 -0.1133 -0.0865 0.0657 -0.2027 0.1704 -0.1668 1.0000 unr | -0.2662 -0.2741 -0.2968 0.0527 0.2003 -0.2107 0.2720 0.2537 0.0555 1.0000 exr | 0.2040 0.3535 0.2815 0.0940 -0.2484 0.4105 -0.4104 -0.2862 -0.3791 -0.5588 1.0000 inr | 0.0969 0.0345 -0.1699 -0.0885 0.0428 -0.1652 0.2070 -0.3332 0.8866 0.1313 - 0.3007 | inr -------------+--------- inr | 1.0000 . . reg npl l.npl llr eff lev nii size roe ggdp inf unr exr inr Source | SS df MS Number of obs = 204 -------------+------------------------------ F( 12, 191) = 13.11 Model | .020411414 12 .001700951 Prob > F = 0.0000 Residual | .0247762 191 .000129718 R-squared = 0.4517 -------------+------------------------------ Adj R-squared = 0.4173 Total | .045187613 203 .000222599 Root MSE = .01139 ------------------------------------------------------------------------------ npl | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- npl | L1. | .1719398 .0637995 2.69 0.008 .0460976 .2977819 | llr | 1.268895 .1606624 7.90 0.000 .9519946 1.585796 eff | .0100425 .0076513 1.31 0.191 -.0050494 .0251344 lev | -.0028094 .0089534 -0.31 0.754 -.0204697 .0148509 nii | .0140145 .0054503 2.57 0.011 .003264 .0247651 size | -.0033214 .001013 -3.28 0.001 -.0053195 -.0013234 roe | -.019222 .0166014 -1.16 0.248 -.0519675 .0135235 ggdp | .0001132 .0018301 0.06 0.951 -.0034965 .0037229 inf | -.0002893 .0003124 -0.93 0.356 -.0009056 .0003269 unr | -.0045828 .0041865 -1.09 0.275 -.0128405 .0036749 exr | 8.57e-07 7.70e-07 1.11 0.267 -6.61e-07 2.38e-06 inr | .0019409 .0009374 2.07 0.040 .0000918 .0037899 _cons | .0347255 .0280183 1.24 0.217 -.0205396 .0899905 ------------------------------------------------------------------------------ . . vif Variable | VIF 1/VIF -------------+---------------------- inr | 7.28 0.137276 inf | 6.72 0.148760 exr | 3.32 0.301063 roe | 2.54 0.392968 size | 2.52 0.396951 unr | 2.41 0.414942 eff | 1.98 0.504402 ggdp | 1.64 0.608486 llr | 1.51 0.661288 lev | 1.41 0.707721 npl | L1. | 1.40 0.714563 nii | 1.37 0.731054 -------------+---------------------- Mean VIF | 2.84 . . reg npl l.npl llr eff lev nii size roe ggdp inf unr exr inr Source | SS df MS Number of obs = 204 -------------+------------------------------ F( 12, 191) = 13.11 Model | .020411414 12 .001700951 Prob > F = 0.0000 Residual | .0247762 191 .000129718 R-squared = 0.4517 -------------+------------------------------ Adj R-squared = 0.4173 Total | .045187613 203 .000222599 Root MSE = .01139 ------------------------------------------------------------------------------ npl | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- npl | L1. | .1719398 .0637995 2.69 0.008 .0460976 .2977819 | llr | 1.268895 .1606624 7.90 0.000 .9519946 1.585796 eff | .0100425 .0076513 1.31 0.191 -.0050494 .0251344 lev | -.0028094 .0089534 -0.31 0.754 -.0204697 .0148509 nii | .0140145 .0054503 2.57 0.011 .003264 .0247651 size | -.0033214 .001013 -3.28 0.001 -.0053195 -.0013234 roe | -.019222 .0166014 -1.16 0.248 -.0519675 .0135235 ggdp | .0001132 .0018301 0.06 0.951 -.0034965 .0037229 inf | -.0002893 .0003124 -0.93 0.356 -.0009056 .0003269 unr | -.0045828 .0041865 -1.09 0.275 -.0128405 .0036749 exr | 8.57e-07 7.70e-07 1.11 0.267 -6.61e-07 2.38e-06 inr | .0019409 .0009374 2.07 0.040 .0000918 .0037899 _cons | .0347255 .0280183 1.24 0.217 -.0205396 .0899905 ------------------------------------------------------------------------------ . . vif Variable | VIF 1/VIF -------------+---------------------- inr | 7.28 0.137276 inf | 6.72 0.148760 exr | 3.32 0.301063 roe | 2.54 0.392968 size | 2.52 0.396951 unr | 2.41 0.414942 eff | 1.98 0.504402 ggdp | 1.64 0.608486 llr | 1.51 0.661288 lev | 1.41 0.707721 npl | L1. | 1.40 0.714563 nii | 1.37 0.731054 -------------+---------------------- Mean VIF | 2.84 . . imtest,white White's test for Ho: homoskedasticity against Ha: unrestricted heteroskedasticity chi2(79) = 153.26 Prob > chi2 = 0.0000 Cameron & Trivedi's decomposition of IM-test --------------------------------------------------- Source | chi2 df p ---------------------+----------------------------- Heteroskedasticity | 153.26 79 0.0000 Skewness | 29.58 12 0.0032 Kurtosis | 1.47 1 0.2256 ---------------------+----------------------------- Total | 184.32 92 0.0000 --------------------------------------------------- . . est sto POOL1 . . xtreg npl l.npl llr eff lev nii size roe ggdp inf unr exr inr,fe Fixed-effects (within) regression Number of obs = 204 Group variable: donvi Number of groups = 26 R-sq: within = 0.4691 Obs per group: min = 5 between = 0.3793 avg = 7.8 overall = 0.4221 max = 10 F(12,166) = 12.22 corr(u_i, Xb) = -0.4298 Prob > F = 0.0000 ------------------------------------------------------------------------------ npl | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- npl | L1. | .077342 .0675214 1.15 0.254 -.0559694 .2106534 | llr | 1.829252 .2019861 9.06 0.000 1.430459 2.228045 eff | .007543 .0089853 0.84 0.402 -.0101971 .0252832 lev | -.0078886 .0106322 -0.74 0.459 -.0288803 .0131031 nii | .0137797 .0061449 2.24 0.026 .0016474 .0259121 size | -.0065195 .0030071 -2.17 0.032 -.0124567 -.0005823 roe | -.0087414 .0193799 -0.45 0.653 -.0470043 .0295214 ggdp | .000943 .0018421 0.51 0.609 -.0026939 .0045798 inf | -.0002642 .0003077 -0.86 0.392 -.0008717 .0003433 unr | -.0060426 .0040908 -1.48 0.142 -.0141192 .002034 exr | 1.23e-06 1.15e-06 1.07 0.285 -1.03e-06 3.49e-06 inr | .0012654 .0009348 1.35 0.178 -.0005803 .0031111 _cons | .0890021 .0410335 2.17 0.032 .0079872 .170017 -------------+---------------------------------------------------------------- sigma_u | .00677395 sigma_e | .01078927 rho | .28273487 (fraction of variance due to u_i) ------------------------------------------------------------------------------ F test that all u_i=0: F(25, 166) = 1.87 Prob > F = 0.0108 . . est sto FIX1 . . xtreg npl l.npl llr eff lev nii size roe ggdp inf unr exr inr,re Random-effects GLS regression Number of obs = 204 Group variable: donvi Number of groups = 26 R-sq: within = 0.4391 Obs per group: min = 5 between = 0.5069 avg = 7.8 overall = 0.4517 max = 10 Wald chi2(12) = 157.35 corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ npl | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- npl | L1. | .1719398 .0637995 2.69 0.007 .0468949 .2969846 | llr | 1.268895 .1606624 7.90 0.000 .9540026 1.583788 eff | .0100425 .0076513 1.31 0.189 -.0049537 .0250388 lev | -.0028094 .0089534 -0.31 0.754 -.0203578 .014739 nii | .0140145 .0054503 2.57 0.010 .0033321 .024697 size | -.0033214 .001013 -3.28 0.001 -.0053068 -.001336 roe | -.019222 .0166014 -1.16 0.247 -.05176 .0133161 ggdp | .0001132 .0018301 0.06 0.951 -.0034736 .0037001 inf | -.0002893 .0003124 -0.93 0.354 -.0009017 .000323 unr | -.0045828 .0041865 -1.09 0.274 -.0127882 .0036225 exr | 8.57e-07 7.70e-07 1.11 0.265 -6.51e-07 2.37e-06 inr | .0019409 .0009374 2.07 0.038 .0001035 .0037782 _cons | .0347255 .0280183 1.24 0.215 -.0201894 .0896403 -------------+---------------------------------------------------------------- sigma_u | 0 sigma_e | .01078927 rho | 0 (fraction of variance due to u_i) ------------------------------------------------------------------------------ . . est sto RAN1 . . hausman FIX1 RAN1 Note: the rank of the differenced variance matrix (11) does not equal the number of coefficients being tested (12); 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)) | FIX1 RAN1 Difference S.E. -------------+---------------------------------------------------------------- L.npl | .077342 .1719398 -.0945978 .0221079 llr | 1.829252 1.268895 .5603567 .1224171 eff | .007543 .0100425 -.0024995 .0047109 lev | -.0078886 -.0028094 -.0050792 .005734 nii | .0137797 .0140145 -.0002348 .002838 size | -.0065195 -.0033214 -.0031981 .0028314 roe | -.0087414 -.019222 .0104806 .0099988 ggdp | .000943 .0001132 .0008298 .0002099 inf | -.0002642 -.0002893 .0000251 . unr | -.0060426 -.0045828 -.0014598 . exr | 1.23e-06 8.57e-07 3.73e-07 8.49e-07 inr | .0012654 .0019409 -.0006754 . ------------------------------------------------------------------------------ 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) = 66.90 Prob>chi2 = 0.0000 (V_b-V_B is not positive definite) . . xtabond npl llr eff lev nii size roe ggdp inf unr exr inr,twostep Arellano-Bond dynamic panel-data estimation Number of obs = 176 Group variable: donvi Number of groups = 26 Time variable: time Obs per group: min = 3 avg = 6.769231 max = 9 Number of instruments = 57 Wald chi2(12) = 734.65 Prob > chi2 = 0.0000 Two-step results ------------------------------------------------------------------------------ npl | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- npl | L1. | .0868391 .0486262 1.79 0.074 -.0084665 .1821446 | llr | 2.150804 .2501726 8.60 0.000 1.660475 2.641133 eff | .0017503 .0065765 0.27 0.790 -.0111394 .0146401 lev | -.0030159 .005709 -0.53 0.597 -.0142053 .0081736 nii | .0120496 .0032165 3.75 0.000 .0057454 .0183538 size | -.0077424 .0018113 -4.27 0.000 -.0112925 -.0041924 roe | -.0004792 .0144553 -0.03 0.974 -.0288111 .0278526 ggdp | -.0006616 .0008867 -0.75 0.456 -.0023994 .0010763 inf | -.0001463 .0001145 -1.28 0.201 -.0003708 .0000782 unr | -.0042115 .0017794 -2.37 0.018 -.007699 -.0007239 exr | 2.46e-06 5.31e-07 4.63 0.000 1.42e-06 3.50e-06 inr | .0008438 .0004494 1.88 0.060 -.000037 .0017247 _cons | .0886193 .02241 3.95 0.000 .0446964 .1325421 ------------------------------------------------------------------------------ Warning: gmm two-step standard errors are biased; robust standard errors are recommended. Instruments for differenced equation GMM-type: L(2/.).npl Standard: D.llr D.eff D.lev D.nii D.size D.roe D.ggdp D.inf D.unr D.exr D.inr Instruments for level equation Standard: _cons . . estat sargan Sargan test of overidentifying restrictions H0: overidentifying restrictions are valid chi2(44) = 14.04058 Prob > chi2 = 1.0000 . . estat abond Arellano-Bond test for zero autocorrelation in first-differenced errors +-----------------------+ |Order | z Prob > z| |------+----------------| | 1 |-2.0282 0.0425 | | 2 |-1.9529 0.0508 | +-----------------------+ H0: no autocorrelation . . est sto GMM1 . . esttab POOL1 FIX1 RAN1 GMM1 ,r2 star(* 0.1 ** 0.05 *** 0.01) brackets nogap ---------------------------------------------------------------------------- (1) (2) (3) (4) npl npl npl npl ---------------------------------------------------------------------------- L.npl 0.172*** 0.0773 0.172*** 0.0868* [2.69] [1.15] [2.69] [1.79] llr 1.269*** 1.829*** 1.269*** 2.151*** [7.90] [9.06] [7.90] [8.60] eff 0.0100 0.00754 0.0100 0.00175 [1.31] [0.84] [1.31] [0.27] lev -0.00281 -0.00789 -0.00281 -0.00302 [-0.31] [-0.74] [-0.31] [-0.53] nii 0.0140** 0.0138** 0.0140** 0.0120*** [2.57] [2.24] [2.57] [3.75] size -0.00332*** -0.00652** -0.00332*** -0.00774*** [-3.28] [-2.17] [-3.28] [-4.27] roe -0.0192 -0.00874 -0.0192 -0.000479 [-1.16] [-0.45] [-1.16] [-0.03] ggdp 0.000113 0.000943 0.000113 -0.000662 [0.06] [0.51] [0.06] [-0.75] inf -0.000289 -0.000264 -0.000289 -0.000146 [-0.93] [-0.86] [-0.93] [-1.28] unr -0.00458 -0.00604 -0.00458 -0.00421** [-1.09] [-1.48] [-1.09] [-2.37] exr 0.000000857 0.00000123 0.000000857 0.00000246*** [1.11] [1.07] [1.11] [4.63] inr 0.00194** 0.00127 0.00194** 0.000844* [2.07] [1.35] [2.07] [1.88] _cons 0.0347 0.0890** 0.0347 0.0886*** [1.24] [2.17] [1.24] [3.95] ---------------------------------------------------------------------------- N 204 204 204 176 R-sq 0.452 0.469 ---------------------------------------------------------------------------- t statistics in brackets * p<0.1, ** p<0.05, *** p<0.01 . . . . *** Mo hinh 2 - voi ROE . . . . xtset donvi time panel variable: donvi (strongly balanced) time variable: time, 2005 to 2015 delta: 1 unit . . sum roe npl llr eff lev nii size ggdp inf unr exr inr Variable | Obs Mean Std. Dev. Min Max -------------+-------------------------------------------------------- roe | 275 .114088 .0747594 .0007494 .4449051 npl | 233 .0224712 .0158215 .001 .1246 llr | 271 .0111496 .0066228 .0001286 .0370178 eff | 262 .4879579 .190311 .0795316 2.0527 lev | 276 .8698281 .1108404 .0152707 1.129474 -------------+-------------------------------------------------------- nii | 264 .1606875 .2713953 -2.003685 .7855639 size | 276 17.34343 1.619804 11.88353 20.56153 ggdp | 286 6.246387 .7420688 5.247367 7.547248 inf | 286 9.280675 6.03656 .63 23.11632 unr | 286 2.206564 .2625723 1.8 2.6 -------------+-------------------------------------------------------- exr | 286 18932.05 2319.773 15916 22380.54 inr | 286 9.820909 2.178888 6.5 13.46 . . corr roe npl llr eff lev nii size ggdp inf unr exr inr (obs=230) | roe npl llr eff lev nii size ggdp inf unr exr -------------+--------------------------------------------------------------------------------------------- ------ roe | 1.0000 npl | -0.2439 1.0000 llr | -0.0531 0.5258 1.0000 eff | -0.5585 0.2015 -0.0229 1.0000 lev | 0.1936 -0.0936 0.1457 -0.2249 1.0000 nii | 0.3051 -0.0711 -0.0030 -0.5166 0.3357 1.0000 size | 0.2812 0.0029 0.4629 -0.2154 0.5494 0.2359 1.0000 ggdp | 0.2636 -0.2795 -0.2966 -0.1968 0.0643 -0.0057 -0.0930 1.0000 inf | 0.1704 0.0412 -0.0481 -0.1133 -0.0865 0.0657 -0.2027 -0.1668 1.0000 unr | 0.2720 -0.2662 -0.2741 -0.2968 0.0527 0.2003 -0.2107 0.2537 0.0555 1.0000 exr | -0.4104 0.2040 0.3535 0.2815 0.0940 -0.2484 0.4105 -0.2862 -0.3791 -0.5588 1.0000 inr | 0.2070 0.0969 0.0345 -0.1699 -0.0885 0.0428 -0.1652 -0.3332 0.8866 0.1313 - 0.3007 | inr -------------+--------- inr | 1.0000 . . reg roe npl llr eff lev nii size ggdp inf unr exr inr Source | SS df MS Number of obs = 230 -------------+------------------------------ F( 11, 218) = 25.75 Model | .746891689 11 .067899244 Prob > F = 0.0000 Residual | .574943043 218 .002637353 R-squared = 0.5650 -------------+------------------------------ Adj R-squared = 0.5431 Total | 1.32183473 229 .005772204 Root MSE = .05136 ------------------------------------------------------------------------------ roe | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- npl | -.2597459 .2841151 -0.91 0.362 -.8197099 .300218 llr | -1.064024 .7728987 -1.38 0.170 -2.587335 .4592859 eff | -.1175674 .0251587 -4.67 0.000 -.167153 -.0679819 lev | -.0613612 .0384343 -1.60 0.112 -.1371116 .0143891 nii | -.0139028 .021501 -0.65 0.519 -.0562791 .0284736 size | .0297325 .0039047 7.61 0.000 .0220367 .0374284 ggdp | .0249096 .0069771 3.57 0.000 .0111584 .0386608 inf | -.0037851 .0013507 -2.80 0.006 -.0064471 -.001123 unr | -.0241332 .0160944 -1.50 0.135 -.0558537 .0075873 exr | -.0000172 2.49e-06 -6.90 0.000 -.0000221 -.0000123 inr | .0158837 .0040459 3.93 0.000 .0079095 .0238578 _cons | -.1721965 .1072927 -1.60 0.110 -.3836602 .0392673 ------------------------------------------------------------------------------ . . vif Variable | VIF 1/VIF -------------+---------------------- inr | 7.17 0.139550 inf | 6.46 0.154878 size | 2.42 0.413271 exr | 2.39 0.419267 llr | 2.09 0.478990 eff | 1.84 0.543427 unr | 1.81 0.551458 ggdp | 1.76 0.568053 nii | 1.72 0.582485 npl | 1.68 0.594872 lev | 1.60 0.625316 -------------+---------------------- Mean VIF | 2.81 . . imtest,white White's test for Ho: homoskedasticity against Ha: unrestricted heteroskedasticity chi2(67) = 100.21 Prob > chi2 = 0.0053 Cameron & Trivedi's decomposition of IM-test --------------------------------------------------- Source | chi2 df p ---------------------+----------------------------- Heteroskedasticity | 100.21 67 0.0053 Skewness | 19.62 11 0.0508 Kurtosis | 3.80 1 0.0513 ---------------------+----------------------------- Total | 123.63 79 0.0010 --------------------------------------------------- . . est sto P2 . . xtreg roe npl llr eff lev nii size ggdp inf unr exr inr,fe Fixed-effects (within) regression Number of obs = 230 Group variable: donvi Number of groups = 26 R-sq: within = 0.4855 Obs per group: min = 6 between = 0.6664 avg = 8.8 overall = 0.5577 max = 11 F(11,193) = 16.55 corr(u_i, Xb) = 0.1460 Prob > F = 0.0000 ------------------------------------------------------------------------------ roe | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- npl | -.0720825 .2825853 -0.26 0.799 -.6294345 .4852695 llr | -.763182 .9493775 -0.80 0.422 -2.635669 1.109305 eff | -.1279354 .0287132 -4.46 0.000 -.1845672 -.0713035 lev | -.0715159 .0430294 -1.66 0.098 -.1563843 .0133524 nii | -.0062461 .0223352 -0.28 0.780 -.0502985 .0378062 size | .0242159 .0102389 2.37 0.019 .0040213 .0444105 ggdp | .0234399 .0066298 3.54 0.001 .0103637 .0365161 inf | -.0035889 .0012378 -2.90 0.004 -.0060303 -.0011475 unr | -.0173607 .0146408 -1.19 0.237 -.0462373 .0115159 exr | -.0000147 3.86e-06 -3.79 0.000 -.0000223 -7.04e-06 inr | .0151131 .0037572 4.02 0.000 .0077026 .0225235 _cons | -.1185282 .141888 -0.84 0.405 -.3983785 .161322 -------------+---------------------------------------------------------------- sigma_u | .02807164 sigma_e | .045961 rho | .27168971 (fraction of variance due to u_i) ------------------------------------------------------------------------------ F test that all u_i=0: F(25, 193) = 3.17 Prob > F = 0.0000 . . est sto F2 . . esttab F2 ---------------------------- (1) roe ---------------------------- npl -0.0721 (-0.26) llr -0.763 (-0.80) eff -0.128*** (-4.46) lev -0.0715 (-1.66) nii -0.00625 (-0.28) size 0.0242* (2.37) ggdp 0.0234*** (3.54) inf -0.00359** (-2.90) unr -0.0174 (-1.19) exr -0.0000147*** (-3.79) inr 0.0151*** (4.02) _cons -0.119 (-0.84) ---------------------------- N 230 ---------------------------- t statistics in parentheses * p<0.05, ** p<0.01, *** p<0.001 . . xtreg roe npl llr eff lev nii size ggdp inf unr exr inr,re Random-effects GLS regression Number of obs = 230 Group variable: donvi Number of groups = 26 R-sq: within = 0.4844 Obs per group: min = 6 between = 0.6719 avg = 8.8 overall = 0.5634 max = 11 Wald chi2(11) = 230.85 corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ roe | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- npl | -.1243923 .2716101 -0.46 0.647 -.6567383 .4079537 llr | -.926046 .8409122 -1.10 0.271 -2.574204 .7221115 eff | -.1230069 .0260344 -4.72 0.000 -.1740333 -.0719804 lev | -.0712083 .0383014 -1.86 0.063 -.1462777 .0038611 nii | -.0102386 .0209554 -0.49 0.625 -.0513106 .0308333 size | .028755 .0052752 5.45 0.000 .0184158 .0390942 ggdp | .0240101 .0064202 3.74 0.000 .0114268 .0365935 inf | -.0036266 .0012194 -2.97 0.003 -.0060166 -.0012366 unr | -.0196723 .0144872 -1.36 0.174 -.0480667 .0087222 exr | -.0000163 2.57e-06 -6.34 0.000 -.0000213 -.0000113 inr | .0153041 .0036808 4.16 0.000 .0080899 .0225183 _cons | -.1669474 .1061387 -1.57 0.116 -.3749754 .0410806 -------------+---------------------------------------------------------------- sigma_u | .02364897 sigma_e | .045961 rho | .20933355 (fraction of variance due to u_i) ------------------------------------------------------------------------------ . . est sto R2 . . hausman F2 R2 Note: the rank of the differenced variance matrix (9) does not equal the number of coefficients being tested (11); 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)) | F2 R2 Difference S.E. -------------+---------------------------------------------------------------- npl | -.0720825 -.1243923 .0523098 .0779899 llr | -.763182 -.926046 .1628641 .4406636 eff | -.1279354 -.1230069 -.0049285 .0121102 lev | -.0715159 -.0712083 -.0003077 .0196095 nii | -.0062461 -.0102386 .0039925 .0077285 size | .0242159 .028755 -.004539 .0087754 ggdp | .0234399 .0240101 -.0005703 .001654 inf | -.0035889 -.0036266 .0000377 .0002127 unr | -.0173607 -.0196723 .0023116 .0021153 exr | -.0000147 -.0000163 1.64e-06 2.88e-06 inr | .0151131 .0153041 -.0001911 .0007539 ------------------------------------------------------------------------------ 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(9) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 3.56 Prob>chi2 = 0.9382 . . 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 | .0057722 .075975 e | .0021124 .045961 u | .0005593 .023649 Test: Var(u) = 0 chibar2(01) = 39.31 Prob > chibar2 = 0.0000 . . xtgls roe npl llr eff lev nii size ggdp inf unr exr inr,igls panels(h) nolog Cross-sectional time-series FGLS regression Coefficients: generalized least squares Panels: heteroskedastic Correlation: no autocorrelation Estimated covariances = 26 Number of obs = 230 Estimated autocorrelations = 0 Number of groups = 26 Estimated coefficients = 12 Obs per group: min = 6 avg = 8.846154 max = 11 Wald chi2(11) = 755.23 Log likelihood = 421.5587 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ roe | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- npl | -.2107157 .2027057 -1.04 0.299 -.6080116 .1865801 llr | -1.643583 .5419744 -3.03 0.002 -2.705833 -.5813324 eff | -.1908553 .015303 -12.47 0.000 -.2208486 -.1608619 lev | -.0542148 .0261156 -2.08 0.038 -.1054005 -.0030291 nii | -.0129232 .0087917 -1.47 0.142 -.0301546 .0043082 size | .0318661 .0028516 11.17 0.000 .0262771 .0374551 ggdp | .012571 .0035341 3.56 0.000 .0056442 .0194978 inf | -.0014974 .0006927 -2.16 0.031 -.002855 -.0001398 unr | -.0183644 .0076772 -2.39 0.017 -.0334114 -.0033174 exr | -.0000122 1.30e-06 -9.41 0.000 -.0000148 -9.68e-06 inr | .0063253 .0020462 3.09 0.002 .0023149 .0103357 _cons | -.1400302 .0538202 -2.60 0.009 -.2455159 -.0345445 ------------------------------------------------------------------------------ . . est sto G2 . . esttab P2 F2 R2 G2,r2 star(* 0.1 ** 0.05 *** 0.01) brackets nogap ---------------------------------------------------------------------------- (1) (2) (3) (4) roe roe roe roe ---------------------------------------------------------------------------- npl -0.260 -0.0721 -0.124 -0.211 [-0.91] [-0.26] [-0.46] [-1.04] llr -1.064 -0.763 -0.926 -1.644*** [-1.38] [-0.80] [-1.10] [-3.03] eff -0.118*** -0.128*** -0.123*** -0.191*** [-4.67] [-4.46] [-4.72] [-12.47] lev -0.0614 -0.0715* -0.0712* -0.0542** [-1.60] [-1.66] [-1.86] [-2.08] nii -0.0139 -0.00625 -0.0102 -0.0129 [-0.65] [-0.28] [-0.49] [-1.47] size 0.0297*** 0.0242** 0.0288*** 0.0319*** [7.61] [2.37] [5.45] [11.17] ggdp 0.0249*** 0.0234*** 0.0240*** 0.0126*** [3.57] [3.54] [3.74] [3.56] inf -0.00379*** -0.00359*** -0.00363*** -0.00150** [-2.80] [-2.90] [-2.97] [-2.16] unr -0.0241 -0.0174 -0.0197 -0.0184** [-1.50] [-1.19] [-1.36] [-2.39] exr -0.0000172*** -0.0000147*** -0.0000163*** -0.0000122*** [-6.90] [-3.79] [-6.34] [-9.41] inr 0.0159*** 0.0151*** 0.0153*** 0.00633*** [3.93] [4.02] [4.16] [3.09] _cons -0.172 -0.119 -0.167 -0.140*** [-1.60] [-0.84] [-1.57] [-2.60] ---------------------------------------------------------------------------- N 230 230 230 230 R-sq 0.565 0.485 ---------------------------------------------------------------------------- t statistics in brackets * p<0.1, ** p<0.05, *** p<0.01 . . . . *** Mo hinh 3 - voi ROA . . . . xtset donvi time panel variable: donvi (strongly balanced) time variable: time, 2005 to 2015 delta: 1 unit . . sum roa npl llr eff lev nii size ggdp inf unr exr inr Variable | Obs Mean Std. Dev. Min Max -------------+-------------------------------------------------------- roa | 275 .0125335 .0092107 .0001088 .0595185 npl | 233 .0224712 .0158215 .001 .1246 llr | 271 .0111496 .0066228 .0001286 .0370178 eff | 262 .4879579 .190311 .0795316 2.0527 lev | 276 .8698281 .1108404 .0152707 1.129474 -------------+-------------------------------------------------------- nii | 264 .1606875 .2713953 -2.003685 .7855639 size | 276 17.34343 1.619804 11.88353 20.56153 ggdp | 286 6.246387 .7420688 5.247367 7.547248 inf | 286 9.280675 6.03656 .63 23.11632 unr | 286 2.206564 .2625723 1.8 2.6 -------------+-------------------------------------------------------- exr | 286 18932.05 2319.773 15916 22380.54 inr | 286 9.820909 2.178888 6.5 13.46 . . corr roa npl llr eff lev nii size ggdp inf unr exr inr (obs=230) | roa npl llr eff lev nii size ggdp inf unr exr -------------+--------------------------------------------------------------------------------------------- ------ roa | 1.0000 npl | -0.2498 1.0000 llr | -0.2680 0.5258 1.0000 eff | -0.4548 0.2015 -0.0229 1.0000 lev | -0.2969 -0.0936 0.1457 -0.2249 1.0000 nii | 0.1191 -0.0711 -0.0030 -0.5166 0.3357 1.0000 size | -0.3576 0.0029 0.4629 -0.2154 0.5494 0.2359 1.0000 ggdp | 0.2109 -0.2795 -0.2966 -0.1968 0.0643 -0.0057 -0.0930 1.0000 inf | 0.1904 0.0412 -0.0481 -0.1133 -0.0865 0.0657 -0.2027 -0.1668 1.0000 unr | 0.3196 -0.2662 -0.2741 -0.2968 0.0527 0.2003 -0.2107 0.2537 0.0555 1.0000 exr | -0.4572 0.2040 0.3535 0.2815 0.0940 -0.2484 0.4105 -0.2862 -0.3791 -0.5588 1.0000 inr | 0.2516 0.0969 0.0345 -0.1699 -0.0885 0.0428 -0.1652 -0.3332 0.8866 0.1313 - 0.3007 | inr -------------+--------- inr | 1.0000 . . reg roa npl llr eff lev nii size ggdp inf unr exr inr Source | SS df MS Number of obs = 230 -------------+------------------------------ F( 11, 218) = 22.79 Model | .008437675 11 .000767061 Prob > F = 0.0000 Residual | .007336642 218 .000033654 R-squared = 0.5349 -------------+------------------------------ Adj R-squared = 0.5114 Total | .015774318 229 .000068883 Root MSE = .0058 ------------------------------------------------------------------------------ roa | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- npl | -.0857793 .0320945 -2.67 0.008 -.1490346 -.0225241 llr | .0083109 .087309 0.10 0.924 -.1637669 .1803886 eff | -.0199555 .002842 -7.02 0.000 -.0255568 -.0143541 lev | -.0193246 .0043417 -4.45 0.000 -.0278816 -.0107676 nii | -.0001668 .0024288 -0.07 0.945 -.0049538 .0046202 size | -.0014527 .0004411 -3.29 0.001 -.002322 -.0005833 ggdp | .0016552 .0007882 2.10 0.037 .0001019 .0032086 inf | -.0004808 .0001526 -3.15 0.002 -.0007815 -.0001801 unr | -.0017988 .0018181 -0.99 0.324 -.0053821 .0017844 exr | -7.24e-07 2.81e-07 -2.58 0.011 -1.28e-06 -1.70e-07 inr | .0016775 .000457 3.67 0.000 .0007767 .0025783 _cons | .0615208 .0121201 5.08 0.000 .0376332 .0854084 ------------------------------------------------------------------------------ . . vif Variable | VIF 1/VIF -------------+---------------------- inr | 7.17 0.139550 inf | 6.46 0.154878 size | 2.42 0.413271 exr | 2.39 0.419267 llr | 2.09 0.478990 eff | 1.84 0.543427 unr | 1.81 0.551458 ggdp | 1.76 0.568053 nii | 1.72 0.582485 npl | 1.68 0.594872 lev | 1.60 0.625316 -------------+---------------------- Mean VIF | 2.81 . . imtest,white White's test for Ho: homoskedasticity against Ha: unrestricted heteroskedasticity chi2(67) = 140.01 Prob > chi2 = 0.0000 Cameron & Trivedi's decomposition of IM-test --------------------------------------------------- Source | chi2 df p ---------------------+----------------------------- Heteroskedasticity | 140.01 67 0.0000 Skewness | 19.52 11 0.0523 Kurtosis | 2.49 1 0.1148 ---------------------+----------------------------- Total | 162.02 79 0.0000 --------------------------------------------------- . . est sto P22 . . xtreg roa npl llr eff lev nii size ggdp inf unr exr inr,fe Fixed-effects (within) regression Number of obs = 230 Group variable: donvi Number of groups = 26 R-sq: within = 0.5569 Obs per group: min = 6 between = 0.2840 avg = 8.8 overall = 0.4134 max = 11 F(11,193) = 22.05 corr(u_i, Xb) = -0.4515 Prob > F = 0.0000 ------------------------------------------------------------------------------ roa | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- npl | -.0652647 .0325111 -2.01 0.046 -.1293874 -.001142 llr | .0710326 .1092248 0.65 0.516 -.1443949 .2864602 eff | -.0197032 .0033034 -5.96 0.000 -.0262186 -.0131877 lev | -.0111563 .0049505 -2.25 0.025 -.0209203 -.0013923 nii | .0042594 .0025696 1.66 0.099 -.0008088 .0093275 size | -.0048707 .001178 -4.13 0.000 -.007194 -.0025473 ggdp | .0015544 .0007628 2.04 0.043 .00005 .0030588 inf | -.0005049 .0001424 -3.55 0.000 -.0007858 -.000224 unr | -.0008875 .0016844 -0.53 0.599 -.0042097 .0024347 exr | 3.87e-07 4.44e-07 0.87 0.384 -4.89e-07 1.26e-06 inr | .0018085 .0004323 4.18 0.000 .000956 .0026611 _cons | .0886641 .0163241 5.43 0.000 .0564676 .1208605 -------------+---------------------------------------------------------------- sigma_u | .00464762 sigma_e | .00528776 rho | .43583581 (fraction of variance due to u_i) ------------------------------------------------------------------------------ F test that all u_i=0: F(25, 193) = 2.78 Prob > F = 0.0000 . . est sto F22 . . esttab F22 ---------------------------- (1) roa ---------------------------- npl -0.0653* (-2.01) llr 0.0710 (0.65) eff -0.0197*** (-5.96) lev -0.0112* (-2.25) nii 0.00426 (1.66) size -0.00487*** (-4.13) ggdp 0.00155* (2.04) inf -0.000505*** (-3.55) unr -0.000888 (-0.53) exr 0.000000387 (0.87) inr 0.00181*** (4.18) _cons 0.0887*** (5.43) ---------------------------- N 230 ---------------------------- t statistics in parentheses * p<0.05, ** p<0.01, *** p<0.001 . . xtreg roa npl llr eff lev nii size ggdp inf unr exr inr,re Random-effects GLS regression Number of obs = 230 Group variable: donvi Number of groups = 26 R-sq: within = 0.5367 Obs per group: min = 6 between = 0.5420 avg = 8.8 overall = 0.5329 max = 11 Wald chi2(11) = 250.83 corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ roa | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- npl | -.0757023 .0318431 -2.38 0.017 -.1381136 -.0132909 llr | .0286104 .0929865 0.31 0.758 -.1536398 .2108606 eff | -.0196581 .0029449 -6.68 0.000 -.02543 -.0138862 lev | -.0180926 .0043828 -4.13 0.000 -.0266827 -.0095025 nii | .0009082 .0024321 0.37 0.709 -.0038587 .005675 size | -.0017328 .0005108 -3.39 0.001 -.0027339 -.0007317 ggdp | .0016781 .000764 2.20 0.028 .0001806 .0031755 inf | -.0004752 .0001464 -3.25 0.001 -.0007621 -.0001883 unr | -.001524 .0017421 -0.87 0.382 -.0049384 .0018904 exr | -6.17e-07 2.84e-07 -2.17 0.030 -1.17e-06 -5.99e-08 inr | .00168 .0004402 3.82 0.000 .0008172 .0025428 _cons | .0616223 .012065 5.11 0.000 .0379754 .0852693 -------------+---------------------------------------------------------------- sigma_u | .00151741 sigma_e | .00528776 rho | .07608385 (fraction of variance due to u_i) ------------------------------------------------------------------------------ . . est sto R22 . . hausman F22 R22 Note: the rank of the differenced variance matrix (10) does not equal the number of coefficients being tested (11); 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)) | F22 R22 Difference S.E. -------------+---------------------------------------------------------------- npl | -.0652647 -.0757023 .0104375 .0065566 llr | .0710326 .0286104 .0424222 .0573024 eff | -.0197032 -.0196581 -.000045 .0014967 lev | -.0111563 -.0180926 .0069363 .0023018 nii | .0042594 .0009082 .0033512 .0008294 size | -.0048707 -.0017328 -.0031379 .0010615 ggdp | .0015544 .0016781 -.0001237 . inf | -.0005049 -.0004752 -.0000297 . unr | -.0008875 -.001524 .0006365 . exr | 3.87e-07 -6.17e-07 1.00e-06 3.41e-07 inr | .0018085 .00168 .0001285 . ------------------------------------------------------------------------------ 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(10) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 74.01 Prob>chi2 = 0.0000 (V_b-V_B is not positive definite) . . 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 | .0000689 .0082996 e | .000028 .0052878 u | 2.30e-06 .0015174 Test: Var(u) = 0 chibar2(01) = 9.40 Prob > chibar2 = 0.0011 . . xtgls roa npl llr eff lev nii size ggdp inf unr exr inr,igls panels(h) nolog Cross-sectional time-series FGLS regression Coefficients: generalized least squares Panels: heteroskedastic Correlation: no autocorrelation Estimated covariances = 26 Number of obs = 230 Estimated autocorrelations = 0 Number of groups = 26 Estimated coefficients = 12 Obs per group: min = 6 avg = 8.846154 max = 11 Wald chi2(11) = 710.83 Log likelihood = 924.1284 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ roa | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- npl | -.0600821 .0234091 -2.57 0.010 -.1059631 -.0142012 llr | -.0803953 .0508784 -1.58 0.114 -.1801152 .0193247 eff | -.0326638 .0022008 -14.84 0.000 -.0369773 -.0283503 lev | -.0126982 .0039728 -3.20 0.001 -.0204848 -.0049116 nii | .003087 .0016904 1.83 0.068 -.000226 .0064001 size | -.0006132 .0002914 -2.10 0.035 -.0011843 -.0000421 ggdp | -.0001416 .0004825 -0.29 0.769 -.0010873 .0008041 inf | -.0002171 .0000876 -2.48 0.013 -.0003889 -.0000454 unr | -.0001898 .0010021 -0.19 0.850 -.0021539 .0017743 exr | -2.15e-07 1.74e-07 -1.24 0.216 -5.55e-07 1.26e-07 inr | .0009886 .0002662 3.71 0.000 .0004668 .0015105 _cons | .0478218 .0074706 6.40 0.000 .0331796 .062464 ------------------------------------------------------------------------------ . . est sto G22 . . esttab P22 F22 R22 G22,r2 star(* 0.1 ** 0.05 *** 0.01) brackets nogap ---------------------------------------------------------------------------- (1) (2) (3) (4) roa roa roa roa ---------------------------------------------------------------------------- npl -0.0858*** -0.0653** -0.0757** -0.0601** [-2.67] [-2.01] [-2.38] [-2.57] llr 0.00831 0.0710 0.0286 -0.0804 [0.10] [0.65] [0.31] [-1.58] eff -0.0200*** -0.0197*** -0.0197*** -0.0327*** [-7.02] [-5.96] [-6.68] [-14.84] lev -0.0193*** -0.0112** -0.0181*** -0.0127*** [-4.45] [-2.25] [-4.13] [-3.20] nii -0.000167 0.00426* 0.000908 0.00309* [-0.07] [1.66] [0.37] [1.83] size -0.00145*** -0.00487*** -0.00173*** -0.000613** [-3.29] [-4.13] [-3.39] [-2.10] ggdp 0.00166** 0.00155** 0.00168** -0.000142 [2.10] [2.04] [2.20] [-0.29] inf -0.000481*** -0.000505*** -0.000475*** -0.000217** [-3.15] [-3.55] [-3.25] [-2.48] unr -0.00180 -0.000888 -0.00152 -0.000190 [-0.99] [-0.53] [-0.87] [-0.19] exr -0.000000724** 0.000000387 -0.000000617** -0.000000215 [-2.58] [0.87] [-2.17] [-1.24] inr 0.00168*** 0.00181*** 0.00168*** 0.000989*** [3.67] [4.18] [3.82] [3.71] _cons 0.0615*** 0.0887*** 0.0616*** 0.0478*** [5.08] [5.43] [5.11] [6.40] ---------------------------------------------------------------------------- N 230 230 230 230 R-sq 0.535 0.557 ---------------------------------------------------------------------------- t statistics in brackets * p<0.1, ** p<0.05, *** p<0.01