1.

1 Kiểm tra biến nội / ngoại sinh

Code: ivregress 2sls banksstability (car=l.car) crisk size crd roe llpl nim rla lrla nii lrisk dntg dntts hhi gdp estat endog

Các biến độc lập Kiểm định Wu – Hausman Kết luận

Car p-value = 0.6807 > 5% Chấp nhận giả thuyết H0

Biến Car là biến ngoại sinh

Crisk 0.5695 > 5% Ngoại sinh

SIZE 0.9319 > 5% Ngoại sinh

CRD 0.4337 > 5% Ngoại sinh

ROE 0.2527 > 5% Ngoại sinh

LLPL 0.0145 < 5% Nội sinh

NIM 0.4938 > 5% Ngoại sinh

RLA 0.2963 > 5% Ngoại sinh

LRLA 0.9513 > 5% Ngoại sinh

NII 0.0969 > 5% Ngoại sinh

 LRISK 0.9416 > 5% Ngoại sinh

DNTG 0.4658 > 5% Ngoại sinh

DNTTS 0.3126 > 5% Ngoại sinh

HHI 0.6887 > 5% Ngoại sinh

GDP 0.5838 > 5% Ngoại sinh

1.2 Xtabond2 - GMM

Code: xtabond2 banksstability l.banksstability car crisk crd size roe llpl nim rla lrla nii lrisk dntg dntts hhi gdp,
gmm(l7.llpl ) iv(l6.size ) sm two
Group variable: MackMH Number of obs = 181
Time variable: Nam Number of groups = 26
Number of istrument = 22

F(16,25) = 4264.86 Obs per group:

Prob > F = 0.0000 Min = 6

Avg = 6.96

Max = 7
 banksstability Coef. Std. Err. t P>|t| [95% Conf. Interval]
banksstability L1. 0.395005 0.273884 1.44 0.162 -0.16907 0.95908
car -63.9442 47.15922 -1.36 0.187 -161.07 33.18201
crisk -57.0517 40.91864 -1.39 0.176 -141.325 27.22186
crd -1.70567 17.08359 -0.1 0.921 -36.89 33.47865
size -2.97921 4.719339 -0.63 0.534 -12.6989 6.740454
roe 2.728553 51.06441 0.05 0.958 -102.441 107.8977
llpl 575.106 457.4555 1.26 0.22 -367.041 1517.253
nim -131.502 255.0048 -0.52 0.611 -656.694 393.6903
rla -59.4732 47.57144 -1.25 0.223 -157.448 38.502
lrla -43.9171 97.82007 -0.45 0.657 -245.381 157.5471
nii -670.343 548.2603 -1.22 0.233 -1799.51 458.8206
lrisk 50.22527 35.80277 1.4 0.173 -23.5119 123.9624
dntg -4.04022 11.39171 -0.35 0.726 -27.5019 19.42144
dntts 30.3518 44.84807 0.68 0.505 -62.0145 122.7181
hhi -6.54574 12.60961 -0.52 0.608 -32.5157 19.42424
gdp -13.2463 17.79707 -0.74 0.464 -49.9 23.40749
_cons 35.2037 49.28353 0.71 0.482 -66.2976 136.705

Arellano-Bond test for AR(1) in first differences: z = -1.67 Pr > z = 0.095

Arellano-Bond test for AR(2) in first differences: z = 0.72 Pr > z = 0.475

Sargan test of overid. restrictions: chi2(5) = 0.24 Prob > chi2 = 0.999

(Not robust, but not weakened by many instruments.)

Hansen test of overid. restrictions: chi2(5) = 2.59 Prob > chi2 = 0.763
 (Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:

GMM instruments for levels

Hansen test excluding group: chi2(0) = 0.00 Prob > chi2 = .

Difference (null H = exogenous): chi2(5) = 2.59 Prob > chi2 = 0.763

iv(L6.size)

Hansen test excluding group: chi2(4) = 2.55 Prob > chi2 = 0.635

Difference (null H = exogenous): chi2(1) = 0.03 Prob > chi2 = 0.854