Finding Thuc Pham: Examining Financial Ratios and Panel Data Analysis | Khóa luận tốt nghiệp | Trường Đại học Công Nghiệp Thành phố Hồ Chí Minh

lOMoAR cPSD| 46672053
. encode Firm, gen(MCK) . xtset YEAR MCK
panel variable: YEAR (strongly balanced)
time variable: MCK, 1 to 30 delta:
1 unit . sum ROA ROE SDA LDA SIZE SG TANG LIQ AG
Variable | Obs Mean Std. Dev. Min Max
-------------+--------------------------------------------------------
ROA | 150 .0755097 .088755 -.1898844 .3308799
ROE | 150 .127365 .1939757 -.9532794 .815241
SDA | 150 .3686463 .177407 .0580588 .9485711
LDA | 150 .069901 .1016307 .0005923 .5352008
SIZE | 150 3.542852 .6394578 2.317123 5.063471
-------------+--------------------------------------------------------
SG | 150 .0926401 .408095 -.8724195 2.710343
TANG | 150 .2620272 .1260867 .019806 .6306228
LIQ | 150 .5657233 2.240098 .0002877 26.53325
AG | 150 .0844635 .2217234 -.5311129 1.444386 . reg ROA SDA
LDA SIZE SG TANG LIQ AG
Source | SS df MS Number of obs = 150 lOMoAR cPSD| 46672053
-------------+------------------------------ F( 7 , 142) = 10.02
Model | .388160305 7 .055451472 Prob > F = 0.0000
Residual | .785580976 142 .00553226 R-squared = 0.3307
-------------+------------------------------ Adj R-squared = 0.2977
Total | 1.17374128 149 .007877458 Root MSE = .07438
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ROA | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
SDA | -.0722847 .0359245 -2.01 0.046 -.1433007 -.0012688
LDA | -.474758 .0687241 -6.91 0.000 -.6106126 -.3389034
SIZE | .054804 .0111305 4.92 0.000 .0328012 .0768068
SG | -.003802 .0162059 -0.23 0.815 -.0358379 .028234
TANG | .1580658 .0513185 3.08 0.002 .0566187 .2595128
LIQ | .0003126 .0027968 0.11 0.911 -.0052162 .0058414
AG | .0622482 .0305318 2.04 0.043 .0018925 .1226038
_cons | -.105319 .043949 -2.40 0.018 -.1921979 -.0184402
-----------------------------------------------------------------------------. vif Variable | VIF 1/VIF
-------------+---------------------- lOMoAR cPSD| 46672053 SIZE | 1.36 0.732936 LDA | 1.31 0.761112 AG | 1.23 0.810191 SG | 1.18 0.848883 TANG | 1.13 0.886807 SDA | 1.09 0.914099 LIQ | 1.06 0.945906
-------------+---------------------- Mean VIF | 1.20
. corr ROA SDA LDA SIZE SG TANG LIQ AG ( obs =150)
| ROA SDA LDA SIZE SG TANG LIQ AG
-------------+------------------------------------------------------------------------ ROA | 1.0000 SDA | -0.1857 1.0000
LDA | -0.2638 -0.1521 1.0000
SIZE | 0.2628 -0.2338 0.4450 1.0000
SG | 0.0428 -0.0018 0.1231 0.1550 1.0000
TANG | 0.1740 -0.1184 0.2624 0.2236 0.0351 1.0000 lOMoAR cPSD| 46672053
LIQ | -0.0268 -0.1183 -0.0642 -0.1299 -0.0533 -0.0836 1.0000
AG | 0.1193 -0.0260 0.1663 0.1906 0.3747 -0.0773 -0.1132 1.0000
. xtreg ROA SDA LDA SIZE SG TANG LIQ AG, fe
Fixed-effects (within) regression Number of obs = 150
Group variable: YEAR Number of groups = 5
R-sq: within = 0.3360 Obs per group: min = 30
between = 0.0339 avg = 30.0 overall = 0.3305 max = 30 F(7,138) = 9.98
corr(u_i, Xb) = -0.1029 Prob > F = 0.0000
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ROA | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------
------+----------------------------------------------------------------
SDA | -.0718011 .0364423 -1.97 0.051 -.1438586 .0002563
LDA | -.4803774 .0697767 -6.88 0.000 -.6183472 -.3424076
SIZE | .0556905 .0112728 4.94 0.000 .0334009 .0779802
SG | -.0062283 .0166414 -0.37 0.709 -.0391333 .0266768
TANG | .166503 .0522633 3.19 0.002 .0631625 .2698435 lOMoAR cPSD| 46672053
LIQ | .0004903 .0028475 0.17 0.864 -.00514 .0061206
AG | .0633779 .0311572 2.03 0.044 .0017706 .1249851
_cons | -.1104273 .0445628 -2.48 0.014 -.1985414 -.0223131
-------------+---------------------------------------------------------------
sigma_u | .00872461 sigma_e | .07502535
rho | .01334266 (fraction of variance due to u_i) -----------------
------------------------------------------------------------F test that all
u_i=0: F(4, 138) = 0.39 Prob > F = 0.8147 . estimate store FEM
. xtreg ROA SDA LDA SIZE SG TANG LIQ AG, re
Random-effects GLS regression Number of obs = 150
Group variable: YEAR Number of groups = 5
R-sq: within = 0.3358 Obs per group: min = 30
between = 0.0367 avg = 30.0
overall = 0.3307 max = 30 Wald chi2(7) = 70.16
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000 lOMoAR cPSD| 46672053
------------------------------------------------------------------------------
ROA | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
SDA | -.0722847 .0359245 -2.01 0.044 -.1426954 -.001874
LDA | -.474758 .0687241 -6.91 0.000 -.6094548 -.3400612
SIZE | .054804 .0111305 4.92 0.000 .0329887 .0766193
SG | -.003802 .0162059 -0.23 0.815 -.0355649 .027961
TANG | .1580658 .0513185 3.08 0.002 .0574833 .2586482
LIQ | .0003126 .0027968 0.11 0.911 -.0051691 .0057943
AG | .0622482 .0305318 2.04 0.041 .0024068 .1220895
_cons | -.105319 .043949 -2.40 0.017 -.1914574 -.0191806 -------
------+--------------------------------------------------------------- sigma_u | 0 sigma_e | .07502535
rho | 0 (fraction of variance due to u_i) ------------------------
------------------------------------------------------ . estimate store REM . hausman FEM REM
---- Coefficients ----
| (b) (B) (b-B) sqrt(diag(V_b-V_B))
| FEM REM Difference S.E. lOMoAR cPSD| 46672053
-------------+----------------------------------------------------------------
SDA | -.0718011 -.0722847 .0004836 .0061213
LDA | -.4803774 -.474758 -.0056194 .0120743
SIZE | .0556905 .054804 .0008865 .0017854
SG | -.0062283 -.003802 -.0024263 .0037821
TANG | .166503 .1580658 .0084373 .0098926
LIQ | .0004903 .0003126 .0001777 .0005345
AG | .0633779 .0622482 .0011297 .006211 --------------
---------------------------------------------------------------
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(7) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 0.95 Prob>chi2 = 0.9957
. xttest0 Breusch and Pagan Lagrangian multiplier test for
random effects ROA[YEAR,t] = Xb + u[YEAR] + e[YEAR,t] Estimated results: | Var sd = sqrt(Var) lOMoAR cPSD| 46672053
---------+---------------------------- ROA | .0078775 .088755 e | .0056288 .0750254 u | 0 0 Test: Var(u) = 0 chibar2(01) = 0.00
Prob > chibar2 = 1.0000
. xtserial ROA SDA LDA SIZE SG TANG LIQ AG
Wooldridge test for autocorrelation in panel data
H0: no first-order autocorrelation F( 1, 4) = 9.059 Prob > F = 0.0396
. xtgls ROA SDA LDA SIZE SG TANG LIQ AG, corr(ar1)
Cross-sectional time-series FGLS regression
Coefficients: generalized least squares lOMoAR cPSD| 46672053 Panels: homoskedastic
Correlation: common AR(1) coefficient for all panels (-0.3102) Estimated
covariances = 1 Number of obs = 150
Estimated autocorrelations = 1 Number of groups = 5
Estimated coefficients = 8 Time periods = 30 Wald chi2(7) = 97.31
Prob > chi2 = 0.0000
------------------------------------------------------------------------------
ROA | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
SDA | -.1002742 .032407 -3.09 0.002 -.1637907 -.0367577
LDA | -.4626828 .0593559 -7.80 0.000 -.5790182 -.3463474
SIZE | .0554497 .0094163 5.89 0.000 .0369941 .0739053
SG | .0053219 .0137935 0.39 0.700 -.0217129 .0323567
TANG | .172771 .0446162 3.87 0.000 .0853249 .2602171
LIQ | .00089 .0025471 0.35 0.727 -.0041022 .0058821
AG | .0682185 .0271918 2.51 0.012 .0149235 .1215135
_cons | -.1044137 .0374243 -2.79 0.005 -.177764 -.0310634
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