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PHỤ LỤC 2 CÁC BẢNG KẾT QUẢ HỒI QUY

PHỤ LỤC 2 CÁC BẢNG KẾT QUẢ HỒI QUY

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Bảng 4.4: Kết quả hồi quy đo lường độ nhạy cảm của đầu tư bất thường (Iu_new) đối
với dòng tiền tự do (FCF)
Dynamic panel-data estimation, one-step system GMM
Group variable: firm
Time variable : year
Number of instruments = 13
Wald chi2(3) =
14.88
Prob > chi2
=
0.002

iu_newgmm

Coef.

dumfcf1gmm
fcfdumfcf2
fcfdumfcf1
_cons

-.0961116
.0705293
.4793398
-.0616165

Number of obs
Number of groups
Obs per group: min
avg
max
Robust
Std. Err.
.0350518
.0346362
.1625152
.0092196

z
-2.74
2.04
2.95
-6.68

P>|z|

=
=
=
=
=

485
138
0
3.51
5

[95% Conf. Interval]

0.006
0.042
0.003
0.000

-.1648118
.0026436
.160816
-.0796866

-.0274114
.138415
.7978637
-.0435465

Instruments for first differences equation
Standard
D.(D2.dumfcf1gmm L.dumfcf1gmm fcfdumfcf2)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(4/6).dumfcf1gmm
Instruments for levels equation
Standard
D2.dumfcf1gmm L.dumfcf1gmm fcfdumfcf2
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL3.dumfcf1gmm
Arellano-Bond test for AR(1) in first differences: z =
Arellano-Bond test for AR(2) in first differences: z =
Sargan test of
(Not robust,
Hansen test of
(Robust, but

-2.92
0.31

overid. restrictions: chi2(9)
= 15.26
but not weakened by many instruments.)
overid. restrictions: chi2(9)
= 13.74
weakened by many instruments.)

Pr > z =
Pr > z =

0.003
0.756

Prob > chi2 =

0.084

Prob > chi2 =

0.132

Dynamic panel-data estimation, one-step system GMM
Group variable: firm
Time variable : year
Number of instruments = 13
Wald chi2(3) =
17.54
Prob > chi2
=
0.001

iu_newgmm

Coef.

dumfcf1gmm
fcfdumfcf2
fcfdumfcf1
_cons

-.0128347
-.1515353
.2515529
.0251058

Number of obs
Number of groups
Obs per group: min
avg
max
Robust
Std. Err.
.0355467
.1108973
.0973516
.0164705

z
-0.36
-1.37
2.58
1.52

P>|z|
0.718
0.172
0.010
0.127

=
=
=
=
=

450
142
0
3.17
5

[95% Conf. Interval]
-.0825048
-.36889
.0607472
-.0071758

.0568355
.0658194
.4423585
.0573874

Instruments for first differences equation
Standard
D.(D2.dumfcf1gmm L.dumfcf1gmm fcfdumfcf2)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(4/6).(dumfcf1gmm fcfdumfcf2)
Instruments for levels equation
Standard
D2.dumfcf1gmm L.dumfcf1gmm fcfdumfcf2
_cons
Arellano-Bond test for AR(1) in first differences: z =
Arellano-Bond test for AR(2) in first differences: z =
Sargan test of overid. restrictions: chi2(9)
= 17.11
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(9)
= 15.93

-2.11
-0.37

Pr > z =
Pr > z =

0.035
0.711

Prob > chi2 =

0.047

Prob > chi2 =

0.068

Dynamic panel-data estimation, one-step system GMM
Group variable: firm
Time variable : year
Number of instruments = 14
Wald chi2(3) =
10.04
Prob > chi2
=
0.018

iu_newfe

Coef.

dumfcf1fe
fcfdumfcf2fe
fcfdumfcf1fe
_cons

-.0305061
.3092475
.0039723
-.0280382

Number of obs
Number of groups
Obs per group: min
avg
max
Robust
Std. Err.
.0264737
.1797053
.0210415
.0263852

z
-1.15
1.72
0.19
-1.06

P>|z|
0.249
0.085
0.850
0.288

=
=
=
=
=

482
140
0
3.44
5

[95% Conf. Interval]
-.0823937
-.0429684
-.0372682
-.0797522

.0213815
.6614634
.0452129
.0236757

Instruments for first differences equation
Standard
D.(D.fcfdumfcf1fe D2.dumfcf1fe fcfdumfcf1fe)
Instruments for levels equation
Standard
D.fcfdumfcf1fe D2.dumfcf1fe fcfdumfcf1fe
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL2.(dumfcf1fe fcfdumfcf2fe fcfdumfcf1fe)
Arellano-Bond test for AR(1) in first differences: z =
Arellano-Bond test for AR(2) in first differences: z =
Sargan test of overid. restrictions: chi2(10)
= 11.52
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(10)
=
6.02

-2.56
0.87

Pr > z =
Pr > z =

0.010
0.383

Prob > chi2 =

0.319

Prob > chi2 =

0.813

Dynamic panel-data estimation, one-step system GMM
Group variable: firm
Time variable : year
Number of instruments = 14
Wald chi2(3) =
7.92
Prob > chi2
=
0.048

iu_newfe

Coef.

dumfcf1fe
fcfdumfcf2fe
fcfdumfcf1fe
_cons

-.0187492
-.0322813
.0645193
.0712034

Number of obs
Number of groups
Obs per group: min
avg
max
Robust
Std. Err.
.0394751
.3691579
.0252104
.0425928

z
-0.47
-0.09
2.56
1.67

P>|z|
0.635
0.930
0.010
0.095

=
=
=
=
=

453
137
0
3.31
5

[95% Conf. Interval]
-.096119
-.7558176
.0151078
-.0122769

.0586205
.6912549
.1139308
.1546838

Instruments for first differences equation
Standard
D.(D.fcfdumfcf1fe D2.dumfcf1fe fcfdumfcf1fe)
Instruments for levels equation
Standard
D.fcfdumfcf1fe D2.dumfcf1fe fcfdumfcf1fe
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL2.(dumfcf1fe fcfdumfcf2fe fcfdumfcf1fe)
Arellano-Bond test for AR(1) in first differences: z =
Arellano-Bond test for AR(2) in first differences: z =
Sargan test of overid. restrictions: chi2(10)
= 11.98
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(10)
= 16.02

-2.77
-0.17

Pr > z =
Pr > z =

0.006
0.867

Prob > chi2 =

0.286

Prob > chi2 =

0.099

Bảng 4.5: Kết quả hồi quy đo lường độ nhạy cảm của đầu tư bất thường đối với
dòng tiền tự do bằng mô hình Quantile regression và GMM
.2 Quantile regression, bootstrap(20) SEs
Raw sum of deviations 20.62263 (about -.11147442)
Min sum of deviations 20.28507

iu_newgmm

Coef.

dumfcf1gmm
fcfdumfcf2
fcfdumfcf1
_cons

.0075572
.1015175
-.0425677
-.0977577

Std. Err.
.0154028
.0413405
.0285654
.0089038

t
0.49
2.46
-1.49
-10.98

Number of obs =
Pseudo R2

P>|t|

Coef.

dumfcf1gmm
fcfdumfcf2
fcfdumfcf1
_cons

.0179239
.0122361
-.0070245
.0131383

Std. Err.
.003872
.0199774
.0090862
.0025783

t
4.63
0.61
-0.77
5.10

0.624
0.014
0.137
0.000

-.0226949
.0203219
-.0986721
-.1152454

iu_newgmm

Coef.

dumfcf1gmm
fcfdumfcf2
fcfdumfcf1
_cons

.0001177
.0783558
-.0161087
-.0511016

Std. Err.
.0071172
.0283582
.015813
.003728

t
0.02
2.76
-1.02
-13.71

Pseudo R2

P>|t|

Coef.

dumfcf1gmm
fcfdumfcf2
fcfdumfcf1
_cons

.0350945
-.0756801
.0255687
.030008

Std. Err.
.0120473
.104503
.013256
.0106823

t
2.91
-0.72
1.93
2.81

.0103178
-.0270076
-.0248735
.0080736

Coef.

dumfcf1gmm
fcfdumfcf2
fcfdumfcf1
_cons

-.0022171
.047938
.0017771
-.0164347

Std. Err.
.0045235
.0142162
.0150927
.0025281

t
-0.49
3.37
0.12
-6.50

0.0273

.0255301
.0514798
.0108246
.018203

Number of obs =
Pseudo R2

P>|t|

=

583
0.0188

[95% Conf. Interval]

0.987
0.006
0.309
0.000

-.0138609
.0226583
-.0471666
-.0584237

.0140963
.1340532
.0149492
-.0437795

Number of obs =
Pseudo R2

P>|t|
0.004
0.469
0.054
0.005

.8 Quantile regression, bootstrap(20) SEs
Raw sum of deviations 13.63383 (about -.02037524)
Min sum of deviations 13.50426

iu_newgmm

=

539

[95% Conf. Interval]

0.000
0.540
0.440
0.000

Median regression, bootstrap(20) SEs
Raw sum of deviations 27.7859 (about .05887869)
Min sum of deviations 26.64617

iu_newgmm

.0378093
.1827131
.0135367
-.08027

Number of obs =

Median regression, bootstrap(20) SEs
Raw sum of deviations 24.13821 (about -.05921388)
Min sum of deviations 23.68363

0.0164

[95% Conf. Interval]

.2 Quantile regression, bootstrap(20) SEs
Raw sum of deviations 14.8826 (about .021077)
Min sum of deviations 14.47579

iu_newgmm

=

583

P>|t|
0.624
0.001
0.906
0.000

=

539
0.0410

[95% Conf. Interval]
.0114288
-.2809667
-.0004715
.0090236

.0587603
.1296064
.051609
.0509925

Number of obs =
Pseudo R2

=

583
0.0095

[95% Conf. Interval]
-.0111016
.0200164
-.0278659
-.0214

.0066674
.0758597
.0314201
-.0114693

.8 Quantile regression, bootstrap(20) SEs
Raw sum of deviations 23.98653 (about .12934193)
Min sum of deviations 22.4364

iu_newgmm

Coef.

dumfcf1gmm
fcfdumfcf2
fcfdumfcf1
_cons

.0459967
-.1621709
.1146697
.0622961

Std. Err.

t

.0157112
.1560605
.0362031
.0116045

Number of obs =
Pseudo R2

P>|t|

2.93
-1.04
3.17
5.37

539

=

0.0646

[95% Conf. Interval]

0.004
0.299
0.002
0.000

.0151336
-.4687375
.043552
.0395001

.0768598
.1443956
.1857874
.0850922

Fixed-effects (within) regression
Group variable: firm

Number of obs
Number of groups

=
=

583
142

R-sq:

Obs per group: min =
avg =
max =

1
4.1
6

within = 0.0304
between = 0.0350
overall = 0.0336

corr(u_i, Xb)

F(3,438)
Prob > F

= 0.0572

=
=

iu_newgmm

Coef.

dumfcf1gmm
fcfdumfcf2
fcfdumfcf1
_cons

-.0000754
.0688651
-.012264
-.0627972

.0063617
.0219574
.0115331
.0043874

sigma_u
sigma_e
rho

.04381514
.04530353
.48330345

(fraction of variance due to u_i)

F test that all u_i=0:

Std. Err.

t

P>|t|

-0.01
3.14
-1.06
-14.31

F(141, 438) =

0.991
0.002
0.288
0.000

[95% Conf. Interval]
-.0125786
.0257101
-.0349311
-.0714202

3.28

. xtreg iu_newgmm dumfcf1gmm fcfdumfcf2 fcfdumfcf1 if

4.58
0.0036

.0124277
.1120202
.0104031
-.0541742

Prob > F = 0.0000

iu_newgmm>0, fe

Fixed-effects (within) regression
Group variable: firm

Number of obs
Number of groups

=
=

539
149

R-sq:

Obs per group: min =
avg =
max =

1
3.6
6

within = 0.0037
between = 0.1398
overall = 0.0517

corr(u_i, Xb)

F(3,387)
Prob > F

= 0.2320

iu_newgmm

Coef.

dumfcf1gmm
fcfdumfcf2
fcfdumfcf1
_cons

.0056157
-.0199572
.0117018
.0720719

.010382
.0506594
.013824
.0088633

sigma_u
sigma_e
rho

.05012381
.05745714
.43214962

(fraction of variance due to u_i)

F test that all u_i=0:

Std. Err.

F(148, 387) =

t
0.54
-0.39
0.85
8.13

P>|t|

=
=

0.589
0.694
0.398
0.000

2.42

0.48
0.6959

[95% Conf. Interval]
-.0147966
-.1195594
-.0154778
.0546456

.0260279
.079645
.0388814
.0894982

Prob > F = 0.0000

Dynamic panel-data estimation, one-step system GMM
Group variable: firm
Time variable : year
Number of instruments = 22
Wald chi2(3) =
11.94
Prob > chi2
=
0.008

iu_newgmm

Coef.

dumfcf1gmm
fcfdumfcf2
fcfdumfcf1
_cons

-.026328
.5672386
-.2236307
.1483256

Number of obs
Number of groups
Obs per group: min
avg
max
Robust
Std. Err.
.039227
.1938719
.097912
.0364369

z
-0.67
2.93
-2.28
4.07

P>|z|

=
=
=
=
=

476
122
1
3.90
6

[95% Conf. Interval]

0.502
0.003
0.022
0.000

-.1032115
.1872567
-.4155346
.0769105

.0505556
.9472206
-.0317267
.2197406

Instruments for first differences equation
Standard
D.fcfdumfcf2
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/6).dumfcf1gmm
Instruments for levels equation
Standard
fcfdumfcf2
_cons
Arellano-Bond test for AR(1) in first differences: z =
Arellano-Bond test for AR(2) in first differences: z =

-3.08
1.63

Sargan test of overid. restrictions: chi2(18)
= 28.13
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(18)
= 19.09

Pr > z =
Pr > z =

0.002
0.104

Prob > chi2 =

0.060

Prob > chi2 =

0.386

Dynamic panel-data estimation, one-step system GMM
Group variable: firm
Time variable : year
Number of instruments = 22
Wald chi2(3) =
13.51
Prob > chi2
=
0.004

iu_newgmm

Coef.

dumfcf1gmm
fcfdumfcf2
fcfdumfcf1
_cons

-.0114312
-.0285998
.2403286
-.0671403

Number of obs
Number of groups
Obs per group: min
avg
max
Robust
Std. Err.
.0237087
.0445433
.1060967
.0101753

z
-0.48
-0.64
2.27
-6.60

P>|z|
0.630
0.521
0.024
0.000

=
=
=
=
=

646
149
1
4.34
6

[95% Conf. Interval]
-.0578994
-.115903
.0323829
-.0870834

.035037
.0587034
.4482742
-.0471972

Instruments for first differences equation
Standard
D.fcfdumfcf2
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/6).dumfcf1gmm
Instruments for levels equation
Standard
fcfdumfcf2
_cons
Arellano-Bond test for AR(1) in first differences: z =
Arellano-Bond test for AR(2) in first differences: z =
Sargan test of overid. restrictions: chi2(18)
= 29.88
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(18)
= 23.27

-3.64
1.19

Pr > z =
Pr > z =

0.000
0.235

Prob > chi2 =

0.039

Prob > chi2 =

0.180

Bảng 4.6: Mô hình kiểm định tính bền vững của giả thiết về độ nhạy cảm của đầu tư
bất thường đối với dòng tiền tự do với các ma trận biến kiểm soát
Dynamic panel-data estimation, one-step system GMM
Group variable: firm
Time variable : year
Number of instruments = 37
Wald chi2(10) =
61.64
Prob > chi2
=
0.000

Number of obs
Number of groups
Obs per group: min
avg
max
Robust
Std. Err.

=
=
=
=
=

591
170
1
3.48
6

iu_new2

Coef.

iu_new2
L1.

-.1616734

.0560795

-2.88

0.004

-.2715872

-.0517597

dumfcfaip1
fcfaipdumfcfaip2
fcfaipdumfcfaip1
lcash
ltobinq
lsize
age
lroa
lleverage
_cons

-.0907195
.2321252
.2324769
-.3156086
.0254726
.0108089
-.0231307
.0590015
-.0890334
-.0831668

.0309957
.0984048
.0687658
.1368275
.0217114
.0041532
.005691
.0720971
.0356293
.0794689

-2.93
2.36
3.38
-2.31
1.17
2.60
-4.06
0.82
-2.50
-1.05

0.003
0.018
0.001
0.021
0.241
0.009
0.000
0.413
0.012
0.295

-.1514699
.0392554
.0976984
-.5837855
-.0170809
.0026687
-.0342848
-.0823062
-.1588656
-.2389229

-.0299691
.424995
.3672553
-.0474317
.0680262
.0189491
-.0119767
.2003093
-.0192013
.0725894

z

P>|z|

[95% Conf. Interval]

Instruments for first differences equation
Standard
D.(fcfaipdumfcfaip1 lroa lleverage lsize L.iu_new2)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(0/1).(lroa fcfaipdumfcfaip2)
Instruments for levels equation
Standard
fcfaipdumfcfaip1 lroa lleverage lsize L.iu_new2
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL.(lroa fcfaipdumfcfaip2)
Arellano-Bond test for AR(1) in first differences: z =
Arellano-Bond test for AR(2) in first differences: z =
Sargan test of overid. restrictions: chi2(26)
= 56.33
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(26)
= 30.65

-2.87
-0.03

Pr > z =
Pr > z =

0.004
0.978

Prob > chi2 =

0.001

Prob > chi2 =

0.241

Dynamic panel-data estimation, one-step system GMM
Group variable: firm
Time variable : year
Number of instruments = 30
Wald chi2(10) =
20.45
Prob > chi2
=
0.025

Number of obs
Number of groups
Obs per group: min
avg
max
Robust
Std. Err.

z

P>|z|

=
=
=
=
=

530
166
1
3.19
6

iu_new2

Coef.

[95% Conf. Interval]

iu_new2
L1.

.0867177

.0721386

1.20

0.229

-.0546714

.2281067

dumfcfaip1
fcfaipdumfcfaip2
fcfaipdumfcfaip1
lcash
ltobinq
lsize
age
lroa
lleverage
_cons

-.0486017
-.0739252
.1602682
.0284861
-.0408436
-.0075067
.0032661
.2760014
.0413158
.2493665

.038431
.283842
.0939012
.0578657
.0328466
.0237188
.0059497
.1257581
.0446322
.5991283

-1.26
-0.26
1.71
0.49
-1.24
-0.32
0.55
2.19
0.93
0.42

0.206
0.795
0.088
0.623
0.214
0.752
0.583
0.028
0.355
0.677

-.1239251
-.6302454
-.0237749
-.0849286
-.1052217
-.0539947
-.0083951
.0295201
-.0461618
-.9249034

.0267218
.482395
.3443112
.1419008
.0235345
.0389813
.0149273
.5224828
.1287934
1.423636

Instruments for first differences equation
Standard
D.(fcfaipdumfcfaip1 lroa lleverage lcash L.iu_new2)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(0/4).lleverage
Instruments for levels equation
Standard
fcfaipdumfcfaip1 lroa lleverage lcash L.iu_new2
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL.lleverage
Arellano-Bond test for AR(1) in first differences: z =
Arellano-Bond test for AR(2) in first differences: z =
Sargan test of overid. restrictions: chi2(19)
= 66.74
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(19)
= 29.29

-4.58
0.22

Pr > z =
Pr > z =

0.000
0.823

Prob > chi2 =

0.000

Prob > chi2 =

0.062

Bảng 4.7: Mô hình đo lường độ nhạy cảm của đầu tư dưới mức đối với dòng tiền tự
do khi sử dụng chỉ số KZ hoặc WW để đo lường mức độ hạn chế tài chính
Dynamic panel-data estimation, one-step system GMM
Group variable: firm
Time variable : year
Number of instruments = 54
Wald chi2(4) =
15.25
Prob > chi2
=
0.009

Number of obs
Number of groups
Obs per group: min
avg
max

iu_newgmm

Coef.

mediumfc3070_kz
highfc70_kz
fcflowfc30_kz
fcfmediumfc3070_kz
fcfhighfc70_kz
_cons

-.0577214
-.0441525
.0521166
.0996807
.1116843
-.0277204

Robust
Std. Err.
.0335191
.0239421
.0275722
.0537553
.0343126
.0209953

z

P>|z|

-1.72
-1.84
1.89
1.85
3.25
-1.32

0.085
0.065
0.059
0.064
0.001
0.187

=
=
=
=
=

485
138
1
3.51
5

[95% Conf. Interval]
-.1234177
-.0910781
-.001924
-.0056777
.0444328
-.0688704

.0079749
.0027731
.1061572
.2050391
.1789358
.0134296

Instruments for first differences equation
Standard
D.(L.fcflowfc30_kz highfc70_kz L.fcfmediumfc3070_kz)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(0/5).(L2.highfc70_kz fcfhighfc70_kz fcflowfc30_kz)
Instruments for levels equation
Standard
_cons
L.fcflowfc30_kz highfc70_kz L.fcfmediumfc3070_kz
Arellano-Bond test for AR(1) in first differences: z =
Arellano-Bond test for AR(2) in first differences: z =

-3.25
1.33

Sargan test of overid. restrictions: chi2(48)
= 117.40
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(48)
= 57.50

Pr > z =
Pr > z =

0.001
0.182

Prob > chi2 =

0.000

Prob > chi2 =

0.164

Dynamic panel-data estimation, one-step system GMM
Group variable: firm
Time variable : year
Number of instruments = 11
Wald chi2(3) =
13.97
Prob > chi2
=
0.003

iu_newgmm

Coef.

highfc50_kz
fcflowfc50_kz
fcfhighfc50_kz
_cons

.2480865
.0895993
.2263346
-.2059388

Number of obs
Number of groups
Obs per group: min
avg
max
Robust
Std. Err.
.1738162
.0351429
.094609
.0929187

z
1.43
2.55
2.39
-2.22

P>|z|
0.153
0.011
0.017
0.027

=
=
=
=
=

583
142
1
4.11
6

[95% Conf. Interval]
-.0925869
.0207205
.0409045
-.388056

.5887599
.1584781
.4117647
-.0238215

Instruments for first differences equation
Standard
D.fcflowfc50_kz
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(3/6).(L2.highfc70_kz fcfhighfc50_kz)
Instruments for levels equation
Standard
fcflowfc50_kz
_cons
Arellano-Bond test for AR(1) in first differences: z =
Arellano-Bond test for AR(2) in first differences: z =

Pr > z =
Pr > z =

0.077
0.166

Prob > chi2 =

0.927

Prob > chi2 =

0.875

Difference-in-Hansen tests of exogeneity of instrument subsets:
iv(fcflowfc50_kz)
Hansen test excluding group:
chi2(6)
=
2.62 Prob > chi2 =
Difference (null H = exogenous): chi2(1)
=
0.49 Prob > chi2 =

0.855
0.482

Sargan test of
(Not robust,
Hansen test of
(Robust, but

overid. restrictions: chi2(7)
=
2.50
but not weakened by many instruments.)
overid. restrictions: chi2(7)
=
3.11
weakened by many instruments.)

-1.77
1.38

Dynamic panel-data estimation, one-step system GMM
Group variable: firm
Time variable : year
Number of instruments = 33
Wald chi2(4) =
29.08
Prob > chi2
=
0.000

Number of obs
Number of groups
Obs per group: min
avg
max

iu_newgmm

Coef.

mediumfc3070_ww
highfc70_ww
fcflowfc30_ww
fcfmediumfc3070_ww
fcfhighfc70_ww
_cons

.1068058
.1272066
.1345457
.230969
.3804933
-.1713339

Robust
Std. Err.
.0506148
.0697767
.0369556
.0770404
.1699239
.0513113

z

P>|z|

2.11
1.82
3.64
3.00
2.24
-3.34

=
=
=
=
=

583
142
1
4.11
6

[95% Conf. Interval]

0.035
0.068
0.000
0.003
0.025
0.001

.0076026
-.0095533
.062114
.0799725
.0474487
-.2719021

.2060091
.2639665
.2069775
.3819655
.713538
-.0707657

Instruments for first differences equation
Standard
D.(fcflowfc30_ww mediumfc3070_ww)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/.).(L2.highfc70_ww mediumfc3070_ww)
Instruments for levels equation
Standard
_cons
fcflowfc30_ww mediumfc3070_ww
Arellano-Bond test for AR(1) in first differences: z =
Arellano-Bond test for AR(2) in first differences: z =

-2.46
0.81

Sargan test of overid. restrictions: chi2(27)
= 57.42
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(27)
= 33.66

Pr > z =
Pr > z =

0.014
0.417

Prob > chi2 =

0.001

Prob > chi2 =

0.176

Dynamic panel-data estimation, one-step system GMM
Group variable: firm
Time variable : year
Number of instruments = 12
Wald chi2(3) =
24.51
Prob > chi2
=
0.000

iu_newgmm

Coef.

highfc50_ww
fcflowfc50_ww
fcfhighfc50_ww
_cons

-.0595651
.0425088
.2208511
-.0242554

Number of obs
Number of groups
Obs per group: min
avg
max
Robust
Std. Err.
.0218665
.0230616
.1068199
.0132452

z
-2.72
1.84
2.07
-1.83

P>|z|
0.006
0.065
0.039
0.067

=
=
=
=
=

391
134
0
2.92
4

[95% Conf. Interval]
-.1024226
-.0026912
.0114879
-.0502155

-.0167075
.0877087
.4302143
.0017048

Instruments for first differences equation
Standard
D.(L2.fcfhighfc50_ww fcflowfc50_ww)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(3/6).fcflowfc50_ww
Instruments for levels equation
Standard
L2.fcfhighfc50_ww fcflowfc50_ww
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL2.fcflowfc50_ww
Arellano-Bond test for AR(1) in first differences: z =
Arellano-Bond test for AR(2) in first differences: z =
Sargan test of overid. restrictions: chi2(8)
=
8.42
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(8)
=
9.89

-3.18
1.09

Pr > z =
Pr > z =

0.001
0.274

Prob > chi2 =

0.394

Prob > chi2 =

0.273

Bảng 4.8: Mô hình đo lường độ nhạy cảm của đầu tư dưới mức đối với dòng tiền tự
do khi chia nhóm các công ty đầu tư dưới mức dựa vào quy mô và tuổi
Dynamic panel-data estimation, two-step system GMM
Group variable: firm
Time variable : year
Number of instruments = 38
Wald chi2(5) =
70.55
Prob > chi2
=
0.000

Number of obs
Number of groups
Obs per group: min
avg
max

iu_newgmm

Coef.

lowfc30_size
mediumfc3070_size
fcflowfc30_size
fcfmediumfc3070_size
fcfhighfc70_size
_cons

-.0393454
-.0229122
.0714302
.029461
.1230164
-.0381497

Std. Err.
.0427398
.0243153
.0341524
.0050869
.0285708
.0284122

z

P>|z|

-0.92
-0.94
2.09
5.79
4.31
-1.34

=
=
=
=
=

391
134
0
2.92
4

[95% Conf. Interval]

0.357
0.346
0.036
0.000
0.000
0.179

-.1231139
-.0705694
.0044927
.0194909
.0670187
-.0938366

.0444231
.024745
.1383678
.0394312
.1790142
.0175371

Warning: Uncorrected two-step standard errors are unreliable.
Instruments for first differences equation
Standard
D.(L.fcfmediumfc3070_size L2.fcflowfc30_size)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/6).(mediumfc3070_size fcfmediumfc3070_size)
Instruments for levels equation
Standard
L.fcfmediumfc3070_size L2.fcflowfc30_size
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
D.(mediumfc3070_size fcfmediumfc3070_size)
Arellano-Bond test for AR(1) in first differences: z =
Arellano-Bond test for AR(2) in first differences: z =

-3.10
1.42

Sargan test of overid. restrictions: chi2(32)
= 56.56
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(32)
= 44.69

Pr > z =
Pr > z =

0.002
0.155

Prob > chi2 =

0.005

Prob > chi2 =

0.067

Dynamic panel-data estimation, one-step system GMM
Group variable: firm
Time variable : year
Number of instruments = 25
Wald chi2(2) =
22.34
Prob > chi2
=
0.000

iu_newgmm

Coef.

highfc50_size
fcflowfc50_size
fcfhighfc50_size
_cons

-.0218251
.0573468
.0969652
-.056477

Number of obs
Number of groups
Obs per group: min
avg
max
Robust
Std. Err.
.0737354
.0188266
.0398415
.0255376

z
-0.30
3.05
2.43
-2.21

P>|z|

=
=
=
=
=

391
134
1
2.92
4

[95% Conf. Interval]

0.767
0.002
0.015
0.027

-.1663439
.0204472
.0188773
-.1065297

.1226937
.0942463
.1750532
-.0064243

Instruments for first differences equation
Standard
D.L2.fcflowfc50_size
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(0/4).(L2.fcfhighfc50_size fcflowfc50_size)
Instruments for levels equation
Standard
_cons
L2.fcflowfc50_size
Arellano-Bond test for AR(1) in first differences: z =
Arellano-Bond test for AR(2) in first differences: z =
Sargan test of overid. restrictions: chi2(21)
= 39.35
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(21)
= 22.75

-3.02
1.39

Pr > z =
Pr > z =

0.003
0.164

Prob > chi2 =

0.009

Prob > chi2 =

0.357

Dynamic panel-data estimation, one-step system GMM
Group variable: firm
Time variable : year
Number of instruments = 22
Wald chi2(5) =
17.43
Prob > chi2
=
0.004

Number of obs
Number of groups
Obs per group: min
avg
max

iu_newgmm

Coef.

lowfc30_age
mediumfc3070_age
fcflowfc30_age
fcfmediumfc3070_age
fcfhighfc70_age
_cons

.0329428
-.0142236
.0720739
.0827974
.0172621
-.0635511

Robust
Std. Err.
.0744548
.0260827
.0359463
.0422607
.0135252
.0138257

z

P>|z|

0.44
-0.55
2.01
1.96
1.28
-4.60

0.658
0.586
0.045
0.050
0.202
0.000

=
=
=
=
=

485
138
0
3.51
5

[95% Conf. Interval]
-.1129859
-.0653447
.0016204
-.000032
-.0092469
-.090649

.1788714
.0368975
.1425274
.1656267
.043771
-.0364533

Instruments for first differences equation
Standard
D.(L.fcfhighfc70_age D.fcfhighfc70_age D.fcflowfc30_age L.lowfc30_age
L.fcfmediumfc3070_age)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(0/1).(fcfhighfc70_age fcflowfc30_age fcfmediumfc3070_age)
Instruments for levels equation
Standard
L.fcfhighfc70_age D.fcfhighfc70_age D.fcflowfc30_age L.lowfc30_age
L.fcfmediumfc3070_age
_cons
Arellano-Bond test for AR(1) in first differences: z =
Arellano-Bond test for AR(2) in first differences: z =

-3.04
1.50

Sargan test of overid. restrictions: chi2(16)
= 30.87
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(16)
= 16.83

Pr > z =
Pr > z =

0.002
0.133

Prob > chi2 =

0.014

Prob > chi2 =

0.397

Dynamic panel-data estimation, one-step system GMM
Group variable: firm
Time variable : year
Number of instruments = 28
Wald chi2(3) =
14.50
Prob > chi2
=
0.002

iu_newgmm

Coef.

highfc50_age
fcflowfc50_age
fcfhighfc50_age
_cons

.0159273
.0718549
.0796035
-.0771225

Number of obs
Number of groups
Obs per group: min
avg
max
Robust
Std. Err.
.0133815
.0340856
.0248043
.0068372

z
1.19
2.11
3.21
-11.28

P>|z|
0.234
0.035
0.001
0.000

=
=
=
=
=

583
142
1
4.11
6

[95% Conf. Interval]
-.0103
.0050484
.0309879
-.0905232

.0421546
.1386613
.1282191
-.0637218

Instruments for first differences equation
Standard
D.L.highfc50_age
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(0/1).(fcflowfc50_age fcfhighfc50_age)
Instruments for levels equation
Standard
L.highfc50_age
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL.(fcflowfc50_age fcfhighfc50_age)
Arellano-Bond test for AR(1) in first differences: z =
Arellano-Bond test for AR(2) in first differences: z =
Sargan test of overid. restrictions: chi2(24)
= 41.12
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(24)
= 24.55

-3.24
1.90

Pr > z =
Pr > z =

0.001
0.057

Prob > chi2 =

0.016

Prob > chi2 =

0.431