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PHỤ LỤC 07KẾT QUẢ HỒI QUY THEO POOLED OLS & REM

PHỤ LỤC 07KẾT QUẢ HỒI QUY THEO POOLED OLS & REM

Tải bản đầy đủ

Mô hình 3.1 _ REM
. xtreg tobinq bod_size bod_ind fam_own fam_own2 size firm_age roa cap_exp lever, re
Random-effects GLS regression
Group variable: com

Number of obs
Number of groups

=
=

309
103

R-sq:

Obs per group: min =
avg =
max =

3
3.0
3

within = 0.0685
between = 0.3437
overall = 0.3101

corr(u_i, X)

Wald chi2(9)
Prob > chi2

= 0 (assumed)

tobinq

Coef.

bod_size
bod_ind
fam_own
fam_own2
size
firm_age
roa
cap_exp
lever
_cons

.0217545
.1627826
-.0047344
.0000519
-.0194514
.1872263
1.646706
.3303615
.2909785
.2983281

.0178589
.0934285
.0053853
.000082
.0294167
.0625328
.2767072
.2345152
.2055337
.8272338

sigma_u
sigma_e
rho

.31573585
.15680448
.80215414

(fraction of variance due to u_i)

Std. Err.

z
1.22
1.74
-0.88
0.63
-0.66
2.99
5.95
1.41
1.42
0.36

P>|z|

=
=

57.74
0.0000

[95% Conf. Interval]

0.223
0.081
0.379
0.527
0.508
0.003
0.000
0.159
0.157
0.718

-.0132482
-.0203339
-.0152894
-.0001088
-.077107
.0646643
1.10437
-.1292799
-.1118601
-1.32302

.0567573
.3458992
.0058206
.0002127
.0382041
.3097882
2.189043
.7900029
.6938171
1.919676

Mô hình 3.1 _ Kiểm định LM (Breusch-Pagan Lagrange Multiplier)
. xttest0
Breusch and Pagan Lagrangian multiplier test for random effects
tobinq[com,t] = Xb + u[com] + e[com,t]
Estimated results:
Var
tobinq
e
u
Test:

sd = sqrt(Var)

.1989554
.0245876
.0996891

.4460442
.1568045
.3157358

Var(u) = 0
chibar2(01) =
Prob > chibar2 =

155.17
0.0000

7.2 Kết quả hồi quy mô hình 3.2
FVit

=

β0

+ β1 WEDGE_DUMMYit + β2 BOD_SIZEit
+ β3 BOD_INDit + β4 FAM_OWNit + β5 FAM_OWN 2 it
+ β6 SIZEit + β7 FIRM_AGEit + β8 ROAit
+ β9 CAP_EXPit + β10 LEVERit + εit

Mô hình 3.2 _ Pooled OLS
. regress tobinq wedge bod_size bod_ind fam_own fam_own2 size firm_age roa cap_exp lever
Source

SS

df

MS

Model
Residual

24.8653029
36.412965

10
298

2.48653029
.122191158

Total

61.2782679

308

.198955415

tobinq

Coef.

wedge
bod_size
bod_ind
fam_own
fam_own2
size
firm_age
roa
cap_exp
lever
_cons

.1631724
.0335045
.1002607
-.0049508
.0000636
-.0710879
.0980584
3.189863
.1978885
.5657231
1.803324

Std. Err.
.0489451
.0157397
.083979
.0037452
.0000616
.0190845
.0381487
.2795367
.3375834
.162256
.5302863

t
3.33
2.13
1.19
-1.32
1.03
-3.72
2.57
11.41
0.59
3.49
3.40

Number of obs
F( 10,
298)
Prob > F
R-squared
Adj R-squared
Root MSE

P>|t|
0.001
0.034
0.233
0.187
0.302
0.000
0.011
0.000
0.558
0.001
0.001

=
=
=
=
=
=

309
20.35
0.0000
0.4058
0.3858
.34956

[95% Conf. Interval]
.0668505
.0025295
-.0650063
-.0123211
-.0000576
-.1086454
.0229834
2.639747
-.466461
.2464104
.7597438

.2594943
.0644795
.2655276
.0024196
.0001849
-.0335304
.1731334
3.739979
.862238
.8850359
2.846905

Mô hình 3.2 _ REM
. xtreg tobinq wedge bod_size bod_ind fam_own fam_own2 size firm_age roa cap_exp lever, re
Random-effects GLS regression
Group variable: com

Number of obs
Number of groups

=
=

309
103

R-sq:

Obs per group: min =
avg =
max =

3
3.0
3

within = 0.0689
between = 0.3703
overall = 0.3340

corr(u_i, X)

Wald chi2(10)
Prob > chi2

= 0 (assumed)

tobinq

Coef.

Std. Err.

z

wedge
bod_size
bod_ind
fam_own
fam_own2
size
firm_age
roa
cap_exp
lever
_cons

.1621278
.0222599
.1743947
-.003763
.0000444
-.0288077
.2013701
1.672727
.3339523
.3073231
.4592213

.0839587
.017761
.0931535
.0053536
.0000814
.0293404
.0622891
.2757047
.2344612
.2040805
.8189561

sigma_u
sigma_e
rho

.30953413
.15680448
.79578203

(fraction of variance due to u_i)

1.93
1.25
1.87
-0.70
0.55
-0.98
3.23
6.07
1.42
1.51
0.56

P>|z|

=
=

63.02
0.0000

[95% Conf. Interval]

0.053
0.210
0.061
0.482
0.586
0.326
0.001
0.000
0.154
0.132
0.575

-.0024282
-.0125511
-.0081829
-.0142558
-.0001152
-.0863138
.0792856
1.132355
-.1255832
-.0926674
-1.145903

.3266838
.0570709
.3569722
.0067299
.000204
.0286984
.3234545
2.213098
.7934878
.7073135
2.064346

Mô hình 3.2 _ Kiểm định LM (Breusch-Pagan Lagrange Multiplier)
. xttest0
Breusch and Pagan Lagrangian multiplier test for random effects
tobinq[com,t] = Xb + u[com] + e[com,t]
Estimated results:
Var
tobinq
e
u
Test:

sd = sqrt(Var)

.1989554
.0245876
.0958114

.4460442
.1568045
.3095341

Var(u) = 0
chibar2(01) =
Prob > chibar2 =

150.06
0.0000

7.3 Kết quả hồi quy mô hình 3.3
FVit

=

β0

+ β1 CGIit + β2 BOD_SIZEit
+ β3 BOD_INDit + β4 FAM_OWNit + β5 FAM_OWN 2 it
+ β6 SIZEit + β7 FIRM_AGEit + β8 ROAit
+ β9 CAP_EXPit + β10 LEVERit + εit

Mô hình 3.3 _ Pooled OLS
. regress tobinq cgi bod_size bod_ind fam_own fam_own2 size firm_age roa cap_exp lever
Source

SS

df

MS

Model
Residual

23.7213438
37.556924

10
298

2.37213438
.126029946

Total

61.2782679

308

.198955415

tobinq

Coef.

cgi
bod_size
bod_ind
fam_own
fam_own2
size
firm_age
roa
cap_exp
lever
_cons

.0057706
.0292114
.0837693
-.0060263
.0000682
-.0653927
.0751856
3.038504
.2816509
.5326552
1.541164

Std. Err.
.0044275
.0163934
.0855147
.0037871
.0000627
.0194268
.0385037
.2995628
.3448961
.1644502
.5419554

t
1.30
1.78
0.98
-1.59
1.09
-3.37
1.95
10.14
0.82
3.24
2.84

Number of obs
F( 10,
298)
Prob > F
R-squared
Adj R-squared
Root MSE

P>|t|
0.193
0.076
0.328
0.113
0.278
0.001
0.052
0.000
0.415
0.001
0.005

=
=
=
=
=
=

309
18.82
0.0000
0.3871
0.3665
.35501

[95% Conf. Interval]
-.0029426
-.0030501
-.0845199
-.0134792
-.0000552
-.1036239
-.000588
2.448978
-.3970896
.2090243
.4746191

.0144838
.0614729
.2520584
.0014267
.0001916
-.0271615
.1509593
3.628031
.9603913
.856286
2.607709

Mô hình 3.3 _ REM
. xtreg tobinq cgi bod_size bod_ind fam_own fam_own2 size firm_age roa cap_exp lever, re

R-sq:

within = 0.1016
between = 0.3612
overall = 0.3301

corr(u_i, X)

=
=

309
103

Obs per group: min =
avg =
max =

3
3.0
3

=
=

70.67
0.0000

Number of obs
Number of groups

Random-effects GLS regression
Group variable: com

Wald chi2(10)
Prob > chi2

= 0 (assumed)

Std. Err.

z

P>|z|

[95% Conf. Interval]

tobinq

Coef.

cgi
bod_size
bod_ind
fam_own
fam_own2
size
firm_age
roa
cap_exp
lever
_cons

.0135082
.0085129
.1743875
-.0044635
.0000441
-.038553
.1492033
1.555749
.3634651
.3647822
.4010488

.0040442
.0180044
.0919578
.0053033
.0000808
.0295464
.0626889
.2733352
.2306667
.2034643
.8154483

sigma_u
sigma_e
rho

.3175324
.15712812
.80329813

(fraction of variance due to u_i)

3.34
0.47
1.90
-0.84
0.55
-1.30
2.38
5.69
1.58
1.79
0.49

0.001
0.636
0.058
0.400
0.585
0.192
0.017
0.000
0.115
0.073
0.623

.0055818
-.0267751
-.0058464
-.0148577
-.0001142
-.0964628
.0263354
1.020022
-.0886334
-.0340005
-1.1972

.0214347
.043801
.3546214
.0059308
.0002023
.0193569
.2720713
2.091476
.8155635
.763565
1.999298

Mô hình 3.3 _ Kiểm định LM (Breusch-Pagan Lagrange Multiplier)
. xttest0
Breusch and Pagan Lagrangian multiplier test for random effects
tobinq[com,t] = Xb + u[com] + e[com,t]
Estimated results:
Var
tobinq
e
u
Test:

sd = sqrt(Var)

.1989554
.0246892
.1008268

.4460442
.1571281
.3175324

Var(u) = 0
chibar2(01) =
Prob > chibar2 =

160.55
0.0000

7.4 Kết quả hồi quy mô hình 3.4
FVit

=

β0

+ β1 CGIit + β2 WEDGE_DUMMYit + β3 BOD_SIZEit
+ β4 BOD_INDit + β5 FAM_OWNit + β6 FAM_OWN 2 it
+ β7 SIZEit + β8 FIRM_AGEit + β9 ROAit
+ β10 CAP_EXPit + β11 LEVERit + εit

Mô hình 3.4 _ Pooled OLS
. regress tobinq cgi
Source

wedge bod_size bod_ind fam_own fam_own2 size firm_age roa cap_exp lever
SS

df

MS

Model
Residual

25.3161498
35.9621181

11
297

2.30146816
.121084573

Total

61.2782679

308

.198955415

tobinq

Coef.

cgi
wedge
bod_size
bod_ind
fam_own
fam_own2
size
firm_age
roa
cap_exp
lever
_cons

.0084988
.1794582
.0264747
.125269
-.0044107
.0000517
-.0784809
.0931036
3.008308
.2692271
.5716106
1.669784

Std. Err.
.0044044
.0494486
.0160862
.0845965
.0037387
.0000616
.0193804
.0380623
.2937444
.3380789
.1615484
.5323969

t
1.93
3.63
1.65
1.48
-1.18
0.84
-4.05
2.45
10.24
0.80
3.54
3.14

Number of obs
F( 11,
297)
Prob > F
R-squared
Adj R-squared
Root MSE

P>|t|
0.055
0.000
0.101
0.140
0.239
0.402
0.000
0.015
0.000
0.426
0.000
0.002

=
=
=
=
=
=

309
19.01
0.0000
0.4131
0.3914
.34797

[95% Conf. Interval]
-.000169
.0821442
-.0051827
-.0412155
-.0117683
-.0000696
-.1166212
.0181976
2.430223
-.3961066
.2536859
.6220354

.0171667
.2767723
.0581321
.2917535
.002947
.000173
-.0403407
.1680096
3.586392
.9345607
.8895353
2.717532

Mô hình 3.4 _ REM
. xtreg tobinq cgi

wedge bod_size bod_ind fam_own fam_own2 size firm_age roa cap_exp lever, re

Random-effects GLS regression
Group variable: com

Number of obs
Number of groups

=
=

309
103

R-sq:

Obs per group: min =
avg =
max =

3
3.0
3

within = 0.1030
between = 0.3978
overall = 0.3625

corr(u_i, X)

Wald chi2(11)
Prob > chi2

= 0 (assumed)

tobinq

Coef.

Std. Err.

z

P>|z|

cgi
wedge
bod_size
bod_ind
fam_own
fam_own2
size
firm_age
roa
cap_exp
lever
_cons

.0143286
.1883586
.0083009
.1890148
-.0032884
.0000343
-.0501439
.1646827
1.575428
.3701159
.3866825
.5780212

.0040365
.0828419
.0178636
.0914947
.0052592
.00008
.0294509
.0620897
.2717669
.2301164
.2015722
.8052065

sigma_u
sigma_e
rho

.31105198
.15712812
.79670025

(fraction of variance due to u_i)

3.55
2.27
0.46
2.07
-0.63
0.43
-1.70
2.65
5.80
1.61
1.92
0.72

0.000
0.023
0.642
0.039
0.532
0.668
0.089
0.008
0.000
0.108
0.055
0.473

=
=

77.91
0.0000

[95% Conf. Interval]
.0064171
.0259914
-.0267111
.0096886
-.0135962
-.0001225
-.1078667
.0429891
1.042774
-.0809041
-.0083917
-1.000154

.02224
.3507258
.0433129
.3683411
.0070194
.000191
.0075789
.2863764
2.108081
.8211358
.7817568
2.156197

Mô hình 3.4 _ Kiểm định LM (Breusch-Pagan Lagrange Multiplier)
Breusch and Pagan Lagrangian multiplier test for random effects
tobinq[com,t] = Xb + u[com] + e[com,t]
Estimated results:
Var
tobinq
e
u
Test:

sd = sqrt(Var)

.1989554
.0246892
.0967533

.4460442
.1571281
.311052

Var(u) = 0
chibar2(01) =
Prob > chibar2 =

157.06
0.0000

PHỤ LỤC 08

KẾT QUẢ HỒI QUY THEO PHƯƠNG PHÁP 2SLS
8.1. Kết quả hồi quy mô hình 3.1 với mẫu toàn bộ
Two-stage least-squares regression
Equation

Obs

Parms

RMSE

"R-sq"

F-Stat

P

tobinq
cgi

309
309

12
11

.3878345
4.549678

0.2734
0.2258

14.39
7.88

0.0000
0.0000

Coef.

Std. Err.

t

P>|t|

[95% Conf. Interval]

tobinq
cgi
wedge
tobinq_a
bod_size
bod_ind
fam_own
fam_own2
size
firm_age
roa
cap_exp
lever
_cons

.0459533
.2478447
-.0685375
-.0056999
.2297823
-.0021783
-2.90e-06
-.102274
.0698845
2.445325
.5757229
.5705241
.9127384

.0169692
.0627278
.0653334
.0227101
.1048446
.0042814
.0000727
.0252947
.0436037
.4633386
.3997427
.1815868
.6903057

2.71
3.95
-1.05
-0.25
2.19
-0.51
-0.04
-4.04
1.60
5.28
1.44
3.14
1.32

0.007
0.000
0.295
0.802
0.029
0.611
0.968
0.000
0.110
0.000
0.150
0.002
0.187

.0126263
.124649
-.1968506
-.050302
.0238704
-.0105869
-.0001456
-.1519521
-.0157521
1.535341
-.2093608
.2138926
-.4430031

.0792803
.3710404
.0597755
.0389021
.4356942
.0062302
.0001398
-.052596
.155521
3.35531
1.360807
.9271556
2.26848

wedge
tobinq_a
bod_size
bod_ind
fam_own
fam_own2
size
firm_age
roa
cap_exp
lever
_cons

-1.841963
1.503824
.8533515
-2.817522
-.0603049
.0014482
.6770631
.6133486
16.15927
-8.220716
-.099599
19.41064

.6379977
.7055437
.2052285
1.094601
.0487693
.0008021
.2643556
.4967288
4.381358
4.394568
2.130098
7.116646

-2.89
2.13
4.16
-2.57
-1.24
1.81
2.56
1.23
3.69
-1.87
-0.05
2.73

0.004
0.033
0.000
0.010
0.217
0.072
0.011
0.217
0.000
0.062
0.963
0.007

-3.094972
.1181551
.4502884
-4.967288
-.1560865
-.0001272
.1578761
-.362213
7.554401
-16.85153
-4.283054
5.433743

-.5889526
2.889492
1.256415
-.6677552
.0354767
.0030235
1.19625
1.58891
24.76413
.4100939
4.083856
33.38754

cgi

Endogenous variables: tobinq cgi
Exogenous variables:
2013.year 2014.year wedge tobinq_a bod_size bod_ind
fam_own fam_own2 size firm_age roa cap_exp lever

8.2. Kết quả hồi quy mô hình 3.1 với nhóm không tồn tại cấu trúc kim tự tháp
Two-stage least-squares regression
Equation

Obs

Parms

RMSE

"R-sq"

F-Stat

P

tobinq
cgi

237
237

11
10

.333335
4.595484

0.3107
0.2426

12.65
7.24

0.0000
0.0000

Coef.

Std. Err.

t

P>|t|

[95% Conf. Interval]

tobinq
cgi
tobinq_a
bod_size
bod_ind
fam_own
fam_own2
size
firm_age
roa
cap_exp
lever
_cons

.0369739
-.129635
.0097262
.0504764
-.0017427
-.0000123
-.0874711
.0719581
2.577916
.3004811
.566911
.9825726

.0164532
.0591756
.0192804
.0988769
.00432
.0000704
.0307839
.0417938
.4410487
.4551862
.1783894
.618815

2.25
-2.19
0.50
0.51
-0.40
-0.18
-2.84
1.72
5.84
0.66
3.18
1.59

0.025
0.029
0.614
0.610
0.687
0.861
0.005
0.086
0.000
0.510
0.002
0.113

.0046393
-.2459291
-.0281643
-.1438402
-.0102325
-.0001506
-.1479688
-.0101766
1.711151
-.5940681
.2163333
-.2335461

.0693084
-.0133409
.0476167
.244793
.0067472
.0001259
-.0269734
.1540927
3.444682
1.19503
.9174886
2.198691

tobinq_a
bod_size
bod_ind
fam_own
fam_own2
size
firm_age
roa
cap_exp
lever
_cons

.9701731
.601553
-1.518183
-.1068605
.0020109
1.239255
-.1560899
16.60416
-15.23806
1.641567
7.94346

.7855756
.2281106
1.318939
.0544013
.000856
.3179567
.575096
4.773552
5.237669
2.430993
8.338775

1.23
2.64
-1.15
-1.96
2.35
3.90
-0.27
3.48
-2.91
0.68
0.95

0.217
0.009
0.250
0.050
0.019
0.000
0.786
0.001
0.004
0.500
0.341

-.5736698
.1532614
-4.110212
-.213772
.0003287
.6143949
-1.28629
7.222992
-25.53133
-3.135912
-8.444218

2.514016
1.049845
1.073845
.000051
.0036931
1.864116
.9741105
25.98532
-4.944797
6.419047
24.33114

cgi

Endogenous variables: tobinq cgi
Exogenous variables:
2013.year 2014.year tobinq_a bod_size bod_ind fam_own
fam_own2 size firm_age roa cap_exp lever