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    Fem Rem

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    Phúc Võ
    The document reports the results of random-effects and fixed-effects regressions with NPL as the dependent variable and IRS, CR, LDR, and M2 as independent variables. The random-effects model shows a statistically significant relationship between CR and the dependent variable. A Hausman test was run and failed to reject the null hypothesis that the preferred model is random effects. A Breusch-Pagan test confirms that random effects are present.

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    Fem Rem

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    Phúc Võ
    13 views3 pages
    The document reports the results of random-effects and fixed-effects regressions with NPL as the dependent variable and IRS, CR, LDR, and M2 as independent variables. The random-effects model shows a statistically significant relationship between CR and the dependent variable. A Hausman test was run and failed to reject the null hypothesis that the preferred model is random effects. A Breusch-Pagan test confirms that random effects are present.

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    The document reports the results of random-effects and fixed-effects regressions with NPL as the dependent variable and IRS, CR, LDR, and M2 as independent variables. The random-effects model shows a statistically significant relationship between CR and the dependent variable. A Hausman test was run and failed to reject the null hypothesis that the preferred model is random effects. A Breusch-Pagan test confirms that random effects are present.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    13 views3 pages

    Fem Rem

    Uploaded by

    Phúc Võ
    The document reports the results of random-effects and fixed-effects regressions with NPL as the dependent variable and IRS, CR, LDR, and M2 as independent variables. The random-effects model shows a statistically significant relationship between CR and the dependent variable. A Hausman test was run and failed to reject the null hypothesis that the preferred model is random effects. A Breusch-Pagan test confirms that random effects are present.

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    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    of 3

    xtreg NPL IRS CR LDR M2

    Random-effects GLS regression Number of obs = 300


    Group variable: CK Number of groups = 30

    R-sq: Obs per group:


    within = 0.0470 min = 10
    between = 0.0202 avg = 10.0
    overall = 0.0322 max = 10

    Wald chi2(4) = 10.18


    corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0375

    ------------------------------------------------------------------------------
    NPL | Coef. Std. Err. z P>|z| [95% Conf. Interval]
    -------------+----------------------------------------------------------------
    IRS | 3.68e-06 6.98e-06 0.53 0.598 -1.00e-05 .0000174
    CR | .0575763 .0188254 3.06 0.002 .0206791 .0944735
    LDR | .0009845 .0016224 0.61 0.544 -.0021954 .0041644
    M2 | 3.36e-08 5.22e-08 0.64 0.519 -6.86e-08 1.36e-07
    _cons | -.0432416 .0208287 -2.08 0.038 -.0840651 -.0024182
    -------------+----------------------------------------------------------------
    sigma_u | .00432723
    sigma_e | .01717053
    rho | .05971876 (fraction of variance due to u_i)
    ------------------------------------------------------------------------------

    Model fem
    Fixed-effects (within) regression Number of obs = 300
    Group variable: CK Number of groups = 30

    R-sq: Obs per group:


    within = 0.0487 min = 10
    between = 0.0161 avg = 10.0
    overall = 0.0307 max = 10

    F(4,248) = 3.17
    corr(u_i, Xb) = -0.3029 Prob > F = 0.0145

    ------------------------------------------------------------------------------
    NPL | Coef. Std. Err. t P>|t| [95% Conf. Interval]
    -------------+----------------------------------------------------------------
    IRS | 1.62e-06 7.18e-06 0.23 0.821 -.0000125 .0000158
    CR | .0856299 .024526 3.49 0.001 .037324 .1339358
    LDR | .0008625 .0017087 0.50 0.614 -.0025029 .0042278
    M2 | 3.36e-08 5.76e-08 0.58 0.560 -7.99e-08 1.47e-07
    _cons | -.0739862 .0270797 -2.73 0.007 -.1273217 -.0206507
    -------------+----------------------------------------------------------------
    sigma_u | .00731684
    sigma_e | .01717053
    rho | .15367914 (fraction of variance due to u_i)
    ------------------------------------------------------------------------------
    F test that all u_i=0: F(27, 248) = 1.63 Prob > F = 0.0293

    . est sto fem

    Model rem
    Random-effects GLS regression Number of obs = 300
    Group variable: CK Number of groups = 30

    R-sq: Obs per group:


    within = 0.0470 min = 10
    between = 0.0202 avg = 10.0
    overall = 0.0322 max = 10

    Wald chi2(4) = 10.18


    corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0375

    ------------------------------------------------------------------------------
    NPL | Coef. Std. Err. z P>|z| [95% Conf. Interval]
    -------------+----------------------------------------------------------------
    IRS | 3.68e-06 6.98e-06 0.53 0.598 -1.00e-05 .0000174
    CR | .0575763 .0188254 3.06 0.002 .0206791 .0944735
    LDR | .0009845 .0016224 0.61 0.544 -.0021954 .0041644
    M2 | 3.36e-08 5.22e-08 0.64 0.519 -6.86e-08 1.36e-07
    _cons | -.0432416 .0208287 -2.08 0.038 -.0840651 -.0024182
    -------------+----------------------------------------------------------------
    sigma_u | .00432723
    sigma_e | .01717053
    rho | .05971876 (fraction of variance due to u_i)
    ------------------------------------------------------------------------------

    . est sto rem

    . hausman fem rem


    ---- Coefficients ----
    | (b) (B) (b-B) sqrt(diag(V_b-V_B))
    | fem rem Difference S.E.
    -------------+----------------------------------------------------------------
    IRS | 1.62e-06 3.68e-06 -2.05e-06 1.71e-06
    CR | .0856299 .0575763 .0280535 .0157204
    LDR | .0008625 .0009845 -.0001221 .000536
    M2 | 3.36e-08 3.36e-08 -2.82e-11 2.44e-08
    ------------------------------------------------------------------------------
    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(3) = (b-B)'[(V_b-V_B)^(-1)](b-B)
    = 4.69
    Prob>chi2 = 0.1961

    . xttest0

    Breusch and Pagan Lagrangian multiplier test for random effects

    NPL[CK,t] = Xb + u[CK] + e[CK,t]

    Estimated results:
    | Var sd = sqrt(Var)
    ---------+-----------------------------
    NPL | .0003189 .0178584
    e | .0002948 .0171705
    u | .0000187 .0043272

    Test: Var(u) = 0
    chibar2(01) = 2.79
    Prob > chibar2 = 0.0474

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