___ ____ ____ ____ ____ ©

/__ / ____/ / ____/ 17.0

___/ / /___/ / /___/ MP—Parallel Edition

Statistics and Data Science Copyright 1985-2021 StataCorp LLC

StataCorp

4905 Lakeway Drive

College Station, Texas 77845 USA

800-STATA-PC https://www.stata.com

979-696-4600 [email protected]

Stata license: Unlimited-user 64-core network perpetual

Serial number: 18461036

Licensed to: TEAM BTCR

TEAM BTCR

Notes:

1. Unicode is supported; see help unicode_advice.

2. More than 2 billion observations are allowed; see help obs_advice.

3. Maximum number of variables is set to 5,000; see help set_maxvar.

. import excel "C:\Users\LE QUOC CUONG\Desktop\aftercovid.xlsx", sheet("Sheet1") cellrange(A1:G121)

firstrow

(7 vars, 120 obs)

. encode mck, gen (mack)

. gen period = quarterly(quarter,"YQ")

. format period %tq

. xtset mack period, quarterly

Panel variable: mack (strongly balanced)

Time variable: period, 2022q1 to 2022q4

Delta: 1 quarter

. sum roa cr td tang size

Variable | Obs Mean Std. dev. Min Max

-------------+---------------------------------------------------------

roa | 120 .0472158 .0924134 -.0594 .9

cr | 120 1.218344 .6033349 .0082 3.67

td | 120 .6495525 .1604147 .3373 1.015

tang | 120 .90885 .1089983 .6413 1

size | 120 9680824 2.02e+07 77330 1.02e+08

. pwcorr cr td tang size, obs sig

| cr td tang size
-------------+------------------------------------

cr | 1.0000

| 120

td | -0.7130 1.0000

| 0.0000

| 120 120

tang | -0.0815 0.1712 1.0000

| 0.3760 0.0616

| 120 120 120

size | -0.0968 -0.2608 0.1381 1.0000

| 0.2929 0.0040 0.1326

| 120 120 120 120

. pwcorr roa cr td tang size, sig

| roa cr td tang size

-------------+---------------------------------------------

roa | 1.0000

|
 cr | 0.1076 1.0000

| 0.2420

td | -0.2287 -0.7130 1.0000

| 0.0120 0.0000

tang | -0.0336 -0.0815 0.1712 1.0000

| 0.7153 0.3760 0.0616

size | 0.1247 -0.0968 -0.2608 0.1381 1.0000

| 0.1749 0.2929 0.0040 0.1326

. reg roa cr td tang size

Source | SS df MS Number of obs = 120

-------------+---------------------------------- F(4, 115) = 1.83

Model | .0609386 4 .01523465 Prob > F = 0.1271

Residual | .9553493 115 .008307385 R-squared = 0.0600

-------------+---------------------------------- Adj R-squared = 0.0273

Total | 1.0162879 119 .008540234 Root MSE = .09114

------------------------------------------------------------------------------

roa | Coefficient Std. err. t P>|t| [95% conf. interval]

-------------+----------------------------------------------------------------
 cr | -.0135122 .0220049 -0.61 0.540 -.0570997 .0300752

td | -.1616701 .0871955 -1.85 0.066 -.3343875 .0110474

tang | .001106 .08026 0.01 0.989 -.1578735 .1600856

size | 1.95e-10 4.85e-10 0.40 0.688 -7.65e-10 1.16e-09

_cons | .1657954 .0957961 1.73 0.086 -.0239583 .3555491

------------------------------------------------------------------------------

. est sto pols

. estat vif, uncentered

Variable | VIF 1/VIF

-------------+----------------------

_cons | 132.56 0.007544

tang | 77.96 0.012828

td | 49.14 0.020350

cr | 12.91 0.077476

size | 1.70 0.589309

-------------+----------------------

Mean VIF | 54.85

. estat hettest, iid

Breusch–Pagan/Cook–Weisberg test for heteroskedasticity

Assumption: i.i.d. error terms

Variable: Fitted values of roa

H0: Constant variance

chi2(1) = 0.16

Prob > chi2 = 0.6872

. xtreg roa cr td tang size, fe

Fixed-effects (within) regression Number of obs = 120

Group variable: mack Number of groups = 30

R-squared: Obs per group:

Within = 0.0829 min = 4

Between = 0.0036 avg = 4.0

Overall = 0.0182 max = 4

F(4,86) = 1.94

corr(u_i, Xb) = -0.4359 Prob > F = 0.1105

------------------------------------------------------------------------------

roa | Coefficient Std. err. t P>|t| [95% conf. interval]

-------------+----------------------------------------------------------------

cr | -.0550019 .0321468 -1.71 0.091 -.1189077 .008904

td | -.229663 .1471156 -1.56 0.122 -.5221191 .0627931

 tang | .2093966 .143869 1.46 0.149 -.0766056 .4953988

size | 3.39e-10 1.11e-09 0.31 0.761 -1.87e-09 2.55e-09

_cons | .069811 .1720465 0.41 0.686 -.2722062 .4118282

-------------+----------------------------------------------------------------

sigma_u | .05598579

sigma_e | .09042898

rho | .27709174 (fraction of variance due to u_i)

------------------------------------------------------------------------------

F test that all u_i=0: F(29, 86) = 1.06 Prob > F = 0.4007

. est sto fem

. xtreg roa cr td tang size, re

Random-effects GLS regression Number of obs = 120

Group variable: mack Number of groups = 30

R-squared: Obs per group:

Within = 0.0227 min = 4

Between = 0.1745 avg = 4.0

Overall = 0.0600 max = 4

Wald chi2(4) = 7.34

corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.1192

------------------------------------------------------------------------------

roa | Coefficient Std. err. z P>|z| [95% conf. interval]

-------------+----------------------------------------------------------------

cr | -.0135122 .0220049 -0.61 0.539 -.0566411 .0296166

td | -.1616701 .0871955 -1.85 0.064 -.3325701 .00923

tang | .001106 .08026 0.01 0.989 -.1562006 .1584127

size | 1.95e-10 4.85e-10 0.40 0.687 -7.55e-10 1.15e-09

_cons | .1657954 .0957961 1.73 0.084 -.0219616 .3535523

-------------+----------------------------------------------------------------

sigma_u | 0

sigma_e | .09042898

rho | 0 (fraction of variance due to u_i)

------------------------------------------------------------------------------

. est sto rem

. hausman fem rem

Note: the rank of the differenced variance matrix (3) does not equal the number of coefficients being
tested

(4); be sure this is what you expect, or there may be problems computing the test. Examine the
output

of your estimators for anything unexpected and possibly consider scaling your variables so that the

coefficients are on a similar scale.

---- Coefficients ----

 | (b) (B) (b-B) sqrt(diag(V_b-V_B))

| fem rem Difference Std. err.

-------------+----------------------------------------------------------------

cr | -.0550019 -.0135122 -.0414896 .0234351

td | -.229663 -.1616701 -.0679929 .1184903

tang | .2093966 .001106 .2082905 .1194012

size | 3.39e-10 1.95e-10 1.44e-10 1.00e-09

------------------------------------------------------------------------------

b = Consistent under H0 and Ha; obtained from xtreg.

B = Inconsistent under Ha, efficient under H0; obtained from xtreg.

Test of H0: Difference in coefficients not systematic

chi2(3) = (b-B)'[(V_b-V_B)^(-1)](b-B)

= 7.48

Prob > chi2 = 0.0580

. xtreg roa cr td tang size, re

Random-effects GLS regression Number of obs = 120

Group variable: mack Number of groups = 30

R-squared: Obs per group:

Within = 0.0227 min = 4

Between = 0.1745 avg = 4.0

 Overall = 0.0600 max = 4

Wald chi2(4) = 7.34

corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.1192

------------------------------------------------------------------------------

roa | Coefficient Std. err. z P>|z| [95% conf. interval]

-------------+----------------------------------------------------------------

cr | -.0135122 .0220049 -0.61 0.539 -.0566411 .0296166

td | -.1616701 .0871955 -1.85 0.064 -.3325701 .00923

tang | .001106 .08026 0.01 0.989 -.1562006 .1584127

size | 1.95e-10 4.85e-10 0.40 0.687 -7.55e-10 1.15e-09

_cons | .1657954 .0957961 1.73 0.084 -.0219616 .3535523

-------------+----------------------------------------------------------------

sigma_u | 0

sigma_e | .09042898

rho | 0 (fraction of variance due to u_i)

------------------------------------------------------------------------------

. xttest0

Breusch and Pagan Lagrangian multiplier test for random effects

roa[mack,t] = Xb + u[mack] + e[mack,t]

 Estimated results:

| Var SD = sqrt(Var)

---------+-----------------------------

roa | .0085402 .0924134

e | .0081774 .090429

u| 0 0

Test: Var(u) = 0

chibar2(01) = 0.00

Prob > chibar2 = 1.0000

. xtserial roa cr td tang size

Wooldridge test for autocorrelation in panel data

H0: no first-order autocorrelation

F( 1, 29) = 0.621

Prob > F = 0.4372

. xtreg roa cr td tang size, re robust

Random-effects GLS regression Number of obs = 120

Group variable: mack Number of groups = 30

R-squared: Obs per group:

Within = 0.0227 min = 4

 Between = 0.1745 avg = 4.0

Overall = 0.0600 max = 4

Wald chi2(3) = .

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

(Std. err. adjusted for 30 clusters in mack)

------------------------------------------------------------------------------

| Robust

roa | Coefficient std. err. z P>|z| [95% conf. interval]

-------------+----------------------------------------------------------------

cr | -.0135122 .0550615 -0.25 0.806 -.1214308 .0944063

td | -.1616701 .142611 -1.13 0.257 -.4411824 .1178423

tang | .001106 .0922934 0.01 0.990 -.1797857 .1819978

size | 1.95e-10 3.36e-10 0.58 0.562 -4.64e-10 8.55e-10

_cons | .1657954 .1324524 1.25 0.211 -.0938065 .4253973

-------------+----------------------------------------------------------------

sigma_u | 0

sigma_e | .09042898

rho | 0 (fraction of variance due to u_i)

------------------------------------------------------------------------------

. est sto remf

. esttab pols fem rem remf, r2

----------------------------------------------------------------------------

(1) (2) (3) (4)

roa roa roa roa

----------------------------------------------------------------------------

cr -0.0135 -0.0550 -0.0135 -0.0135

(-0.61) (-1.71) (-0.61) (-0.25)

td -0.162 -0.230 -0.162 -0.162

(-1.85) (-1.56) (-1.85) (-1.13)

tang 0.00111 0.209 0.00111 0.00111

(0.01) (1.46) (0.01) (0.01)

size 1.95e-10 3.39e-10 1.95e-10 1.95e-10

(0.40) (0.31) (0.40) (0.58)

_cons 0.166 0.0698 0.166 0.166

(1.73) (0.41) (1.73) (1.25)

----------------------------------------------------------------------------

N 120 120 120 120

R-sq 0.060 0.083

----------------------------------------------------------------------------

t statistics in parentheses

* p<0.05, ** p<0.01, *** p<0.001

. save "C:\Users\LE QUOC CUONG\Desktop\Việt Cường stata.dta"

file C:\Users\LE QUOC CUONG\Desktop\Việt Cường stata.dta saved