Annexe 3 : Estimation du modèle à
effets fixes [équation (12)]
Fixed-effects (within) regression Number of obs
= 42
Group variable (i): country Number of
groups = 6
R-sq: within = 0.5211 Obs per group:
min = 7
between = 0.1026
avg = 7.0
overall = 0.1812
max = 7
F(14,22)
= 1.71
corr(u_i, Xb) = -0.7492 Prob > F
= 0.1260
------------------------------------------------------------------------------
spread | Coef. Std. Err. t P>|t|
[95% Conf. Interval]
-------------+----------------------------------------------------------------
assets | .3605072 .1652904 2.18 0.040
.0177159 .7032986
capital | .3342695 .4437065 0.75 0.459
-.5859214 1.25446
costs | .3540308 .5670439 0.62 0.539
-.8219462 1.530008
deposits | -.0349325 .0786895 -0.44 0.661
-.1981246 .1282595
loans | -.6839437 .4607207 -1.48 0.152
-1.63942 .2715326
number_of_~s | -.0436093 .0522896 -0.83 0.413
-.1520514 .0648327
provisions | .0240529 .1377877 0.17 0.863
-.2617013 .309807
reserves | .2398257 .1692125 1.42 0.170
-.1110995 .5907509
dummy_2002 | 2.585148 2.075794 1.25 0.226
-1.719786 6.890081
dummy_2003 | 2.401175 2.060496 1.17 0.256
-1.872032 6.674382
dummy_2004 | .5772514 1.732805 0.33 0.742
-3.016366 4.170868
dummy_2005 | .9216012 1.573383 0.59 0.564
-2.341395 4.184597
dummy_2006 | 2.110732 1.35209 1.56 0.133
-.6933305 4.914795
dummy_2007 | .2659551 1.042163 0.26 0.801
-1.895358 2.427268
_cons | 6.393674 8.394717 0.76 0.454
-11.0159 23.80325
-------------+----------------------------------------------------------------
sigma_u | 2.3344336
sigma_e | 1.3853998
rho | .73953653 (fraction of variance due to
u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(5, 22) = 1.31
Prob > F = 0.2965
Source : Construit par l'auteur.
Annexe 4 : Estimation du modèle à
effets aléatoires [équation (12)]
Random-effects GLS regression Number of obs
= 42
Group variable (i): country Number of
groups = 6
R-sq: within = 0.3987 Obs per
group: min = 7
between = 0.9732
avg = 7.0
overall = 0.6437
max = 7
Random effects u_i ~ Gaussian Wald chi2(14)
= 48.77
corr(u_i, X) = 0 (assumed) Prob >
chi2 = 0.0000
------------------------------------------------------------------------------
spread | Coef. Std. Err. z P>|z|
[95% Conf. Interval]
-------------+----------------------------------------------------------------
assets | .0465768 .084274 0.55 0.580
-.1185973 .2117509
capital | -.0666735 .2827482 -0.24 0.814
-.6208498 .4875028
costs | .3087626 .500738 0.62 0.537
-.6726658 1.290191
deposits | -.034633 .0646335 -0.54 0.592
-.1613122 .0920463
loans | -.7860789 .3800842 -2.07 0.039
-1.53103 -.0411275
number_of_~s | -.0340541 .0137212 -2.48 0.013
-.060947 -.0071611
provisions | .1143432 .078704 1.45 0.146
-.0399137 .2686002
reserves | .1831751 .1489521 1.23 0.219
-.1087656 .4751159
dummy_2002 | 2.084322 1.184691 1.76 0.079
-.237629 4.406273
dummy_2003 | 1.78951 .9904174 1.81 0.071
-.1516729 3.730692
dummy_2004 | .1946533 .9731937 0.20 0.841
-1.712771 2.102078
dummy_2005 | -.1545392 1.047751 -0.15 0.883
-2.208093 1.899014
dummy_2006 | 1.013866 1.051171 0.96 0.335
-1.046392 3.074124
dummy_2007 | .1446733 .9792613 0.15 0.883
-1.774644 2.06399
_cons | 13.26393 7.03566 1.89 0.059
-.5257105 27.05357
-------------+----------------------------------------------------------------
sigma_u | 0
sigma_e | 1.3853998
rho | 0 (fraction of variance due to
u_i)
------------------------------------------------------------------------------
Source : Construit par l'auteur.
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