ANNEXE 2. OUTPUTS DES TESTS ECONOMETRIQUES
Page 74
A.2.1. Test d'homogeneité de Fisher
|
Redundant Fixed Effects Tests Pool: Rolly KOLI
Test cross-section fixed effects
|
|
|
Effects Test Statistic d.f.
|
Prob.
|
|
Cross-section F 3.187574 (5,29)
|
0.0205
|
|
Cross-section Chi-square 18.395373 5
|
0.0025
|
|
Cross-section fixed effects test equation:
|
|
|
Dependent Variable: ROA?
|
|
|
Method: Panel Least Squares
|
|
|
Sample: 2006 2012
|
|
|
Included observations: 7
|
|
|
Cross-sections included: 6
|
|
|
Total pool (balanced) observations: 42
|
|
|
Variable Coefficient Std. Error t-Statistic
|
Prob.
|
|
C -10.54049 135.9915 -0.077508
|
0.9387
|
|
TB? 0.487144 0.625703 0.778555
|
0.4416
|
|
RCP? -4.933355 6.832534 -0.722039
|
0.4752
|
|
RCA? -1.553097 2.264444 -0.685862
|
0.4975
|
|
TI? 0.067115 0.061201 1.096635
|
0.2805
|
|
LPIBH? 0.283181 28.56385 0.009914
|
0.9921
|
|
RTSB? -0.203734 0.549001 -0.371100
|
0.7129
|
|
RCB? -2.409812 8.351570 -0.288546
|
0.7747
|
|
R-squared 0.170286 Mean dependent var
|
1.346623
|
|
Adjusted R-squared -0.000538 S.D. dependent var
|
1.705477
|
|
S.E. of regression 1.705935 Akaike info criterion
|
4.075748
|
|
Sum squared resid 98.94733 Schwarz criterion
|
4.406732
|
|
Log likelihood -77.59070 Hannan-Quinn criter.
|
4.197067
|
|
F-statistic 0.996853 Durbin-Watson stat
|
1.867143
|
|
Prob(F-statistic) 0.450345
|
|
|
|
A.2.2. Test De Spécification du modèle
(Test de RAMSEY) SUR STATA 11
|
Ramsey RESET test using powers of the fitted values of roa Ho:
model has no omitted variables
F(3, 31) = 2.45
Prob > F = 0.0822
|
A.2.3. Analyse de la corrélation
Page 75
|
| roa
+
|
tb
|
rcp
|
rca
|
ti
|
lpibh
|
rtsb
|
rcb
|
|
roa
|
| 1.0000
|
|
|
|
|
|
|
|
|
tb
|
| 0.0770
|
1.0000
|
|
|
|
|
|
|
|
rcp
|
| -0.1400
|
0.0075
|
1.0000
|
|
|
|
|
|
|
rca
|
| -0.1672
|
-0.3533
|
-0.0309
|
1.0000
|
|
|
|
|
|
ti
|
| 0.3334
|
0.0475
|
-0.0150
|
-0.1160
|
1.0000
|
|
|
|
|
lpibh
|
| -0.1030
|
0.8279
|
0.0789
|
-0.2134
|
-0.2153
|
1.0000
|
|
|
|
rtsb
|
| -0.1267
|
0.6788
|
0.1125
|
-0.1910
|
-0.2215
|
0.8137
|
1.0000
|
|
|
rcb
|
| 0.1640
|
0.0434
|
-0.0644
|
-0.0427
|
0.4162
|
-0.0239
|
-0.5407
|
1.0000
|
A.2.3. Test de BREUSCH PAGAN ou LM Test
Breusch and Pagan Lagrangian multiplier test for random
effects
|
roa[id,t] = Xb + u[id] + e[id,t]
Estimated results:
|
|
|
|
|
|
Var
|
sd
|
= sqrt(Var)
|
|
+
|
|
|
|
|
|
roa
|
|
|
2.908652
|
|
1.705477
|
|
e
|
|
|
2.201868
|
|
1.483869
|
|
u
|
|
|
1.480116
|
|
1.2166
|
|
Test: Var(u) =
|
0
|
|
|
|
chi2(1) = 3.17
Prob > chi2 = 0.0749
A.2.4. Estimation du modèle à effets fixes
par le MCO
Random-effects GLS regression Number of obs = 42
Page 76
|
Dependent Variable: ROA? Method: Pooled Least Squares Sample:
2006 2012
Included observations: 7 Cross-sections included: 6
Total pool (balanced) observations: 42
|
|
|
Variable Coefficient Std. Error t-Statistic
|
Prob.
|
|
C -211.7987 160.5048 -1.319579
|
0.1973
|
|
TB? -2.668928 1.800402 -1.482407
|
0.1490
|
|
RCP? -10.61655 10.77024 -0.985731
|
0.3324
|
|
RCA? -2.257855 2.903153 -0.777725
|
0.4430
|
|
TI? 0.168828 0.076082 2.219030
|
0.0345
|
|
LPIBH? 55.33397 38.81283 1.425662
|
0.1646
|
|
RTSB? -0.344191 0.488009 -0.705297
|
0.4863
|
|
RCB? -5.548531 7.504047 -0.739405
|
0.4656
|
|
Fixed Effects (Cross)
|
|
|
_BIAC--C -0.910708
|
|
|
_BCDC--C 2.978393
|
|
|
_RWB--C 0.939462
|
|
|
_TMB--C -0.500502
|
|
|
_BIC--C -0.198631
|
|
|
_PCB--C -2.308015
|
|
|
Effects Specification
|
|
|
Cross-section fixed (dummy variables)
|
|
|
R-squared 0.464556 Mean dependent var
|
1.346623
|
|
Adjusted R-squared 0.242993 S.D. dependent var
|
1.705477
|
|
S.E. of regression 1.483870 Akaike info criterion
|
3.875858
|
|
Sum squared resid 63.85422 Schwarz criterion
|
4.413708
|
|
Log likelihood -68.39301 Hannan-Quinn criter.
|
4.073001
|
|
F-statistic 2.096722 Durbin-Watson stat
|
2.666558
|
|
Prob(F-statistic) 0.050840
|
|
|
|
A.2.5. Estimation du modèle à effets
aléatoires par le MCO
Page 77
|
Group variable:
|
id
|
|
|
Number of groups =
|
6
|
|
R-sq: within
|
= 0.1946
|
|
|
Obs per group: min =
|
7
|
|
between
|
= 0.0074
|
|
|
avg =
|
7.0
|
|
overall
|
= 0.1119
|
|
|
max =
|
7
|
|
Random effects
|
u_i ~ Gaussian
|
|
Wald chi2(7) =
|
7.20
|
|
corr(u_i, X)
|
= 0 (assumed)
|
|
Prob > chi2 =
|
0.4082
|
|
roa |
|
Coef.
|
Std. Err.
|
z
|
P>|z| [95% Conf.
|
Interval]
|
|
+
tb |
|
-.4403834
|
1.073774
|
-0.41
|
0.682 -2.544942
|
1.664175
|
|
rcp |
|
-4.849975
|
8.587162
|
-0.56
|
0.572 -21.6805
|
11.98055
|
|
rca |
|
-1.456095
|
2.557827
|
-0.57
|
0.569 -6.469343
|
3.557153
|
|
ti |
|
.0978091
|
.0605215
|
1.62
|
0.106 -.0208109
|
.2164291
|
|
lpibh |
|
16.66222
|
29.56551
|
0.56
|
0.573 -41.28511
|
74.60955
|
|
rtsb |
|
-.2476096
|
.4798028
|
-0.52
|
0.606 -1.188006
|
.6927867
|
|
rcb |
|
-3.333568
|
7.314115
|
-0.46
|
0.649 -17.66897
|
11.00183
|
|
_ cons |
|
-71.03148
|
131.7169
|
-0.54
|
0.590 -329.1919
|
187.1289
|
|
+
sigma_u |
|
1.2166003
|
|
|
|
|
|
sigma_e |
|
1.4838694
|
|
|
|
|
|
rho |
|
.40198872
|
(fraction
|
of variance due to u_i)
|
|
| 
