Nghiên cứu tác động thanh khoản cổ phiếu đến đầu tư của các công ty niêm yết trên sàn chứng khoán Việt Nam

BỘ GIÁO DỤC VÀ ĐÀO TẠO TRƯỜNG ĐẠI HỌC KINH TẾ TP HỒ CHÍ MINH NGUYỄN THỊ THU HÀ NGHIÊN CỨU TÁC ĐỘNG THANH KHOẢN CỔ PHIẾU ĐẾN ĐẦU TƯ CỦA CÁC CƠNG TY NIÊM YẾT TRÊN SÀN CHỨNG KHỐN VIỆT NAM LUẬN VĂN THẠC SĨ KINH TẾ Tp Hồ Chí Minh – Năm 2015 BỘ GIÁO DỤC VÀ ĐÀO TẠO TRƯỜNG ĐẠI HỌC KINH TẾ TP HỒ CHÍ MINH NGUYỄN THỊ THU HÀ NGHIÊN CỨU TÁC ĐỘNG THANH KHOẢN CỔ PHIẾU ĐẾN ĐẦU TƯ CỦA CÁC CÔNG TY NIÊM YẾT TRÊN SÀN CHỨNG KHOÁN VIỆT NAM Chuyên ngành: Tài – Ngân hàng Mã số: 60340201 LUẬN VĂN THẠC SĨ KINH TẾ NGƯỜI HƯỚNG DẪN KHOA HỌC: PGS.TS LÊ THỊ LANH Tp Hồ Chí Minh – Năm 2015 LỜI CAM ĐOAN Trong trình thực luận văn với đề tài “Nghiên cứu tác động khoản cổ phiếu đến đầu tư công ty niêm yết sàn chứng khốn Việt Nam”, tơi vận dụng kiến thức học tập với trao đổi, hướng dẫn, góp ý giáo viên hướng dẫn để thực đề tài luận văn thạc sĩ Tôi xin cam đoan cơng trình nghiên cứu tôi, số liệu kết luận văn hồn tồn trung thực có nguồn gốc trích dẫn rõ ràng Các kết luận văn chưa cơng bố cơng trình nghiên cứu Luận văn thực hướng dẫn PGS.TS Lê Thị Lanh TP Hồ Chí Minh, ngày 28 tháng 05 năm 2015 Người thực luận văn NGUYỄN THỊ THU HÀ MỤC LỤC TRANG PHỤ BÌA LỜI CAM ĐOAN MỤC LỤC i DANH MỤC CÁC KÝ HIỆU, CÁC CHỮ VIẾT TẮT iv DANH MỤC CÁC BẢNG v TÓM TẮT CHƯƠNG 1: GIỚI THIỆU 1.1 Lý thực đề tài 1.2 Mục tiêu, câu hỏi nghiên cứu .3 1.3 Đối tượng, phạm vi nghiên cứu 1.4 Phương pháp nghiên cứu 1.5 Kết cấu luận văn CHƯƠNG 2: CÁC NGHIÊN CỨU TRƯỚC ĐÂY 2.1 Thanh khoản đầu tư 2.1.1 Thanh khoản 2.1.2 Đầu tư 2.2 2.2.1 2.3 Tác động tính khoản đến đầu tư 10 Thanh khoản cổ phiếu tác động chiều đến đầu tư 10 Thanh khoản cổ phiếu tác động ngược chiều đến đầu tư 14 2.4 Thanh khoản cổ phiếu có tác động đến đầu tư khơng dự đốn chiều hay ngược chiều 15 TÓM TẮT CHƯƠNG .19 CHƯƠNG 3: PHƯƠNG PHÁP NGHIÊN CỨU 20 3.1 Mơ hình nghiên cứu mô tả biến .20 3.1.1 Mơ hình nghiên cứu 20 3.1.2 Mô tả biến nghiên cứu 21 3.2 Mở rộng mơ hình nghiên cứu .24 3.2.1 Thêm biến giả phân biệt công ty phát hành cổ phiếu công ty không phát hành cổ phiếu 24 3.2.2 Thêm biến giả phân biệt công ty chịu ràng buộc tài cơng ty chịu ràng buộc tài 24 3.2.3 Thêm biến giả phân biệt cơng ty có hội đầu tư khác 26 3.3 Dữ liệu nghiên cứu 28 3.4 Phương pháp kiểm định hồi quy 28 TÓM TẮT CHƯƠNG 33 CHƯƠNG 4: KẾT QUẢ NGHIÊN CỨU VÀ THẢO LUẬN 34 4.1 Thống kê mô tả 34 4.1.1 Phân tích thống kê mô tả 34 4.1.2 Ma trận hệ số tương quan 36 4.2 Tác động tính khoản cổ phiếu đến đầu tư công ty niêm yết Việt Nam 39 4.2.1 Mơ hình hồi quy chính: 39 4.2.2 Tác động tính khoản đến cổ phiếu Việt Nam trường hợp phân biệt công ty có phát hành cổ phiếu: 44 4.2.3 Tác động tính khoản đến cổ phiếu Việt Nam, thêm biến phân biệt công ty có ràng buộc tài khác nhau: 47 4.3 Tác động tính khoản cổ phiếu lên đầu tư cho công ty sàn giao dịch 56 TÓM TẮT CHƯƠNG 4: 62 CHƯƠNG 5: KẾT LUẬN 63 5.1 Kết luận chung 63 5.2 Hạn chế đề tài 63 5.3 Hướng nghiên cứu tiếp theo: 64 TÀI LIỆU THAM KHẢO PHỤ LỤC Phụ lục 1: Danh sách công ty mẫu: Phụ lục 2: Thống kê mô tả biến: Phụ lục 3: Kết hồi quy mơ hình Phụ lục 4: Kết hồi quy cho công ty sàn HNX Phụ lục 5: Kết hồi quy cho công ty sàn HOSE DANH MỤC CÁC KÝ HIỆU, CÁC CHỮ VIẾT TẮT TÊN ĐẦY ĐỦ TỪ VIẾT TẮT HOSE Sở Giao Dịch Chứng khoán TP.HCM HNX Sở Giao Dịch Chứng khoán Hà Nội Tobin’s Q Chỉ số Tobin’s Q DANH MỤC CÁC BẢNG Bảng 3.1: Dấu kỳ vọng biến độc lập .27 Bảng 4.1: Thống kê mô tả biến mơ hình 35 Bảng 4.2: Ma trận hệ số tương quan biến nghiên cứu 38 Bảng 4.3: Kết hồi quy mô hình với biến đo lường khoản TRV 42 Bảng 4.4: Kết hồi quy mơ hình với biến đo lường khoản TRVEX 43 Bảng 4.5: Kết hồi quy mơ hình, thêm biến giả phân biệt công ty phát hành cổ phiếu, sử dụng biến TRV làm thước đo khoản 45 Bảng 4.6: Kết hồi quy mơ hình, thêm biến giả phân biệt công ty phát hành cổ phiếu, sử dụng biến TRVEX làm thước đo khoản 46 Bảng 4.7: Kết hồi quy mơ hình, thêm biến giả phân biệt cơng ty có ràng buộc tài khác dựa tổng tài sản, sử dụng biến TRV làm thước đo khoản 49 Bảng 4.8: Kết hồi quy mơ hình, thêm biến giả phân biệt cơng ty có ràng buộc tài khác dựa tổng tài sản, sử dụng biến TRVEX làm thước đo khoản 50 Bảng 4.9: Kết hồi quy mô hình, thêm biến giả phân biệt cơng ty có ràng buộc tài khác dựa tổng giá trị thị trường vốn cổ phần, sử dụng biến TRV làm thước đo khoản .51 Bảng 4.10: Kết hồi quy mơ hình, thêm biến giả phân biệt cơng ty có ràng buộc tài khác dựa tổng giá trị thị trường vốn cổ phần, sử dụng biến TRVEX làm thước đo khoản 52 Bảng 4.11: Kết hồi quy mơ hình, thêm biến giả phân biệt cơng ty có hội đầu tư khác nhau, sử dụng biến TRV làm thước đo khoản 54 Bảng 4.12: Kết hồi quy mô hình, thêm biến giả phân biệt cơng ty có hội đầu tư khác nhau, sử dụng biến TRVEX làm thước đo khoản .55 Bảng 4.13: Kết hồi quy mơ hình cho công ty HOSE, sử dụng biến TRV thước đo khoản 58 Bảng 4.14: Kết hồi quy mơ hình cho cơng ty HNX, sử dụng biến TRV thước đo khoản 59 Bảng 4.15: Kết hồi quy mơ hình cho cơng ty HOSE, sử dụng biến TRVEX thước đo khoản 60 Bảng 4.16: Kết hồi quy mơ hình cho công ty HNX, sử dụng biến TRVEX thước đo khoản 61 Total (centered) SS Total (uncentered) SS Residual SS = = = WINV4 Coef WQ WTRV WLEV WCF 2578577 3.736972 -.2217631 3157116 Number of obs F( 4, 2336) Prob > F Centered R2 Uncentered R2 Root MSE 184.8891618 234.1804457 182.3953674 Robust Std Err .0775244 2.41375 0859329 3698688 z 3.33 1.55 -2.58 0.85 P>|z| 0.001 0.122 0.010 0.393 = = = = = = 2340 163.31 0.0000 0.0135 0.2211 2792 [95% Conf Interval] 1059127 -.9938909 -.3901885 -.4092178 4098027 8.467834 -.0533377 1.040641 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 75.259 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 58.998 (Kleibergen-Paap rk Wald F statistic): 42.115 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = 0.089 0.7649 Instrumented: WQ Included instruments: WTRV WLEV WCF Excluded instruments: WIVI WIVII Number of obs F( 4, 1868) Prob > F Centered R2 Uncentered R2 Root MSE Total (centered) SS Total (uncentered) SS Residual SS = = = WINV8 Coef WQ WTRV WLEV WCF 6262872 10.27651 -.5556494 -.0156456 764.2416911 1031.640024 711.5561843 Robust Std Err .1349789 4.143359 1227107 1.532199 z 4.64 2.48 -4.53 -0.01 P>|z| 0.000 0.013 0.000 0.992 = = = = = = 1872 174.16 0.0000 0.0689 0.3103 6165 [95% Conf Interval] 3617334 2.155676 -.7961579 -3.018701 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 890841 18.39735 -.315141 2.98741 181.121 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 158.200 (Kleibergen-Paap rk Wald F statistic): 127.416 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = Instrumented: WQ Included instruments: WTRV WLEV WCF Excluded instruments: WIVI WIVII 0.205 0.6507 Total (centered) SS Total (uncentered) SS Residual SS = = = WINV12 Coef WQ WTRV WLEV WCF 2419747 13.02314 -.0784043 3.870163 Number of obs F( 4, 1400) Prob > F Centered R2 Uncentered R2 Root MSE 736.8776345 1085.315373 705.2457307 Robust Std Err .2118971 6.268038 2217017 1.873163 z P>|z| 1.14 2.08 -0.35 2.07 0.253 0.038 0.724 0.039 = = = = = = 1404 177.23 0.0000 0.0429 0.3502 7087 [95% Conf Interval] -.1733359 7380151 -.5129317 1988311 6572854 25.30827 3561231 7.541495 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 69.450 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 42.474 (Kleibergen-Paap rk Wald F statistic): 40.360 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = Instrumented: WQ Included instruments: WTRV WLEV WCF Excluded instruments: WIVI WIVII Total (centered) SS Total (uncentered) SS Residual SS = = = WTA4 Coef WQ WTRVEX WLEV WCF 1664943 0409245 -.0967203 0398388 Number of obs F( 4, 2336) Prob > F Centered R2 Uncentered R2 Root MSE 74.88923553 106.3834035 69.88750739 Robust Std Err .0456192 0101795 0546539 2410484 z 3.65 4.02 -1.77 0.17 P>|z| 0.000 0.000 0.077 0.869 0.046 0.8301 = = = = = = 2340 259.21 0.0000 0.0668 0.3431 1728 [95% Conf Interval] 0770824 0209731 -.2038401 -.4326073 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 2559062 0608759 0103994 5122849 88.683 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 70.394 (Kleibergen-Paap rk Wald F statistic): 50.467 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = Instrumented: WQ Included instruments: WTRVEX WLEV WCF Excluded instruments: WIVI WIVII 0.291 0.5896 Total (centered) SS Total (uncentered) SS Residual SS = = = WTA8 Coef WQ WTRVEX WLEV WCF 2152528 0265789 -.2135164 2.537169 Number of obs F( 4, 1868) Prob > F Centered R2 Uncentered R2 Root MSE 178.2647035 278.1403096 152.2566692 Robust Std Err .0590595 0062469 0558091 7078046 z 3.64 4.25 -3.83 3.58 P>|z| 0.000 0.000 0.000 0.000 = = = = = = 1872 319.50 0.0000 0.1459 0.4526 2852 [95% Conf Interval] 0994984 0143352 -.3229002 1.149897 3310073 0388225 -.1041327 3.92444 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 191.040 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 167.901 (Kleibergen-Paap rk Wald F statistic): 136.596 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = 0.522 0.4700 Instrumented: WQ Included instruments: WTRVEX WLEV WCF Excluded instruments: WIVI WIVII Number of obs F( 4, 1400) Prob > F Centered R2 Uncentered R2 Root MSE Total (centered) SS Total (uncentered) SS Residual SS = = = WTA12 Coef WQ WTRVEX WLEV WCF 2662367 0433872 -.1499765 1.68739 261.3828199 434.6604789 238.311395 Robust Std Err .1094425 0108459 1254516 1.050345 z 2.43 4.00 -1.20 1.61 P>|z| 0.015 0.000 0.232 0.108 = = = = = = 1404 267.57 0.0000 0.0883 0.4517 412 [95% Conf Interval] 0517335 0221297 -.3958571 -.3712484 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 48074 0646447 095904 3.746029 81.978 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 49.899 (Kleibergen-Paap rk Wald F statistic): 47.864 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = Instrumented: WQ Included instruments: WTRVEX WLEV WCF Excluded instruments: WIVI WIVII 0.145 0.7036 Total (centered) SS Total (uncentered) SS Residual SS = = = WPPE4 Coef WQ WTRVEX WLEV WCF 0715357 0212234 0026698 410866 Number of obs F( 4, 2336) Prob > F Centered R2 Uncentered R2 Root MSE 35.12788282 56.43042645 32.7231878 Robust Std Err .0299046 0067228 0361572 1605557 z 2.39 3.16 0.07 2.56 = = = = = = 2340 396.89 0.0000 0.0685 0.4201 1183 P>|z| [95% Conf Interval] 0.017 0.002 0.941 0.010 0129237 0080469 -.068197 0961826 1301476 0343999 0735366 7255495 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 88.683 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 70.394 (Kleibergen-Paap rk Wald F statistic): 50.467 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = 0.190 0.6629 Instrumented: WQ Included instruments: WTRVEX WLEV WCF Excluded instruments: WIVI WIVII Number of obs F( 4, 1868) Prob > F Centered R2 Uncentered R2 Root MSE Total (centered) SS Total (uncentered) SS Residual SS = = = WPPE8 Coef WQ WTRVEX WLEV WCF 441739 101233 -.2608134 7113757 1048.077727 1450.453281 985.0887059 Robust Std Err .151148 0159186 148373 1.770794 z 2.92 6.36 -1.76 0.40 P>|z| 0.003 0.000 0.079 0.688 = = = = = = 1872 188.67 0.0000 0.0601 0.3208 7254 [95% Conf Interval] 1454943 0700331 -.5516191 -2.759317 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 7379836 1324329 0299924 4.182068 191.040 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 167.901 (Kleibergen-Paap rk Wald F statistic): 136.596 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = Instrumented: WQ Included instruments: WTRVEX WLEV WCF Excluded instruments: WIVI WIVII 0.107 0.7435 Total (centered) SS Total (uncentered) SS Residual SS = = = WPPE12 Coef WQ WTRVEX WLEV WCF 314911 1346215 -.1941339 5.07311 Number of obs F( 4, 1400) Prob > F Centered R2 Uncentered R2 Root MSE 1463.785539 2136.889557 1368.378564 Robust Std Err .2603764 0265673 3009348 2.518017 z 1.21 5.07 -0.65 2.01 P>|z| 0.226 0.000 0.519 0.044 = = = = = = 1404 157.98 0.0000 0.0652 0.3596 9872 [95% Conf Interval] -.1954174 0825506 -.7839552 1378877 8252394 1866924 3956874 10.00833 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 81.978 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 49.899 (Kleibergen-Paap rk Wald F statistic): 47.864 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = 1.934 0.1643 Instrumented: WQ Included instruments: WTRVEX WLEV WCF Excluded instruments: WIVI WIVII Total (centered) SS Total (uncentered) SS Residual SS = = = WINV4 Coef WQ WTRVEX WLEV WCF 2627307 0348645 -.2191929 284281 Number of obs F( 4, 2336) Prob > F Centered R2 Uncentered R2 Root MSE 184.8891618 234.1804457 182.6828667 Robust Std Err .0690447 0161871 0829048 3591166 z 3.81 2.15 -2.64 0.79 P>|z| 0.000 0.031 0.008 0.429 = = = = = = 2340 161.74 0.0000 0.0119 0.2199 2794 [95% Conf Interval] 1274055 0031385 -.3816833 -.4195747 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 3980558 0665906 -.0567025 9881367 88.683 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 70.394 (Kleibergen-Paap rk Wald F statistic): 50.467 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = Instrumented: WQ Included instruments: WTRVEX WLEV WCF Excluded instruments: WIVI WIVII 0.063 0.8020 Total (centered) SS Total (uncentered) SS Residual SS = = = WINV8 Coef WQ WTRVEX WLEV WCF 6733781 0075454 -.546696 -.1177952 Number of obs F( 4, 1868) Prob > F Centered R2 Uncentered R2 Root MSE 764.2416911 1031.640024 719.2063386 Robust Std Err .12917 0126108 1240056 1.52288 z 5.21 0.60 -4.41 -0.08 P>|z| 0.000 0.550 0.000 0.938 = = = = = = 1872 167.86 0.0000 0.0589 0.3029 6198 [95% Conf Interval] 4202096 -.0171713 -.7897424 -3.102585 9265466 032262 -.3036495 2.866995 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 191.040 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 167.901 (Kleibergen-Paap rk Wald F statistic): 136.596 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = 0.131 0.7175 Instrumented: WQ Included instruments: WTRVEX WLEV WCF Excluded instruments: WIVI WIVII Number of obs F( 4, 1400) Prob > F Centered R2 Uncentered R2 Root MSE Total (centered) SS Total (uncentered) SS Residual SS = = = WINV12 Coef WQ WTRVEX WLEV WCF 3381431 0228058 -.1311699 3.556156 736.8776345 1085.315373 710.6605216 Robust Std Err .1788761 0166784 2039657 1.77988 z 1.89 1.37 -0.64 2.00 P>|z| 0.059 0.172 0.520 0.046 = = = = = = 1404 190.77 0.0000 0.0356 0.3452 7115 [95% Conf Interval] -.0124477 -.0098833 -.5309353 0676547 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 6887339 0554948 2685956 7.044657 81.978 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 49.899 (Kleibergen-Paap rk Wald F statistic): 47.864 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = Instrumented: WQ Included instruments: WTRVEX WLEV WCF Excluded instruments: WIVI WIVII 0.360 0.5485 Phụ lục 5: Kết hồi quy cho công ty sàn HOSE Total (centered) SS Total (uncentered) SS Residual SS = = = WTA4 Coef WQ WTRV WLEV WCF 1727285 3.830804 -.1418994 1835238 Number of obs F( 4, 1876) Prob > F Centered R2 Uncentered R2 Root MSE 57.37908401 84.9665779 49.37531781 Robust Std Err .0311556 9977397 0410674 1753865 z 5.54 3.84 -3.46 1.05 P>|z| 0.000 0.000 0.001 0.295 = = = = = = 1880 241.15 0.0000 0.1395 0.4189 1621 [95% Conf Interval] 1116647 1.87527 -.22239 -.1602274 2337923 5.786338 -.0614089 5272749 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 141.171 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 152.035 (Kleibergen-Paap rk Wald F statistic): 104.302 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = Total (centered) SS Total (uncentered) SS Residual SS = = = WTA8 Coef WQ WTRV WLEV WCF 1360679 12.72958 -.081434 2.265967 Number of obs F( 4, 1500) Prob > F Centered R2 Uncentered R2 Root MSE 147.2536078 236.6778332 132.6792727 Robust Std Err .0827806 2.471923 0910907 7865614 z 1.64 5.15 -0.89 2.88 P>|z| 0.100 0.000 0.371 0.004 3.520 0.0606 = = = = = = 1504 263.27 0.0000 0.0990 0.4394 297 [95% Conf Interval] -.026179 7.884702 -.2599685 7243352 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 2983149 17.57446 0971004 3.807599 104.208 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 84.074 (Kleibergen-Paap rk Wald F statistic): 66.519 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = Instrumented: WQ Included instruments: WTRV WLEV WCF Excluded instruments: WIVI WIVII 0.001 0.9765 Total (centered) SS Total (uncentered) SS Residual SS = = = WTA12 Coef WQ WTRV WLEV WCF 3598179 4.036213 -.3599395 2.423857 Number of obs F( 4, 1124) Prob > F Centered R2 Uncentered R2 Root MSE 186.5763956 335.2275812 153.8730982 Robust Std Err z 0769927 2.100028 0861473 9263636 4.67 1.92 -4.18 2.62 P>|z| 0.000 0.055 0.000 0.009 = = = = = = 1128 267.46 0.0000 0.1753 0.5410 3693 [95% Conf Interval] 208915 -.0797667 -.528785 6082173 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 5107209 8.152193 -.1910939 4.239496 106.624 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 80.498 (Kleibergen-Paap rk Wald F statistic): 81.042 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = Instrumented: WQ Included instruments: WTRV WLEV WCF Excluded instruments: WIVI WIVII Number of obs F( 4, 1876) Prob > F Centered R2 Uncentered R2 Root MSE Total (centered) SS Total (uncentered) SS Residual SS = = = WPPE4 Coef WQ WTRV WLEV WCF 4434036 -.2223612 -.2778883 -.8475738 172.1920927 275.0018837 162.7580975 Robust Std Err .0550692 1.741141 0734988 3152236 z 8.05 -0.13 -3.78 -2.69 P>|z| 0.000 0.898 0.000 0.007 = = = = = = 1880 289.96 0.0000 0.0548 0.4082 2942 [95% Conf Interval] 3354699 -3.634935 -.4219433 -1.465401 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 5513372 3.190213 -.1338333 -.2297469 141.171 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 152.035 (Kleibergen-Paap rk Wald F statistic): 104.302 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = 1.891 0.1691 0.022 0.8827 Total (centered) SS Total (uncentered) SS Residual SS = = = WPPE8 Coef WQ WTRV WLEV WCF 0730736 29.93508 1716118 3.213538 Number of obs F( 4, 1500) Prob > F Centered R2 Uncentered R2 Root MSE 662.6925255 953.963014 630.6265892 Robust Std Err .1759963 5.393641 1936747 1.705291 z 0.42 5.55 0.89 1.88 P>|z| 0.678 0.000 0.376 0.060 = = = = = = 1504 172.48 0.0000 0.0484 0.3389 6475 [95% Conf Interval] -.2718728 19.36373 -.2079837 -.1287706 41802 40.50642 5512074 6.555846 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 104.208 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 84.074 (Kleibergen-Paap rk Wald F statistic): 66.519 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = 0.183 0.6690 Instrumented: WQ Included instruments: WTRV WLEV WCF Excluded instruments: WIVI WIVII Total (centered) SS Total (uncentered) SS Residual SS = = = WPPE12 Coef WQ WTRV WLEV WCF 3379693 5.427748 -.3216252 2.809079 Number of obs F( 4, 1124) Prob > F Centered R2 Uncentered R2 Root MSE 197.098593 361.3141986 165.4245823 Robust Std Err .0788851 2.271461 0883419 9549723 z 4.28 2.39 -3.64 2.94 P>|z| 0.000 0.017 0.000 0.003 = = = = = = 1128 277.56 0.0000 0.1607 0.5422 383 [95% Conf Interval] 1833574 9757666 -.4947722 9373673 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 4925812 9.879729 -.1484782 4.68079 106.624 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 80.498 (Kleibergen-Paap rk Wald F statistic): 81.042 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = Instrumented: WQ Included instruments: WTRV WLEV WCF Excluded instruments: WIVI WIVII 0.171 0.6796 Total (centered) SS Total (uncentered) SS Residual SS = = = WINV4 Coef WQ WTRV WLEV WCF 2393239 7.91049 -.2004701 0822067 Number of obs F( 4, 1876) Prob > F Centered R2 Uncentered R2 Root MSE 173.5315581 225.5722412 160.577386 Robust Std Err .0545115 1.804258 0707734 3070921 z 4.39 4.38 -2.83 0.27 P>|z| 0.000 0.000 0.005 0.789 = = = = = = 1880 149.75 0.0000 0.0747 0.2881 2923 [95% Conf Interval] 1324833 4.374209 -.3391835 -.5196827 3461645 11.44677 -.0617567 6840961 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 141.171 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 152.035 (Kleibergen-Paap rk Wald F statistic): 104.302 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = 2.038 0.1534 Instrumented: WQ Included instruments: WTRV WLEV WCF Excluded instruments: WIVI WIVII Number of obs F( 4, 1500) Prob > F Centered R2 Uncentered R2 Root MSE Total (centered) SS Total (uncentered) SS Residual SS = = = WINV8 Coef WQ WTRV WLEV WCF 228403 16.93955 -.1150022 3.94762 656.0886766 896.2865848 619.700322 Robust Std Err .1817022 5.260436 2031023 1.707982 z 1.26 3.22 -0.57 2.31 P>|z| 0.209 0.001 0.571 0.021 = = = = = = 1504 148.63 0.0000 0.0555 0.3086 6419 [95% Conf Interval] -.1277269 6.629283 -.5130753 6000357 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 5845328 27.24981 2830709 7.295204 104.208 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 84.074 (Kleibergen-Paap rk Wald F statistic): 66.519 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = Instrumented: WQ Included instruments: WTRV WLEV WCF Excluded instruments: WIVI WIVII 1.142 0.2852 Total (centered) SS Total (uncentered) SS Residual SS = = = WINV12 Coef WQ WTRV WLEV WCF 4470352 7.737784 -.3304253 2.145389 Number of obs F( 4, 1124) Prob > F Centered R2 Uncentered R2 Root MSE 517.1253863 800.4645718 480.7469285 Robust Std Err .1356682 4.126193 1535869 1.613775 z 3.30 1.88 -2.15 1.33 P>|z| 0.001 0.061 0.031 0.184 = = = = = = 1128 154.37 0.0000 0.0703 0.3994 6528 [95% Conf Interval] 1811303 -.349405 -.6314502 -1.017552 71294 15.82497 -.0294005 5.308331 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 106.624 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 80.498 (Kleibergen-Paap rk Wald F statistic): 81.042 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = 0.039 0.8439 Instrumented: WQ Included instruments: WTRV WLEV WCF Excluded instruments: WIVI WIVII Total (centered) SS Total (uncentered) SS Residual SS = = = WTA4 Coef WQ WTRVEX WLEV WCF 1882634 0049522 -.1423569 1970259 Number of obs F( 4, 1876) Prob > F Centered R2 Uncentered R2 Root MSE 57.37908401 84.9665779 49.56448245 Robust Std Err .0313465 008417 0408923 1735657 z 6.01 0.59 -3.48 1.14 P>|z| 0.000 0.556 0.000 0.256 = = = = = = 1880 240.68 0.0000 0.1362 0.4167 1624 [95% Conf Interval] 1268255 -.0115449 -.2225043 -.1431565 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 2497014 0214492 -.0622095 5372084 145.699 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 153.129 (Kleibergen-Paap rk Wald F statistic): 105.955 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = Instrumented: WQ Included instruments: WTRVEX WLEV WCF Excluded instruments: WIVI WIVII 2.974 0.0846 Total (centered) SS Total (uncentered) SS Residual SS = = = WTA8 Coef WQ WTRVEX WLEV WCF 1328619 0603178 -.0688373 2.274611 Number of obs F( 4, 1500) Prob > F Centered R2 Uncentered R2 Root MSE 147.2536078 236.6778332 131.1677048 Robust Std Err .0793568 0096815 0904931 7670277 z 1.67 6.23 -0.76 2.97 P>|z| 0.094 0.000 0.447 0.003 = = = = = = 1504 269.88 0.0000 0.1092 0.4458 2953 [95% Conf Interval] -.0226744 0413423 -.2462004 7712641 2883983 0792933 1085259 3.777957 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 109.748 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 86.492 (Kleibergen-Paap rk Wald F statistic): 69.979 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = 0.008 0.9270 Instrumented: WQ Included instruments: WTRVEX WLEV WCF Excluded instruments: WIVI WIVII Number of obs F( 4, 1124) Prob > F Centered R2 Uncentered R2 Root MSE Total (centered) SS Total (uncentered) SS Residual SS = = = WTA12 Coef WQ WTRVEX WLEV WCF 3647173 006425 -.3451202 2.543159 186.5763956 335.2275812 154.5068569 Robust Std Err .0805191 0083453 0910072 9514841 z 4.53 0.77 -3.79 2.67 P>|z| 0.000 0.441 0.000 0.008 = = = = = = 1128 256.91 0.0000 0.1719 0.5391 3701 [95% Conf Interval] 2069028 -.0099315 -.523491 6782845 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 5225319 0227814 -.1667495 4.408034 96.195 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 75.579 (Kleibergen-Paap rk Wald F statistic): 73.090 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = Instrumented: WQ Included instruments: WTRVEX WLEV WCF Excluded instruments: WIVI WIVII 0.036 0.8503 Total (centered) SS Total (uncentered) SS Residual SS = = = WPPE4 Coef WQ WTRVEX WLEV WCF 453328 -.023493 -.2770103 -.8130595 Number of obs F( 4, 1876) Prob > F Centered R2 Uncentered R2 Root MSE 172.1920927 275.0018837 163.0848275 Robust Std Err .0558277 0158175 073287 3110204 z 8.12 -1.49 -3.78 -2.61 P>|z| 0.000 0.137 0.000 0.009 = = = = = = 1880 289.40 0.0000 0.0529 0.4070 2945 [95% Conf Interval] 3439077 -.0544948 -.4206502 -1.422648 5627483 0075087 -.1333703 -.2034707 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 145.699 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 153.129 (Kleibergen-Paap rk Wald F statistic): 105.955 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = 1.725 0.1891 Instrumented: WQ Included instruments: WTRVEX WLEV WCF Excluded instruments: WIVI WIVII Number of obs F( 4, 1500) Prob > F Centered R2 Uncentered R2 Root MSE Total (centered) SS Total (uncentered) SS Residual SS = = = WPPE8 Coef WQ WTRVEX WLEV WCF 0869045 1259531 195479 3.156566 662.6925255 953.963014 627.8658183 Robust Std Err .1707622 0219692 1942433 1.68215 z 0.51 5.73 1.01 1.88 P>|z| 0.611 0.000 0.314 0.061 = = = = = = 1504 171.41 0.0000 0.0526 0.3418 6461 [95% Conf Interval] -.2477832 0828942 -.1852308 -.1403869 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 4215922 169012 5761888 6.453519 109.748 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 86.492 (Kleibergen-Paap rk Wald F statistic): 69.979 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = Instrumented: WQ Included instruments: WTRVEX WLEV WCF Excluded instruments: WIVI WIVII 0.208 0.6483 Total (centered) SS Total (uncentered) SS Residual SS = = = WPPE12 Coef WQ WTRVEX WLEV WCF 3442634 0090878 -.3021145 2.96379 Number of obs F( 4, 1124) Prob > F Centered R2 Uncentered R2 Root MSE 197.098593 361.3141986 166.5368617 Robust Std Err .0824433 0084388 0932395 9793762 z 4.18 1.08 -3.24 3.03 P>|z| 0.000 0.282 0.001 0.002 = = = = = = 1128 271.26 0.0000 0.1551 0.5391 3842 [95% Conf Interval] 1826774 -.0074519 -.4848606 1.044248 5058493 0256276 -.1193685 4.883332 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 96.195 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 75.579 (Kleibergen-Paap rk Wald F statistic): 73.090 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = 0.219 0.6399 Instrumented: WQ Included instruments: WTRVEX WLEV WCF Excluded instruments: WIVI WIVII Number of obs F( 4, 1876) Prob > F Centered R2 Uncentered R2 Root MSE Total (centered) SS Total (uncentered) SS Residual SS = = = WINV4 Coef WQ WTRVEX WLEV WCF 2613369 0322205 -.2024844 0758427 173.5315581 225.5722412 162.1168551 Robust Std Err .0547404 0153813 0706919 3029787 z 4.77 2.09 -2.86 0.25 P>|z| 0.000 0.036 0.004 0.802 = = = = = = 1880 146.29 0.0000 0.0658 0.2813 2937 [95% Conf Interval] 1540477 0020738 -.341038 -.5179846 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 3686261 0623673 -.0639307 6696701 145.699 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 153.129 (Kleibergen-Paap rk Wald F statistic): 105.955 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = Instrumented: WQ Included instruments: WTRVEX WLEV WCF Excluded instruments: WIVI WIVII 1.730 0.1884 Total (centered) SS Total (uncentered) SS Residual SS = = = WINV8 Coef WQ WTRVEX WLEV WCF 238904 0692647 -.1021912 3.905865 Number of obs F( 4, 1500) Prob > F Centered R2 Uncentered R2 Root MSE 656.0886766 896.2865848 619.3515593 Robust Std Err .1771802 0207358 2036978 1.690619 z P>|z| 1.35 3.34 -0.50 2.31 0.178 0.001 0.616 0.021 = = = = = = 1504 150.46 0.0000 0.0560 0.3090 6417 [95% Conf Interval] -.1083628 0286232 -.5014316 5923131 5861708 1099062 2970492 7.219416 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 109.748 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 86.492 (Kleibergen-Paap rk Wald F statistic): 69.979 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = 1.164 0.2806 Instrumented: WQ Included instruments: WTRVEX WLEV WCF Excluded instruments: WIVI WIVII Total (centered) SS Total (uncentered) SS Residual SS = = = WINV12 Coef WQ WTRVEX WLEV WCF 4114045 0415883 -.2987187 2.318144 Number of obs F( 4, 1124) Prob > F Centered R2 Uncentered R2 Root MSE 517.1253863 800.4645718 478.7209877 Robust Std Err .1408633 0141746 1625659 1.65417 z 2.92 2.93 -1.84 1.40 P>|z| 0.003 0.003 0.066 0.161 = = = = = = 1128 159.19 0.0000 0.0743 0.4019 6515 [95% Conf Interval] 1353175 0138065 -.617342 -.9239696 Underidentification test (Kleibergen-Paap rk LM statistic): Chi-sq(2) P-val = 6874916 0693701 0199046 5.560257 96.195 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 75.579 (Kleibergen-Paap rk Wald F statistic): 73.090 Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005) Reproduced by permission NB: Critical values are for Cragg-Donald F statistic and i.i.d errors Hansen J statistic (overidentification test of all instruments): Chi-sq(1) P-val = Instrumented: WQ Included instruments: WTRVEX WLEV WCF Excluded instruments: WIVI WIVII 0.009 0.9263