Table 3. GMM estimation with... | Emerald Publishing

Table 3.

GMM estimation with equity/asset modelled as endogenous (dependent variable: ROAA)

	(1)		(2)		(3)
	Coefficient	t-statistic	Coefficient	t-statistic	Coefficient	t-statistic
Intercept	−0.0108335	0.0057704	0.002216	0.05	−0.0104721	−1.81
Π_t-1	0.5338555	6.16	0.5468054	6.04	0.534654	6.21
EA	0.1847344	2.95	0.188153	2.64	0.184043	2.95
CR	0.0077199	0.12	0.0415005	0.67	0.005628	0.09
DEP	−0.0111043	−2.14	−0.014747	−2.26	−0.011	−2.13
LIQ	0.0005615	2.03	0.0007495	2.15	0.000554	2.00
PROD	2.51e −08	4.37	2.13e 0.08	4.11	2.50e −08	4.36
EC	0.0392584	0.106	0.004184	0.20	0.039353	1.61
SZ	−0.0000286	−2.68	−0.000017	−1.47	−0.0000286	−2.69
CON	−0.0000262	−0.85	−0.0001117	−2.16
HHI*					−0.0701	0.11
INF			−0.001267	−3.02
INF*^a	0.001559	3.25			0.0015323	3.14
CO	−0.0003067	−1.06	−0.0000718	−0.31
CO+^b					−0.0002432	−0.50
CO−^c					−0.003637	−0.82
LG	0.002341	3.31	0.0022952	3.10	0.0023301	3.25
D₀₈^d	−0.0032543	−2.87	−0.0047707	−2.12	−0.006225	−2.84
Wald test	χ²(13 ) = 474.68	0.000	χ²(13) = 419.08	0.000	χ²(14) 476.10	0.000
Sargan test	501.36	0.000	534.07	0.000	497.28	0.000
AR(1)^e	z = −7.23	0.000	z = −7.03	0.000	z = −6.96	0.000
AR(2)	z = − 1.08	0.3158	z = −1.24	0.215	−1.48	0.139

	(1)		(2)		(3)
	Coefficient	t-statistic	Coefficient	t-statistic	Coefficient	t-statistic
Intercept	−0.0108335	0.0057704	0.002216	0.05	−0.0104721	−1.81
Π_t-1	0.5338555	6.16	0.5468054	6.04	0.534654	6.21
EA	0.1847344	2.95	0.188153	2.64	0.184043	2.95
CR	0.0077199	0.12	0.0415005	0.67	0.005628	0.09
DEP	−0.0111043	−2.14	−0.014747	−2.26	−0.011	−2.13
LIQ	0.0005615	2.03	0.0007495	2.15	0.000554	2.00
PROD	2.51e −08	4.37	2.13e 0.08	4.11	2.50e −08	4.36
EC	0.0392584	0.106	0.004184	0.20	0.039353	1.61
SZ	−0.0000286	−2.68	−0.000017	−1.47	−0.0000286	−2.69
CON	−0.0000262	−0.85	−0.0001117	−2.16
HHI*					−0.0701	0.11
INF			−0.001267	−3.02
INF*^a	0.001559	3.25			0.0015323	3.14
CO	−0.0003067	−1.06	−0.0000718	−0.31
CO+^b					−0.0002432	−0.50
CO−^c					−0.003637	−0.82
LG	0.002341	3.31	0.0022952	3.10	0.0023301	3.25
D₀₈^d	−0.0032543	−2.87	−0.0047707	−2.12	−0.006225	−2.84
Wald test	χ²(13 ) = 474.68	0.000	χ²(13) = 419.08	0.000	χ²(14) 476.10	0.000
Sargan test	501.36	0.000	534.07	0.000	497.28	0.000
AR(1)^e	z = −7.23	0.000	z = −7.03	0.000	z = −6.96	0.000
AR(2)	z = − 1.08	0.3158	z = −1.24	0.215	−1.48	0.139

Notes:

a

10-year government bond rate;

b

Cyclical output when the actual value is above segmented trend;

c

Cyclical output when the actual value is below segmented trend

d

Dummy variable for 2008

e

H0: no autocorrelation