Table 5 Result of FGLS regression...

Table 5

Result of FGLS regression

Variables latentes	Model 1: ROA			Model 2: ROE			Model 3: ROI
Variables latentes	Valeur	t	Pr > \|t\|	Valeur	t	Pr > \|t\|	Valeur	t	Pr > \|t\|
Result of FGLS regression Wakalah
REP	0.198	3,611	0.008***	0.392	4,764	0.000***	0.303	14,813	0.000***
SAT	0.243	4,725	0.009***	0.322	4,155	0.000***	0.292	18,867	0.000***
CSR	−0.133	−1,875	0.062*	−0.125	−3,102	0.002***	−0.202	−9,681	0.000***
Size	0.123	1,887	0.060*	0.387	4,954	0.000***	0.292	18,550	0.000***
LEV	−0.167	−2,841	0.005***	−0.161	−2,377	0.019**	−0.304	−17,440	0.000***
Covid-19	−0.677	−3,631	0.004***	−0.231	−3,447	0.018**	−0.254	−7,340	0.010***
R²	0.276			0.543			0.978
Wald χ²	46.25***			5.95***			42.65***
Normality test Prob (skewness)	0.000***			0.000***			0.000***
Normality test Prob (kurtosis)	0.000***			0.000***			0.000***
Homogeneity test (F)	5.063 n.s			5.056 n.s			6.544 n.s
Breusch–Pagan test for heteroskedasticity (F)	142.32***			130.10***			97.46***
Modified Wald test for group-wise heteroskedasticity (χ²)	29670.54***			26702.80***			14628.63***
Wooldridge test for autocorrelation (F)	38.136***			36.147***			35.162***
Result of FGLS regression hybrid
REP	0.033	2,525	0.007 ***	0.339	1,706	0.091*	0.116	5,874	0.000***
SAT	0.049	3,872	0.004***	0.501	5,993	0.000***	0.113	8,035	0.000***
CSR	1,108	5,330	0.000***	0.317	3,153	0.002***	0.159	4,706	0.000***
Size	0.071	1,021	0.309	0.356	2,841	0.005***	−0.170	−8,830	0.000***
Lev	−0.132	−2,254	0.025**	−0.148	−1.76	−0.081*	0.126	6,018	0.000***
Covid-19	−0.587	−3,331	0.001***	−0.251	−2.45	0.012**	−0.344	−8,240	0.020***
R²	0.436			0.599			0.986
Wald χ²	46.25***			6.85***			33.55***
Normality test Prob (skewness)	0.000***			0.000***			0.000***
Normality test Prob (kurtosis)	0.000***			0.000***			0.000***
Homogeneity test (F)	4.063 ns			4.056 ns			5.544 ns
Breusch–Pagan test for heteroskedasticity (F)	132.42***			140.10***			87.46***
Modified Wald test for group-wise heteroskedasticity (χ²)	28770.54***			27602.90***			13528.63***
Wooldridge test for autocorrelation (F)	39.136***			38.147***			34.162***

Variables latentes	Model 1: ROA			Model 2: ROE			Model 3: ROI
Variables latentes	Valeur	t	Pr > \|t\|	Valeur	t	Pr > \|t\|	Valeur	t	Pr > \|t\|
Result of FGLS regression Wakalah
REP	0.198	3,611	0.008***	0.392	4,764	0.000***	0.303	14,813	0.000***
SAT	0.243	4,725	0.009***	0.322	4,155	0.000***	0.292	18,867	0.000***
CSR	−0.133	−1,875	0.062*	−0.125	−3,102	0.002***	−0.202	−9,681	0.000***
Size	0.123	1,887	0.060*	0.387	4,954	0.000***	0.292	18,550	0.000***
LEV	−0.167	−2,841	0.005***	−0.161	−2,377	0.019**	−0.304	−17,440	0.000***
Covid-19	−0.677	−3,631	0.004***	−0.231	−3,447	0.018**	−0.254	−7,340	0.010***
R²	0.276			0.543			0.978
Wald χ²	46.25***			5.95***			42.65***
Normality test Prob (skewness)	0.000***			0.000***			0.000***
Normality test Prob (kurtosis)	0.000***			0.000***			0.000***
Homogeneity test (F)	5.063 n.s			5.056 n.s			6.544 n.s
Breusch–Pagan test for heteroskedasticity (F)	142.32***			130.10***			97.46***
Modified Wald test for group-wise heteroskedasticity (χ²)	29670.54***			26702.80***			14628.63***
Wooldridge test for autocorrelation (F)	38.136***			36.147***			35.162***
Result of FGLS regression hybrid
REP	0.033	2,525	0.007 ***	0.339	1,706	0.091*	0.116	5,874	0.000***
SAT	0.049	3,872	0.004***	0.501	5,993	0.000***	0.113	8,035	0.000***
CSR	1,108	5,330	0.000***	0.317	3,153	0.002***	0.159	4,706	0.000***
Size	0.071	1,021	0.309	0.356	2,841	0.005***	−0.170	−8,830	0.000***
Lev	−0.132	−2,254	0.025**	−0.148	−1.76	−0.081*	0.126	6,018	0.000***
Covid-19	−0.587	−3,331	0.001***	−0.251	−2.45	0.012**	−0.344	−8,240	0.020***
R²	0.436			0.599			0.986
Wald χ²	46.25***			6.85***			33.55***
Normality test Prob (skewness)	0.000***			0.000***			0.000***
Normality test Prob (kurtosis)	0.000***			0.000***			0.000***
Homogeneity test (F)	4.063 ns			4.056 ns			5.544 ns
Breusch–Pagan test for heteroskedasticity (F)	132.42***			140.10***			87.46***
Modified Wald test for group-wise heteroskedasticity (χ²)	28770.54***			27602.90***			13528.63***
Wooldridge test for autocorrelation (F)	39.136***			38.147***			34.162***

Note(s): ***significant at 1%, **significant at 5%, *significant at 10%, ns: nonsignificant

Source(s): Authors' own creation

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