银行竞争性分析Stata

Data Analysis for Research
Week 6 Class
QMUL
16/02/2015
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Data Analysis for Research
16/02/2015
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Class 7
Fixed E¤ects Estimator - EViews estimation
Class 7
Fixed E¤ects Estimator - EViews estimation
In order to evaluate the degree of competition in the banking sector, we consider the Panzar and Rosse statistic, which is calculated as the sum of the parameters β1 , β2 and β3 . More speci…c we have: β1 + β2 + β3 = 1 ) Perfect competition β1 + β2 + β3 = 0 ) Monopoly β1 + β2 + β3 2 (0, 1) ) Monopolostic competition
In this exercise we will focus on the topic of banking competition. Using a set of French …rms (use the dataset named panel.xlsx), we want to evaluate which is the degree of competition in the French banking system. More speci…cally, we want to test the following equation: IRit
16/02/2015
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Class 7
Fixed E¤ects Estimator - EViews estimation
You may look indi¤erently to the F or Chi-square tests. Suppose we consider the Chi-square one:
A H0 B H0
: β1 + β2 + β3 = 1 : β1 + β2 + β3 = 0
(1) (2)
A ) we that the banking If we fail to reject the …rst null hypothesis (H0 sector under investigation is in a perfect competition regime. Instead, A , we need to check wheter the second restriction holds. if we reject H0 B , we claim that the banking sector under If we fail to reject H0 investigation is in a monopoly regime. On the contrary if we reject B , we should conclude that the banking sector under investigation is H0 in a monopolistic competition regime.
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The Cross-section Chi-square test is testing the null hypothesis that the cross-section …xed e¤ects are jointly equal to 0. The test is extremely signi…cant. Therefore we reject the null hypothesis that the cross-section …xed e¤ects are jointly equal to 0. The Period Chi-square test is testing the null hypothesis that the period …xed e¤ects are jointly equal to 0. The test is extremely signi…cant. Therefore we reject the null hypothesis that the cross-section …xed e¤ects are jointly equal to 0. The Cross-section/Period Chi-square test is testing the null hypothesis that the cross-section/period …xed e¤ects are jointly equal to 0. The test is extremely signi…cant. Therefore we reject the null hypothesis that the cross-section/period …xed e¤ects are jointly equal to 0.
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Data Analysis for Research
16/02/2015
5 / 20
Class 7
Fixed E¤ects Estimator - EViews estimation
Results are reported in the following table:
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Data Analysis for Research
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Class 7
Fixed E¤ects Estimator - EViews estimation
After importing the data in EViews, select from the main menu Quick/Estimate Equation. The following dialog box will appear:
= αi + β1 labourit + β2 capitalit + β3 depositit + + β4 loansit + β5 equityit + β6 TAit + η i + η t + εit
where IR is the log of net interest revenue for bank i at time t ; labour, is the log of the labour cost, capital is the log of capital cost; deposit, is the log of deposits price; loans, is a proxy for the general level of credit risk faced by banks, equity, is a proxy for a general level of risk; and TA is the log of total asset, which proxies the size of the bank. Finally, η i and η t are a set of banks and time speci…c dummiesindicates the time period and id is the identi…er for each bank in the dataset. Data range between 1990 and 2008.
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Data Analysis for Research
16/02/2015
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Class 7
Fixed E¤ects Estimator - EViews estimation
Before moving on with our analysis, we need to be sure that the model, which we estimated is correctly speci…ed. In other words, does the panel data model …t our data better than a simple pooled data one? To answer the above question, we can run some tests on the statistical signi…cance of the cross-section and period …xed e¤ects. To do this, in the same window, where we have the results of our estimation, we select View/Fixed/Random E¤ect Testing/ Redundant Fixed E¤ect - Likelihood Ratio.
After you wrote the equation, which you want to estimate, click on panel option you select cross-section …xed e¤ect and period …xed e¤ects. Also you choose the White-diagonal option in the coe¢ cient covariance method.