Lagrange Multiplier Test Research Articles

The Reliability of Corporate Zero-Default Debt

Although corporate bankruptcy has been examined in terms of measurement and modeling, a question remains standing still: Is it worthy enough to predict the bankruptcy or will it be better to develop a tool to prevent it from the beginning? Corporate bankruptcy techniques, models and theories focus on predicting the bankruptcy only rather than preventing bankruptcy which helps corporate managers take the right borrowing decision. The researcher believes that Corporate Debt Safe Buffer is a valid model in this respect. This thesis tests a bankruptcy prevention model (Eldomiaty, et al., 2014) on the non-financial firms listed in DJIA30 and NASDAQ100 over the period 1999-2016. The results provide a validation for this model with Trade off, Pecking Order and Free Cash Flow theories of capital structure as the results are quite significant and can be used for determining a debt ratio safe buffer. The researcher uses the following statistical methods to test the new model Lagrange Multiplier Test, Cointegration Using Unit Root Test, Linearity versus Nonlinearity Test, Hausman Test. The results prove that: (a) firms tend to adapt a positive debt ratio safe buffer, (b) there is no significant difference between debt ratio safe buffer and the observed debt ratio. The overall results show that the predication of bankruptcy is a helpful tool for credit rating agencies when evaluating corporate creditworthiness, although the model help avoiding bankruptcy.

Faktor-Faktor Yang Mempengaruhi Penghindaran Pajak Manufaktur di Indonesia

The purpose of this study was to identify the variables that affect tax avoidance, the dependent variable. Leverage, profitability, and company size are employed as independent variables. For the 2018–2021 period, this analysis uses secondary data gathered from yearly reports obtained from the Indonesian Stock Exchange. Purposive sampling was used to collect 96 samples from 24 companies over a 4-year period, from 2018 to 2021. Eviews 10 software was used to process this research. The Chow test, Hausman test, and Lagrange multiplier test were the techniques employed. The conclusion reached is that tax evasion is influenced by leverage. While company size and profitability have no bearing on tax avoidance.

Effect of external and domestic Public debt on Private investment (A VAR Model analysis)

The objective of this paper is to examine the relationship between private investment and public external and domestic debt for the period of 1980 to 2021. In this study, we checked the unit-root test by using Augmented Dickey-Fuller (ADF) test and Pillips-Perron (PP) test. Moreover, the result of Johansen test states that there is no long-run cointegration between variables. Therefore, this study used VAR-Model for analysis. Furthermore, different type of tests has been applied such as, Shapiro-Wilk W test, Breusch-Pagan/ Cook-Weisberg Test, Breusch-Godfrey LM test, Impulse response analysis and Ramsey Reset test. The estimated result shows a negative and significant relationship between private investment with credits to the private investments by banks and public external debt. However, there is a positive and significant association between private investment with domestic public debt. The Granger Causality Wald test confirms that the most of the previous value of one variable helps to predict the future value of other variables. Hence, it is concluded that the government should revisit their external debt policy to support the country infrastructure, macroeconomic balance and for other public expenditure because this increasing public debt is detrimental to the private investment.

Analysis of Financial Distress, Profitability, Liquidity, Leverage on Share Prices of Manufacturing Companies Listed on the IDX

The aim of this research is to determine the influence of the variables Financial distress, profitability, liquidity and Leverage on Manufacturing stock returns on the IDX in 2020-2021, in the phenomenon there are differences between real data and theory as well as research gaps that exist in previous research. The sampling method uses a purposive sampling method. The analysis technique used in this research uses Eviews Panel Data Regression Analysis version 12 and a significance level of 5% and in selecting the model the Chow test, Hausman test and Lagrange Multiplier test are used, which is better. The research results show that financial distress calculated using the Taffler model has a significant influence on stock returns with a significance value of 0.0022. Meanwhile, Profitability, Liquidity, Leverage have no effect and are not significant on stock returns

An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects

A huge literature on modeling cross-sectional dependence in panels has been developed using interactive effects (IE). One area of contention is the hypothesis concerned with whether the regressors and factor loadings are correlated or not. Under the null hypothesis that they are conditionally independent, we can still apply the consistent and robust two-way fixed effects estimator. As an important specification test we develop an LM test for both static and dynamic panels with IE. Simulation results confirm the satisfactory performance of the LM test in small samples. We demonstrate its usefulness with an application to a total of 22 datasets, including static panels with a small T and dynamic panels with serially correlated factors, providing convincing evidence that the null hypothesis is not rejected in

The Effect of Profitability and Liquidity on Dividend Policy

This study examines the relationship between profitability projected by ROE and liquidity by CR to predict its effect on projected dividend policy with dividend payout ratio (DPR) in food and beverage sector manufacturing companies listed on the stock exchange market. Design and method of analysis, estimation of pandel data regression models with CEM, FEM and REM approaches using the EViews v.12 program. Approach model selection with Chow test, Hausman test, and LM test. The classical assumption test refers to the results of the best panel data regression model selected. The feasibility evaluation of the model was carried out by regression analysis of panel data, and analysis of the coefficient of determination, as well as the t test and F test, at a = 0.05. The results of the study, FEM as a regression model of selected panel data. Evaluation of the feasibility of the model, ROE and CR can predict changes in DPR behavior, although there is an inverse relationship of CR with DPR. The joint contribution of ROE and CR has a high ability to predict and influence the DPR. ROE has a significant negative effect on the DPR. CR has no influence on the DPR. Together, ROE and CR have proven to have a significant positive effect on the DPR.

Pengaruh Penerapan Akuntansi Hijau Dan Kinerja Lingkungan Terhadap Profitabilitas Perusahaan Pertambangan

Although natural resources’ important role and massive contribution to the country’s economic development, mining activities bring unprecedent consequences, like environment destruction and social conflict. Companies need to pay attention to the Corporate Social Responsibility (CSR) in this era. Green accounting and environment performance are couple of instruments to support CSR implementation. The puporse of this research is to understand how big the influence of green accounting and environment performance to the mining companies’ profitability. This research is quantitative research. This research utilizes Eviews 13 software. To ensure the precise of model regression, classic assumption test is conducted, such as normality test, multicollinearity test, autocorrelation test, and heteroscedasticity test. To choose the best panel data regression model, there will be 3 test to conduct, which are Chow test, Hausman test, and Lagrange-Multiplier test. Partial test and f-test are done to test hypothesis in this research. Partial test and f-test are done to test hypothesis in this research. The result of this research indicates that green accounting gives negative impact to the profitability of mining companies. While, environment performance doesn’t give any influence to the company’s profitability. Simultaneously, green accounting and environment performance give significant influence to the profitability. Green accounting impacts negatively to the profitability, because there is no accounting standard about the calculation method, classification accounts from the environment costs, no correlation between financial report and sustainability report, and lack of transparency of the environment cost. Environment performance gives no effect to the profitability, due to lack respond from some stakeholders to the environment performance score. Keywords : Green Accounting, Environment Performance, Mining Companies

PUBLIC HEALTH EXPENDITURE, ENVIROMENTAL POLLUTION AND HEALTH OUTCOMES IN NIGERIA

The study examines public health expenditure, environmental pollution and health outcomes- using infant mortality rate as proxy. Data was sourced from Central Bank of Nigeria and National Bureau of statistics from the period 1981 to 2021. A test of stationarity of the variables using- Unit Root Tests (ADF and P-P Tests) were examined coupled with a test of the existence of a long-run equilibrium relationship using the Johansen Co-integration Test. Afterward, an Error Correction Model (ECM) technique were applied in the study. Other diagnostic tests such as Residual Diagnostic Test, Serial Correlation LM Test and Histogram Normality Test were conducted to further validate the credibility of the model. The findings from the results showed that carbon (iv) oxide and gas flaring do not have significant effect on infant mortality rate as they were not statistically significant at 5% level. HIV showed negative impact on infant mortality which means the variables do not have direct effect on infant mortality. On the other hand, public health expenditure showed positive impact on infant mortality rate due to corrupt practices in the health sector. The study recommends that, expenditure on healthcare should be efficient and accountable. Also, government should create more or intensify public awareness program on pollution and HIV. Overall, the study identified a significant connections between health expenditure and health outcomes, and a weak relationships between environmental pollution and health outcomes in Nigeria.

Factors Affecting the Capital Structure of Companies in the Industry, Agriculture, and Services Listed on the Vietnamese Stock Market

The study collects data from 75 industrial, agricultural, and service companies listed on the two stock exchanges HOSE and HNX in the period from 2020 to 2023. At the same time, the study uses Hausman and Breusch, and Pagan Lagrangian multiplier tests to select the model that best explains the factors affecting capital structure. The research results show that corporate income tax rate and revenue growth rate have a positive impact on the debt ratio, while the profitability ratio and operating risk of the company are negatively correlated with the debt ratio. Other factors such as tangible assets and company size have an impact on the choice of a firm's capital structure but are not statistically significant.

Uncovering Systematic Risk in Crypto currency Markets: An Empirical Investigation Using DCC-GARCH Model.

This study presents an analysis of the occurrence of structural flaws and spillovers of volatility among eight popular digital currencies, such as Bit coin (BTC), Litecoin (LTC), Ripple (XRP), BNBPrice, DOGECOINPrice,ETHEREUMPrice, TETHERPrice, and USDCOINPrice. The analysis covers the period from December 25, 2019, to August 25, 2022, utilizing various statistical tests such as the Chow Breakpoint Test, Cumulative Sum test, The Granger Causality Test, the LM test for ARCH, and Dynamic Conditional Correlation (DCC) GARCH model. The results of this research reveal being present structural breaks in all the evaluated cryptocurrencies, highlighting the unpredictable nature of the cryptocurrency market. Additionally, these cryptocurrencies exhibit notable volatility spillovers and substantial positive correlations, which point to limited benefits of diversification within the cryptocurrency market. (Chowdhury, 2020; Treiblmaier, 2018; Quispe, 2023). These results have implications for investors, policymakers, and other stakeholders in the cryptocurrency market. The study recommends including cryptocurrencies as an important component in investment portfolios to stimulate returns and reduce overall portfolio risks, it is noted that direct investment incryptocurrencies can generate higher abnormal returns, but this comes with increased risk due to their inherent volatility. Investor preference for firms involved in cryptocurrency is influenced by factors such as legal protection and familiarity. Thus, policymakers should prioritize financial stability and implement careful regulation of cryptocurrency-related announcements to prevent artificial premiums and fraudulent activities (Chowdhury, 2020; Treiblmaier, 2018; Quispe, 2023). Furthermore, the analysis highlights the presence of high volatility spillover effects among certain cryptocurrencies, particularly Bitcoin, Ethereum, and Litecoin.. While volatility offersdiversification advantages, concerns arise due to the lack of intrinsic value and dividends in cryptocurrencies (Özdemir, 2022). The presence of systematic structural breaks suggests the possibility of manipulative behaviors and potential trading strategies that warrant further investigation. The DCC GARCH analysis reveals a high correlation and significant volatility spillover effects among most cryptocurrencies. These findings emphasize the need for a more diversified cryptocurrency market to mitigate risk and promote stability within this emerging financial sector.

Country Level Governance as A Capital Structure Determinant: A Case of Pakistani Non-Financial Listed Firms

Current paper investigated the effects of country governance indicators and firm level variables on the capital structure of non-financial listed firms registered with Pakistan Stock Exchange (PSX) for the interval of 2002-18. The collected panel data was analyzed by employing panel data analysis techniques e.g., pooled OLS, fixed effect and random effect (FR/RE) model and 2-step system GMM. The purpose of employing these techniques was to capture the un-observed heterogeneity and endogeneity in the model. FE model with robust standard error was applied to control the heteroskedasticity in the model. The suitability of pooled OLS and RE model was decided on the basis of P-value of “Breusch and Pagan Lagrangian Multiplier Test” (BPLM). The results revealed that corruption perception, country governance variables and firm level variables have a considerable impact on capital structure of non-financial registered firms. Equally theory and practice can benefit from the study's findings. The study aims to theoretically incorporate new independent variables into the capital structure literature in the context of Pakistan, including political patronage, democratic regime, rule of law, abuse of power, quality of regulation, stability of politics, voice and accountability, and government effectiveness. On the practical side, the findings provide guidelines for the firms to be careful about these determinants that may be helpful in minimizing the default risk associated while lending funds. Future research may be conducted by replicating in other sectors to validate the results.

Corporate governance quality, corporate life cycle and investor confidence in commercial banks: Evidence from Nigeria

A dominant strand of literature advances a positive association between corporate governance quality and investor confidence. However, the corporate life cycle may influence the relationship. Therefore, this study investigated the moderating role of the corporate life cycle in the association between corporate governance quality and investor confidence in the Nigerian banking industry. Corporate governance quality was proxied using a composite measure of board characteristics comprising board size, board meeting, independence, and board gender diversity, while investor confidence was proxied using the price-earnings ratio. Secondary data were obtained from the audited annual financial statements of 12 banks from 2006 to 2021. The study adopted a pooled regression model based on the results of Hausman, and the Breusch and Pagan Lagrangian multiplier test. The results showed that corporate governance quality positively and significantly impacted investor confidence at the introduction (coef = .318, p = 0.017) and decline (coef = 383, p = 0.011) phases of the life cycle. Banks at the introduction and decline phases of the life cycle were characterized by a narrow resource base, low profitability, and higher risky investments sufficient to attract investor confidence. The study concludes that corporate governance quality enhanced investor confidence at the introduction and decline phases of the banks’ life cycle.

Effect of Cashless Reform on Revenue Collection Performance in Kakamega County

Revenue is considered a key element for any state since the resources mobilized and collected are used to finance government projects and provide services to citizens. After the creation of Kakamega County due to devolution, Kakamega initiated revenue reforms in 2019 to mobilize its own source of revenue. Despite the reforms, the county is still facing challenges and massive deficits in revenue collection, which hinder its operation. The study specifically examined the effect of cashless reform on revenue collection performance in Kakamega County. Secondary data between the two periods was used, and the study chose descriptive, correlational, and causal comparative as the study designs. The data in this research was analyzed using both descriptive and inferential statistics. Descriptive statistics measured include mean, standard deviation, minima, and maxima. The Pearson correlation coefficient was also calculated. Pre-estimation diagnostic tests carried out in the study included unit root and Philip Perron tests for stationarity. Results indicated that after reforms, cashless reform had a moderately positive relationship with revenue collection performance (0.450). From regression analysis, model estimates after reforms were (t = 2.81, p<0.05) for cashless system reform. Post-estimation diagnostic tests carried out include the Breusch-Godfrey LM test, whose findings showed that there is no autocorrelation; the Variance Inflation Factors (VIF), which indicated that there was no multicollinearity; the Breusch-Pagan test, whose results and findings showed the error terms were homoscedastic; and finally, the Jarque-Bera test, which showed that residuals are regularly conveyed. Recommendations from the study were that Kakamega County should come up with modern ways of revenue collection. Additionally, the county should come up with a simplified and cost-effective system to enhance revenue collection. The study further recommended severe sanctions on tax evaders. The discoveries from research will be utilized by policymakers to enhance revenue collection within Kakamega County by increasing the revenues collected. Also, the findings will help the Kakamega County Revenue Agency (KCRA) staff gain insights on policy reforms within the county and their causal effect on revenue collection performance.

COVID-19 PANDEMIC EVENTS AND PHILIPPINE STOCK MARKET PERFORMANCE: TESTING FOR MULTIPLE BREAKPOINTS

<p>This study examined several PSEi breakpoints to determine if COVID-19-related headlines or events cause significant stock market breaks. From December 2, 2019 to May 5, 2022 (T=632), time-series data revealed that the stock market performed the worst during the first four months of 2020. Regression with ordinary least squares on PSEi values revealed the Philippine stock market has random walk characteristics for the same time period. The Breusch-Godfrey serial correlation LM test at two lags demonstrated serial correlation in the mean equation residuals. During COVID-19 pandemic events, the Chow test was applied to daily stock market data to identify structural breaks and PSEi shifts. The Bai-Perron test identified four noteworthy multi-breakpoints. On April 17, 2020, Leyte reported the first confirmed case of COVID-19, and Johns Hopkins University reported that the global death toll exceeded 50,000. This event is likely related to the cutoff dates of November 5 and 6, 2020, when the Philippines will have an average of 1,000 COVID-19 cases per day and the government will have identified specific sectors to receive free vaccines under the initial procurement. On March 23, 2021, 17 mayors of Metro Manila and neighbouring cities voted unanimously to close recreational establishments for two weeks, indicating a possible parallel to the breakpoints on September 3, 2021, when the Philippine Food and Drug Administration approved Moderna vaccines for 12–17-year-olds. Another breakpoint found was on October 11, 2021924,300 COVAX vaccines donated by the United States arrived at Ninoy Aquino International Airport. Breakpoint events and their implications for the study of financial economics were discussed. </p><p><strong>JEL</strong>: E32; G11; G14; G17</p><p> </p><p><strong> Article visualizations:</strong></p><p><img src="/-counters-/soc/0048/a.php" alt="Hit counter" /></p>

EFFECT OF CREDIT RISK MANAGEMENT ON THE FINANCIAL PERFORMANCE OF BANKING SECTOR OF BANGLADESH: A STUDY ON GENERATION-BASED SELECTED LISTED COMMERCIAL BANKS

<p>The financial sector of the country is mostly comprised of banking institutions; those are leading the economy with great exposure with the contribution to the development process. However, the banking sector of Bangladesh is disturbed by the large-scale amount of non-performing loans while has become an essential part of the finance of the industries. As part of the measurement of credit risk and macro factors average lending rate, inflation, NPL size, capital adequacy ratio, liquidity ratio have been selected to test the influence on the financial performance found through the return on asset of the selected banks. To conduct the study 9 banks of three generations have been selected for the period of 2016 to 2022. Robust least square method of regression and error correction term have been run to oversee the real impact on financial performance while endogenity and random walk in the values are being considered to overcome through a dynamic regression model. NPL has a negative impact on the performance and average lending rate, inflation, liquidity ratio and capital adequacy ratio bring a positive impact on the financial performance of the banks. Breusch-Pagan LM test confirms that cross-sectional dependency exists and VAR serial correlation test finds autocorrelation in the data set. The policy implication of this study suggests that the high NPL ratio must be reduced and CAR and LR must be improved to get the desired results of the performance. Strong fiscal and banking regulation should implement so that governance can be ensured to create responsibility and financial strength.</p><p><strong>JEL:</strong> E4, D81, E33, E44</p><p> </p><p><strong> Article visualizations:</strong></p><p><img src="/-counters-/soc/0045/a.php" alt="Hit counter" /></p>

Analysis of the Impact of Public Services on Residents' Health: A Spatial Econometric Analysis of Chinese Provinces.

Objectives: The aim of this study was to explore the mechanism between public services and residents' health, focusing on the role of spatial geographical factors. Methods: Leveraging a comprehensive panel dataset encompassing 30 mainland Chinese provinces from 2007 to 2019, this study engineered a spatial Durbin model furnished with dual fixed effects through the application of the Lagrange multiplier, Hausman, and likelihood ratio tests. The primary objective was to delve into the repercussions of varying public service levels on residents' health outcomes. Results: The empirical findings reveal a palpable spatial autocorrelation between residents' health outcomes and the public services levels dispensed across Chinese provinces. Intriguingly, an elevation in the public service level in a given province not only ameliorates its residents' health outcomes but also triggers a spatial spillover effect, thereby positively influencing residents' health in neighboring provinces. The rigorous endogeneity and robustness checks affirm the reliability of the principal outcomes. Conclusion: Due to the increase in social uncertainty, all regions should break free of the administrative monopoly, enhance regional integration and development, and improve residents' health status by clustering public service supply.

Corporate Sustainable Growth Among Listed Non-Financial Firms in Nigeria During Financial Crisis: Does Board Characteristics Matter?

During the worldwide financial catastrophe and pandemic, non-financial firms faced several challenges. Corporate survival in these difficult times necessitates the agitation for the long-term growth of the companies. Sustainable growth is defined as growth witnessed by a company in a stand-alone position without any outside finance. Sustainability in a term of long-term growth is obtained through the existence of effective qualities of the board of directors. There is indeed the existence of fantastic research on the theme of our study. However, the studies were not only scanty, but they were of divergent results and did not cover all the countries. Against these loopholes, our study was conducted to investigate the influence of board qualities on the sustainable growth of non-financial firms in Nigeria. Listed firms other than financial ones on the Nigerian Exchange Group, between 2011 to 2020 were the population of the study. 60 companies were selected through the application of content analysis. The best multiple regression model adopted for the study, after the conduction of the Breusch-Pagan LM test and Hausmann test, was the random effect through e-view 8.0. The result obtained was that board qualities – size, independence, and meeting – had positive cum significant impacts on SGR (coefficients: 0.0659, 0.0405, 0.0508; p-values < 0.05). while board gender diversity was positively correlated with sustainable growth though insignificant at the 5% threshold of significance (coefficient: 0.0397; p-value > 5%). The study was in support of principal-agent theory because effective features of the board were seen to be a way of solving the principal-agent problem.

Asset Portfolio Investment Strategies Based on Econometric Models

In order to provide traders with a daily trading strategy for gold and bitcoin, a price forecasting model was first developed. After performing ADF stationarity tests and LM tests on returns, the ARMA (3,7) and ARMA (4,5) models are estimated using THE PERTUR (3,7) and ALM (5) models with perturbation terms GARCH (1,1) and vt following a t-distribution. The second step is to build a risk judgement model that considers the impact of the special bull and bear market quotes, sets the bull score and determines its weight as 0.333. The third step is to build a decision model that introduces a purchase score and builds a planning equation based on the fact that gold is only traded on trading days to obtain the final decision. With this model, a principal of $1,000 could end up with an asset of $164,080. MCM/ICM: Procedures and techniques for a great experience. Proving that the model used is the optimal strategy is done in two parts: an accuracy test and an analysis of investment behavior. The accuracy test introduces the regression evaluation metrics MSE and RMSE and the results show that the portfolio investment model is the most accurate. The analysis of investment behavior demonstrates the failure of one-way investments by comparing complete bitcoin investments or gold investments with the information reviewed.

Impact of Value-Added Tax on Revenue Generation in Nepal: An ARDL Approach

This paper aims to identify the impact of VAT on revenue generation in Nepal using a quantitative method. Testing the unit root of the series is the first step in determining whether the data are stationary. An Augmented Dicky Fuller unit root test and a co-integration test are employed to check the relationship between the variables under study. This study reveals that LNVAT, LNRCE, LNRIT, LNROT, and LNRNT are significant, which is desirable. As a result, a 1 percent increase in value-added tax leads to a 21.60 percent increase in government tax revenue, while a 1 percent increase in custom excise duty leads to a 39.31 percent increase in tax revenue. Other macroeconomic variables such as LNRIT, LNROT, and LNRNT contribute 15.32 percent, 8.51 percent, and 15.06 percent to government revenue generation. The P-value of the Breusch-Godfrey serial correlation LM test, the Breusch-Pagan-Godfrey heteroscedasticity test, and the normalcy test are greater than 5 percent, which is ideal. As a result, there is no autocorrelation or heteroscedasticity in this model. The residual follows a normal distribution. The diagnostic tests show that the models have the expected econometric features and are structurally sound.

What Drives the Economic Activity in the Oil-Producing Countries? An Empirical Evidence for Caspian Countries

Abstract This study investigates and assesses the economic activity in the five Caspian states - Azerbaijan, Iran, Kazakhstan, Russia, and Turkmenistan over the period from 1998 to 2021. In this regard, we used GDP as the dependent variable, while oil production, global oil price, natural gas production, global natural gas price, exports, and inflation were the explanatory variables in order to investigate and capture their impact on the economic activity in these energy-producing countries. In terms of methodology, we performed the regression models often used in the panel analysis - Common Effects Model and Fixed Effects Model, and also applied various robustness and diagnostic tests, namely: F-test, Jarque-Bera test, Breusch- Pagan LM Test or Chow Test. Our results showed that the Fixed Effects Model provides a more accurate estimation of the economic activity (in terms of GDP), since the exports and the oil production have a direct, positive and statistically significant influence on these economies. For instance, a 10% increase in the exports and oil production generates an increase in the level of GDP of about 0.96% and 3.12%. At the same time, the results showed moderate positive and direct correlations between GDP and inflation, as well as between oil prices and inflation, suggesting that oil prices exert a greater influence on producer prices because of oil’s role as a key input in these oil-exporting countries. Furthermore, by applying the Vector Error Correction model (VECM), our results showed that the variables are not cointegrated and the level of GDP per capita is not influenced by the co-movements of the explanatory variables in the long-run. In this sense, a policy implication of the study would be to develop more intensive co-operation and build new energy trade relationships between the Caspian Countries and other energy-dependent countries, especially the European Countries.