Parametric Bootstrap Inference For Panel Data Model

With the reform of the interest rate market continues to deepen,the regional city commercial banks,small and medium-sized joint-stock banks and foreign banks continue to emerge,the financial environment faced by the banks has undergone tremendous changes.The traditional bank profit-making model dominated by deposits and loans has been seriously challenged.Therefore,facing the various challenges of the interest rate marketization,the research on the net interest magin data of Chinese listed commercial banks has attracted wide attention from many scholars.It can improve the efficiency of commercial banks and financial intermediaries.At the same time,we often use Panel data to analyze the Chinese listing commercial banks net interest magin.The Panel data model can effectively depict the relationship between net interest margin and its influencing factors,and reasonably fit the model.So it is very important to study the statistical inference of Panel data model and apply it to the research on the influencing factors of Chinese listing commercial banks net interest magin.First,based on the least square estimator and two-stage estimator,the regression coefficients estimation of Panel data model is discussed.Secondly,using the parameters Bootstrap and generalized p-value test,the hypothesis test of unknown parameters in Panel data model is studied.Furthermore,the simulation studies are carried out by using the Monte Carlo method to verify the statistical superiority of the test method given in this paper.Finally,based on the above research results,we choose the net interest magin data of 16 listing commercial banks,which from the third quarter of 2010 to the second quarter of 2017,to analyze the influencing factors of net interest margin from multiple angles.The results show that for the hypothesis testing problem of unknown parameters in the Panel data model,the parametric Bootstrap approach not only can control the type I error probability efficiently,but also has higher power,which is consistently better than the generalized p-value approach.In addition,the changes in credit risk,risk preference,operating efficiency and innovation ability have a significant impact on the Chinese listing commercial banks net interest magin.Among them,improving risk management system,improving business level and increasing financial innovation input will help listing commercial banks effectively control their net interest margin level.At the same time,our country is still in the stage of promoting the interest rate marketization.We need to further deepen the reform and improve the independent pricing mechanism of commercial banks.