Feasible Generalized Least Squares Using Machine Learning

Miller, Steve; Startz, Richard

doi:10.2139/ssrn.2966194

Cited by 32 publications

(25 citation statements)

References 17 publications

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“…The cross-sectional dependence was performed to understand the interaction between cross-sectional units (De Hoyos & Sarafidis, 2006), with the Wooldridge test used to test for autocorrelation in panel data. To test the hypothesis, a Feasible Generalized Least Square (FGLS) was used as it is a preferred estimator compared to Ordinal Least Square for data with heteroscedasticity (Miller & Startz, 2018). In addition, an independent t-test was used to determine if there were differences in the financial performance of the banks before (2005)(2006)(2007)(2008)(2009) and after (2010-2014) the introduction of integrated reporting.…”

Section: Methodsmentioning

confidence: 99%

“…Heteroscedastic errors such as those found in Q-Ratio and ROE rendered the Ordinary Least Square (OLS) estimators inefficient, as it is likely to induce bias in the standard errors. To overcome this challenge, a different form of estimator is selected, with the common form being Feasible Generalized Least Square (FGLS) if the form of heteroscedasticity is estimated (Miller & Startz, 2018). As such, Feasible Generalized Least Square (FGLS) estimator is the preferred model.…”

Section: Model Specificationmentioning

confidence: 99%

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Integrated reporting and financial performance of South African listed banks

Matemane

Wentzel

2019

Banks and Bank Systems

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The recent development of integrated reporting intends to address the limitations associated with corporate reporting practices. This paper aims to examine whether a statistically significant relationship exists between integrated reporting quality and financial performance. Secondary data was used, namely the integrated reports and annual financial statements of South African banks listed on the Johannesburg Stock Exchange (JSE) for 2010–2014. For the period 2005–2009, only the financial statements were used, since integrated reporting was not yet mandatory. The research design was longitudinal and it combined qualitative and quantitative methods. Descriptive statistics and Feasible Generalized Least Square (FGLS) were used to explore the relationships between financial performance and integrated reporting quality. The results indicate that there is a positive relationship between integrated reporting quality (IRQ) and earnings per share (EPS). However, there is no significant relationship between IRQ and Tobin’s q (Q-Ratio), IRQ and return on equity (ROE), IRQ and return on assets (ROA) as well as IRQ and economic value added (EVA). Moreover, there are no significant differences on the financial performance of the listed banks before and after the introduction of integrated reporting.

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Section: Methodsmentioning

confidence: 99%

Section: Model Specificationmentioning

confidence: 99%

Integrated reporting and financial performance of South African listed banks

Matemane

Wentzel

2019

Banks and Bank Systems

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“…However, it does not agree with the findings of Kader and Leong (2008), that there is bi-directional causality between IBs and CBs. As mentioned, that GLS is proposed to be used by this research because of the heteroskedastic case and the serial correlation (Baltagi & Wu, 1999;Miller & Startz, 2018). As shown in Table 5 that the null hypothesis of homoscedasticity is rejected, meaning that the heteroscedasticity is present in the data.…”

Section: Resultsmentioning

confidence: 94%

Does Financial Instability of Conventional Banks Affect Financial Stability of Islamic Banks in GCC Countries?

Al-Wesabi¹,

Yusof²

2019

IJFR

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Purpose: The main purpose of this paper is to investigate the relationship between financial stability in Islamic banks and financial stability and soundness in conventional banks for five GCC countries.Design/methodology/approach: By using time series data, this study employs Pedroni’s panel cointegration to test the long-run relationship between financial stability of Islamic banks and financial stability of conventional banks in GCC countries during the period of (2000-2017). Besides, the study also employs Granger causality to test the causal link between stability of two types of banks (Islamic and Conventional). As well as employing Generalized Least Squares (GLS) to examine the effects between independent variables which are financial stability of conventional banks and their profitability, impact of period of financial crisis (2008/2009), oil prices fluctuations, banking concentration and financial sector development and financial stability of Islamic banks (as the dependent variable).Findings: The findings of this research suggest that there is a long-run, significant and positive relationship between the financial stability of conventional banks and its Islamic counterpart. At the same time, the financial stability of conventional banks is found to Granger caused the stability of Islamic banks.Originality/value: The results of the study contribute towards understanding the determinants of the financial stability of both Islamic banks and conventional banks and how they affect each other. This is important for policy ramifications by the Central Banks in GCC in terms of treating both types of banks differently to mitigate against future financial crises.

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“…As mentioned, that GLS is proposed to be used by this research because of the presence of heteroskedastic case and the serial correlation in the data (Baltagi & Wu, 1999;Miller & Startz, 2018). As shown in Tables 7 and 9, the CBs and IBs heteroskedasticity tests, respectively are presented.…”

Section: Gls Estimationsmentioning

confidence: 99%

“…Thus, this paper used the GLS to test the relationships; such estimation is considered a more powerful test and its results more efficient than ordinary least squares (OLS). As well as to solve problems of serial correlation and heteroskedasticity (Baltagi & Wu, 1999;Hansen, 2007;Miller & Startz, 2018).…”

Section: Generalized Least Squares (Gls)mentioning

confidence: 99%

Capital and Liquidity Risks and Financial Stability: Pre, During and Post Financial Crisis Between Islamic and Conventional Banks in GCC Countries, in the Light of Oil Prices Decline

Al-Wesabi¹,

Yusof²

2019

IJFR

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Purpose: The main purpose of this paper is to investigate the impact of capital ratio and liquidity risks and the effects of the Global Financial Crisis (GFC) periods on financial stability of conventional and Islamic banks before, during, and after GFC in the year of 2008 five GCC countries. To examine empirically the comparison between conventional and Islamic banks based on financial stability and soundness, as well as capitalization and liquidity in the light of the adverse effects of GFC and oil prices declining during the period of (2000-2017).Design/methodology/approach: By using time series data, this study employs Pedroni’s panel cointegration analysis to test the long run relationship between financial stability of conventional banks and Islamic banks as a dependent variable and independent variables including financial crisis under three periods; pre (2006-2007), during (2008-2009) and post (2010-2011) crisis. As well as employing Generalized Least Squares (GLS) to examine the effects between independent variables which are GDP, inflation, financial crisis periods, oil prices fluctuations risk, banking competition, financial sector development, liquidity risk and capital adequacy ratio and dependent variable which is financial stability of conventional and Islamic banks in GCC countries before (2000-2006) during (2006-2009) and after (2010-2017) crisis.Findings: The findings of this research suggest that there is a long run relationship between financial stability of conventional and Islamic banks and capital ratios, liquidity risk and other independent variables. As well as study’s findings support some previous studies and it generally concludes that Islamic banks were performed better during the crisis than conventional banks. Whereas Islamic banks were more stable during crisis as their business model helped to limit the adverse effects of crisis in 2008, they were also more capitalized and less exposure to liquidity risk. Nevertheless, decrease in Islamic banks’ liquidity led some Islamic banks in GCC countries to declare significant losses in 2009.Originality/value: The result of the study contributes towards understanding the determinants of financial stability of both Islamic banks and conventional banks during financial crisis periods. It is important for policy ramifications by the Central Banks in GCC in terms of treating both types of banks differently to mitigate against future financial crises.

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Feasible Generalized Least Squares Using Machine Learning

Cited by 32 publications

References 17 publications

Integrated reporting and financial performance of South African listed banks

Integrated reporting and financial performance of South African listed banks

Does Financial Instability of Conventional Banks Affect Financial Stability of Islamic Banks in GCC Countries?

Capital and Liquidity Risks and Financial Stability: Pre, During and Post Financial Crisis Between Islamic and Conventional Banks in GCC Countries, in the Light of Oil Prices Decline

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