---------------------------------------------------------------------------------------------------------------------
log: /Users/baum/Documents/boyan/Boyan-CorpGov/CorpGov_revise/boyan_adjust_fiveeq.smcl
log type: smcl
opened on: 19 Mar 2009, 17:32:38
. set more off
. clear
. // 9215: use rebuilt UDCL file including 2006 IRRC and 2007 Compustat data
. mata: mata clear
. mata: mata set matafavor speed
. set mem 500m
Current memory allocation
current memory usage
settable value description (1M = 1024k)
--------------------------------------------------------------------
set maxvar 5000 max. variables allowed 2.105M
set memory 500M max. data space 500.000M
set matsize 1000 max. RHS vars in models 7.713M
-----------
509.818M
. * use ~/doc/boyan/udcl_irrc_3, clear
. * use /Users/grad/Documents/wowo/UDCL_IRRC_3.dta,clear
. * use http://fmwww.bc.edu/cfb/boyan/UDCL_IRRC_3_9210,clear
. use UDCL_IRRC_3_9210,clear
.
. tab yeara
fiscal year | Freq. Percent Cum.
------------+-----------------------------------
1990 | 1,295 4.83 4.83
1991 | 1,262 4.70 9.53
1992 | 1,241 4.63 14.16
1993 | 1,346 5.02 19.17
1994 | 1,312 4.89 24.06
1995 | 1,365 5.09 29.15
1996 | 1,320 4.92 34.07
1997 | 1,236 4.61 38.68
1998 | 1,677 6.25 44.93
1999 | 1,527 5.69 50.62
2000 | 1,548 5.77 56.39
2001 | 1,457 5.43 61.82
2002 | 1,771 6.60 68.42
2003 | 1,719 6.41 74.83
2004 | 1,847 6.88 81.71
2005 | 1,749 6.52 88.23
2006 | 1,614 6.02 94.25
2007 | 1,544 5.75 100.00
------------+-----------------------------------
Total | 26,830 100.00
. replace infl_v=infl_v*1000
(25286 real changes made)
. replace leadinc_v=leadinc_v*10
(25286 real changes made)
.
. gen sic2=int(dnum/100)
. // old industry filtering
. // keep if sic2>=10 & sic2<40
. // new industry filtering
. drop if sic2 == 49 | inrange(sic2, 60, 69) | sic2 > 87
(6271 observations deleted)
. tabulate sic2, gen(ind)
sic2 | Freq. Percent Cum.
------------+-----------------------------------
1 | 50 0.24 0.24
7 | 7 0.03 0.28
10 | 134 0.65 0.93
12 | 41 0.20 1.13
13 | 670 3.26 4.39
14 | 50 0.24 4.63
15 | 215 1.05 5.68
16 | 78 0.38 6.06
17 | 21 0.10 6.16
20 | 723 3.52 9.67
21 | 59 0.29 9.96
22 | 205 1.00 10.96
23 | 255 1.24 12.20
24 | 161 0.78 12.98
25 | 219 1.07 14.05
26 | 483 2.35 16.40
27 | 531 2.58 18.98
28 | 1,833 8.92 27.90
29 | 305 1.48 29.38
30 | 261 1.27 30.65
31 | 87 0.42 31.07
32 | 210 1.02 32.09
33 | 541 2.63 34.72
34 | 425 2.07 36.79
35 | 1,613 7.85 44.64
36 | 1,773 8.62 53.26
37 | 835 4.06 57.32
38 | 1,145 5.57 62.89
39 | 223 1.08 63.98
40 | 128 0.62 64.60
41 | 4 0.02 64.62
42 | 125 0.61 65.23
44 | 97 0.47 65.70
45 | 197 0.96 66.66
47 | 72 0.35 67.01
48 | 705 3.43 70.44
50 | 583 2.84 73.27
51 | 306 1.49 74.76
52 | 94 0.46 75.22
53 | 308 1.50 76.72
54 | 209 1.02 77.73
55 | 99 0.48 78.21
56 | 379 1.84 80.06
57 | 179 0.87 80.93
58 | 345 1.68 82.61
59 | 422 2.05 84.66
70 | 75 0.36 85.02
72 | 113 0.55 85.57
73 | 1,978 9.62 95.19
75 | 47 0.23 95.42
78 | 88 0.43 95.85
79 | 169 0.82 96.67
80 | 328 1.60 98.27
82 | 76 0.37 98.64
83 | 29 0.14 98.78
87 | 251 1.22 100.00
------------+-----------------------------------
Total | 20,559 100.00
. keep if yeara>1989
(0 observations deleted)
. tab yeara, gen(yrr)
fiscal year | Freq. Percent Cum.
------------+-----------------------------------
1990 | 920 4.47 4.47
1991 | 897 4.36 8.84
1992 | 885 4.30 13.14
1993 | 988 4.81 17.95
1994 | 971 4.72 22.67
1995 | 1,029 5.01 27.68
1996 | 998 4.85 32.53
1997 | 947 4.61 37.14
1998 | 1,338 6.51 43.65
1999 | 1,218 5.92 49.57
2000 | 1,226 5.96 55.53
2001 | 1,148 5.58 61.12
2002 | 1,442 7.01 68.13
2003 | 1,397 6.80 74.93
2004 | 1,429 6.95 81.88
2005 | 1,346 6.55 88.42
2006 | 1,207 5.87 94.29
2007 | 1,173 5.71 100.00
------------+-----------------------------------
Total | 20,559 100.00
.
. g CFr=(data14+data18)/data6
(95 missing values generated)
. g C=data1/data6
. g I=data128/data6
(268 missing values generated)
. g S=data12/data6
(14 missing values generated)
.
. tabstat C, by(gindex)
Summary for variables: C
by categories of: gindex (governance index (gompers, ishii, metrick))
gindex | mean
---------+----------
1 | .2985758
2 | .2407077
3 | .1495318
4 | .1481502
5 | .1526901
6 | .1532588
7 | .1677469
8 | .167078
9 | .1438259
10 | .1307876
11 | .0980489
12 | .088553
13 | .0714789
14 | .0695023
15 | .0804694
16 | .0516555
17 | .1775995
18 | .0807812
19 | .0530192
---------+----------
Total | .1322648
--------------------
. corr C gindex
(obs=20559)
| C gindex
-------------+------------------
C | 1.0000
gindex | -0.1726 1.0000
.
. g prsd_gindex=L.prsd*gindex
(2745 missing values generated)
. label variable prsd_gindex "L.prsd*gindex"
. g infl_v_gindex=L.infl_v * gindex
(2656 missing values generated)
. label variable infl_v_gindex "L.infl_v*gindex"
. g leadinc_v_gindex = L.leadinc_v * gindex
(2656 missing values generated)
. label variable leadinc_v_gindex "L.leadinc_v*gindex"
.
.
. // from table3and4_deriv_Gindex_interaction_cfb.do
. local pct 10 25 50 75 90
. qui summ gindex, detail
. foreach p of local pct {
2. local gpc`p' = r(p`p')
3. }
. qui summ prsd, detail
. foreach p of local pct {
2. local idiopc`p' = r(p`p')
3. }
. qui summ infl_v, detail
. foreach p of local pct {
2. local inflpc`p' = r(p`p')
3. }
. qui summ leadinc_v, detail
. foreach p of local pct {
2. local leadincpc`p' = r(p`p')
3. }
.
. g xgindex_val= .
(20559 missing values generated)
. g yprsd_val= .
(20559 missing values generated)
. g yleadv_val = .
(20559 missing values generated)
. g yinflv_val= .
(20559 missing values generated)
. g upprsd_val= .
(20559 missing values generated)
. g lowprsd_val= .
(20559 missing values generated)
. g upinflv_val= .
(20559 missing values generated)
. g lowinflv_val= .
(20559 missing values generated)
. g upleadv_val= .
(20559 missing values generated)
. g lowleadv_val= .
(20559 missing values generated)
. label variable xgindex_val " Gindex "
. label variable yprsd_val " dcash/dprsd "
. label variable yinflv_val " dcash/dinflv "
. label variable yleadv_val " dcash/dleadv "
. label variable upprsd_val " 95% c.i. "
. label variable lowprsd_val " 95% c.i. "
. label variable upinflv_val " 95% c.i. "
. label variable lowinflv_val " 95% c.i. "
. label variable upleadv_val " 95% c.i. "
. label variable lowleadv_val " 95% c.i. "
. // end insert
.
. eststo clear
.
. // model 1
. eststo: xtabond2 C L.C L.I F.S L.dlead L.TB3MS LD.CFr gindex yrr*, ///
> gmmstyle(L.(C I D.CFr dlead TB3MS gindex) S, collapse laglimits(3 7)) ivstyle(yrr*, equation(level)) ///
> twostep robust
Favoring speed over space. To switch, type or click on mata: mata set matafavor space, perm.
yrr1 dropped due to collinearity
yrr2 dropped due to collinearity
yrr15 dropped due to collinearity
yrr16 dropped due to collinearity
yrr17 dropped due to collinearity
yrr18 dropped due to collinearity
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estimation.
Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, two-step system GMM
------------------------------------------------------------------------------
Group variable: firmid Number of obs = 13240
Time variable : yeara Number of groups = 1887
Number of instruments = 57 Obs per group: min = 1
Wald chi2(19) = 2839.81 avg = 7.02
Prob > chi2 = 0.000 max = 15
------------------------------------------------------------------------------
| Corrected
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
C |
L1. | .7964798 .0393419 20.25 0.000 .719371 .8735886
I |
L1. | .1028687 .1182044 0.87 0.384 -.1288076 .3345451
S |
F1. | -.0031854 .0110463 -0.29 0.773 -.0248357 .018465
dlead |
L1. | -.0005684 .000456 -1.25 0.213 -.0014621 .0003254
TB3MS |
L1. | -.0012605 .0026895 -0.47 0.639 -.0065319 .0040109
CFr |
LD. | .0156615 .0704437 0.22 0.824 -.1224055 .1537286
gindex | -.0057907 .0016814 -3.44 0.001 -.0090862 -.0024951
yrr3 | -.0352472 .0306763 -1.15 0.251 -.0953716 .0248771
yrr4 | -.0353388 .0242184 -1.46 0.145 -.0828059 .0121284
yrr5 | -.0369238 .0211738 -1.74 0.081 -.0784238 .0045761
yrr6 | -.0319565 .0221739 -1.44 0.150 -.0754164 .0115035
yrr7 | -.0241198 .0240961 -1.00 0.317 -.0713474 .0231078
yrr8 | -.0233704 .0217347 -1.08 0.282 -.0659697 .0192289
yrr9 | -.028205 .0195408 -1.44 0.149 -.0665042 .0100942
yrr10 | -.0218224 .0173147 -1.26 0.208 -.0557586 .0121139
yrr11 | -.0194885 .0153483 -1.27 0.204 -.0495707 .0105936
yrr12 | -.0023499 .017282 -0.14 0.892 -.036222 .0315222
yrr13 | .0002627 .0118949 0.02 0.982 -.0230509 .0235763
yrr14 | .0029494 .005627 0.52 0.600 -.0080792 .013978
_cons | .158662 .0604811 2.62 0.009 .0401213 .2772028
------------------------------------------------------------------------------
Instruments for first differences equation
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(3/7).(L.C L.I LD.CFr L.dlead L.TB3MS L.gindex S) collapsed
Instruments for levels equation
Standard
_cons
yrr1 yrr2 yrr3 yrr4 yrr5 yrr6 yrr7 yrr8 yrr9 yrr10 yrr11 yrr12 yrr13 yrr14
yrr15 yrr16 yrr17 yrr18
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL2.(L.C L.I LD.CFr L.dlead L.TB3MS L.gindex S) collapsed
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -12.73 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = 1.22 Pr > z = 0.224
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(37) = 94.24 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(37) = 35.62 Prob > chi2 = 0.534
(Robust, but can be weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(30) = 26.89 Prob > chi2 = 0.629
Difference (null H = exogenous): chi2(7) = 8.74 Prob > chi2 = 0.272
iv(yrr1 yrr2 yrr3 yrr4 yrr5 yrr6 yrr7 yrr8 yrr9 yrr10 yrr11 yrr12 yrr13 yrr14 yrr15 yrr16 yrr17 yrr18, eq(level))
Hansen test excluding group: chi2(23) = 30.94 Prob > chi2 = 0.124
Difference (null H = exogenous): chi2(14) = 4.68 Prob > chi2 = 0.990
(est1 stored)
. g byte ds = e(sample)
.
. // model 2
. eststo: xtabond2 C L.C L.I F.S L.dlead L.TB3MS LD.CFr L.prsd L.infl_v gindex, ///
> gmmstyle(L.(C I prsd) S,collapse laglimits(3 5)) ///
> ivstyle(CFr dlead TB3MS infl_v gindex, equation(level)) ///
> twostep robust
Favoring speed over space. To switch, type or click on mata: mata set matafavor space, perm.
Dynamic panel-data estimation, two-step system GMM
------------------------------------------------------------------------------
Group variable: firmid Number of obs = 13198
Time variable : yeara Number of groups = 1881
Number of instruments = 22 Obs per group: min = 0
Wald chi2(9) = 3212.49 avg = 7.02
Prob > chi2 = 0.000 max = 15
------------------------------------------------------------------------------
| Corrected
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
C |
L1. | .7926124 .0469155 16.89 0.000 .7006597 .884565
I |
L1. | -.0267764 .1396315 -0.19 0.848 -.300449 .2468962
S |
F1. | -.0063559 .0183518 -0.35 0.729 -.0423247 .029613
dlead |
L1. | -.0005041 .0001148 -4.39 0.000 -.0007292 -.0002791
TB3MS |
L1. | -.0075164 .0012901 -5.83 0.000 -.0100451 -.0049878
CFr |
LD. | .1026363 .0568636 1.80 0.071 -.0088143 .2140869
prsd |
L1. | .0040111 .0016068 2.50 0.013 .0008618 .0071604
infl_v |
L1. | .0020906 .0005956 3.51 0.000 .0009233 .0032579
gindex | -.0016879 .00055 -3.07 0.002 -.002766 -.0006099
_cons | .1124871 .0283007 3.97 0.000 .0570187 .1679555
------------------------------------------------------------------------------
Instruments for first differences equation
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(3/5).(L.C L.I L.prsd S) collapsed
Instruments for levels equation
Standard
_cons
CFr dlead TB3MS infl_v gindex
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL2.(L.C L.I L.prsd S) collapsed
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -11.24 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = 0.48 Pr > z = 0.629
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(12) = 44.78 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(12) = 11.83 Prob > chi2 = 0.460
(Robust, but can be weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(8) = 4.99 Prob > chi2 = 0.759
Difference (null H = exogenous): chi2(4) = 6.84 Prob > chi2 = 0.145
iv(CFr dlead TB3MS infl_v gindex, eq(level))
Hansen test excluding group: chi2(7) = 8.54 Prob > chi2 = 0.287
Difference (null H = exogenous): chi2(5) = 3.29 Prob > chi2 = 0.656
(est2 stored)
.
. /* suppress interaction1
> eststo: xtabond2 C L.C L.I F.S L.dlead L.TB3MS LD.CFr L.prsd L.infl_v gindex prsd_gindex infl_v_gindex, ///
> gmmstyle(L.(C I gindex prsd) S, collapse laglimits(3 5) equation(level)) ///
> gmmstyle(L.infl_v, collapse laglimits(2 7) equation(diff)) ///
> ivstyle(LD.CFr L.dlead L.TB3MS, equation(level)) ///
> ivstyle(prsd_gindex infl_v_gindex) twostep robust
> */
.
. // model 3: interactions
. eststo: xtabond2 C L.C L.I F.S L.dlead L.TB3MS LD.CFr L.prsd L.infl_v gindex prsd_gindex infl_v_gindex, ///
> gmmstyle(L.(C I prsd) S, collapse laglimits(3 5) equation(level)) ///
> gmmstyle(L.infl_v L.gindex, collapse laglimits(2 7)) ///
> ivstyle(LD.CFr L.dlead L.TB3MS, equation(level)) ///
> ivstyle(prsd_gindex infl_v_gindex) twostep robust
Favoring speed over space. To switch, type or click on mata: mata set matafavor space, perm.
Dynamic panel-data estimation, two-step system GMM
------------------------------------------------------------------------------
Group variable: firmid Number of obs = 13215
Time variable : yeara Number of groups = 1886
Number of instruments = 32 Obs per group: min = 1
Wald chi2(11) = 1207.64 avg = 7.01
Prob > chi2 = 0.000 max = 15
------------------------------------------------------------------------------
| Corrected
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
C |
L1. | .9134619 .0560698 16.29 0.000 .8035671 1.023357
I |
L1. | .1154866 .2740486 0.42 0.673 -.4216387 .6526119
S |
F1. | -.0946891 .0260335 -3.64 0.000 -.1457139 -.0436644
dlead |
L1. | -.0001751 .0001259 -1.39 0.164 -.0004219 .0000716
TB3MS |
L1. | -.0007022 .0013808 -0.51 0.611 -.0034085 .0020041
CFr |
LD. | -.0360288 .0131624 -2.74 0.006 -.0618268 -.0102309
prsd |
L1. | .0274417 .0126309 2.17 0.030 .0026855 .0521978
infl_v |
L1. | -.0140037 .004114 -3.40 0.001 -.022067 -.0059403
gindex | .0028866 .0036959 0.78 0.435 -.0043572 .0101303
prsd_gindex | -.0029544 .0013282 -2.22 0.026 -.0055576 -.0003512
infl_v_gin~x | .0013848 .0003979 3.48 0.001 .000605 .0021647
_cons | .117478 .0631732 1.86 0.063 -.0063392 .2412953
------------------------------------------------------------------------------
Instruments for first differences equation
Standard
D.(prsd_gindex infl_v_gindex)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/7).(L.infl_v L.gindex) collapsed
Instruments for levels equation
Standard
_cons
LD.CFr L.dlead L.TB3MS
prsd_gindex infl_v_gindex
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL(3/5).(L.C L.I L.prsd S) collapsed
DL.(L.infl_v L.gindex) collapsed
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -11.38 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = 1.26 Pr > z = 0.207
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(20) = 51.71 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(20) = 23.94 Prob > chi2 = 0.245
(Robust, but can be weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(6) = 7.45 Prob > chi2 = 0.282
Difference (null H = exogenous): chi2(14) = 16.50 Prob > chi2 = 0.284
gmm(L.C L.I L.prsd S, collapse eq(level) lag(3 5))
Hansen test excluding group: chi2(8) = 10.01 Prob > chi2 = 0.264
Difference (null H = exogenous): chi2(12) = 13.93 Prob > chi2 = 0.305
gmm(L.infl_v L.gindex, collapse lag(2 7))
Hansen test excluding group: chi2(6) = 1.73 Prob > chi2 = 0.943
Difference (null H = exogenous): chi2(14) = 22.21 Prob > chi2 = 0.074
iv(LD.CFr L.dlead L.TB3MS, eq(level))
Hansen test excluding group: chi2(17) = 12.55 Prob > chi2 = 0.766
Difference (null H = exogenous): chi2(3) = 11.39 Prob > chi2 = 0.010
iv(prsd_gindex infl_v_gindex)
Hansen test excluding group: chi2(18) = 23.61 Prob > chi2 = 0.168
Difference (null H = exogenous): chi2(2) = 0.33 Prob > chi2 = 0.848
(est3 stored)
.
. // from table3and4_deriv_Gindex_interaction_cfb.do
. scalar tmfx= 1.96
. scalar list
tmfx = 1.96
. * cfb evaluate coefficients at quartiles for both sets of derivatives, store as matrix
. mat deriv = J(16,5,0)
. local i 0
. foreach p of local pct {
2. local ++i
3. * d C/TA / d PRSD
. lincom L.prsd + `gpc`p'' * prsd_gindex
4. mat deriv[1,`i'] = `gpc`p''
5. mat deriv[2,`i'] = r(estimate)
6. mat deriv[3,`i'] = r(se)
7. mat deriv[4,`i'] = 1-normal(abs(r(estimate)/r(se)))
8. * d C/TA / d INFL_V
. lincom L.infl_v + `gpc`p'' * infl_v_gindex
9. mat deriv[5,`i'] = `gpc`p''
10. mat deriv[6,`i'] = r(estimate)
11. mat deriv[7,`i'] = r(se)
12. mat deriv[8,`i'] = 1-normal(abs(r(estimate)/r(se)))
13. * d C/TA / Gindex for varying PRSD
. lincom gindex + `idiopc`p'' * prsd_gindex + `inflpc50' * infl_v_gindex
14. mat deriv[9,`i'] = `idiopc`p''
15. mat deriv[10,`i'] = r(estimate)
16. mat deriv[11,`i'] = r(se)
17. mat deriv[12,`i'] = 1-normal(abs(r(estimate)/r(se)))
18. * d C/TA / Gindex for varying INFL_V
. lincom gindex + `inflpc`p'' * infl_v_gindex + `idiopc50' * prsd_gindex
19. mat deriv[13,`i'] = `inflpc`p''
20. mat deriv[14,`i'] = r(estimate)
21. mat deriv[15,`i'] = r(se)
22. mat deriv[16,`i'] = 1-normal(abs(r(estimate)/r(se)))
23. }
( 1) L.prsd + 5 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0126696 .0060919 2.08 0.038 .0007297 .0246094
------------------------------------------------------------------------------
( 1) L.infl_v + 5 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0070794 .0021839 -3.24 0.001 -.0113598 -.0027991
------------------------------------------------------------------------------
( 1) gindex + .6702157 prsd_gindex + 4.60889 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .007289 .0032457 2.25 0.025 .0009277 .0136504
------------------------------------------------------------------------------
( 1) gindex + 2.096582 prsd_gindex + 1.876927 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0007084 .0016616 -0.43 0.670 -.003965 .0025482
------------------------------------------------------------------------------
( 1) L.prsd + 7 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0067607 .0035828 1.89 0.059 -.0002614 .0137828
------------------------------------------------------------------------------
( 1) L.infl_v + 7 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0043098 .0014572 -2.96 0.003 -.0071659 -.0014537
------------------------------------------------------------------------------
( 1) gindex + 1.177404 prsd_gindex + 4.60889 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0057906 .0026539 2.18 0.029 .000589 .0109921
------------------------------------------------------------------------------
( 1) gindex + 2.096582 prsd_gindex + 2.295692 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0001285 .0016274 -0.08 0.937 -.0033182 .0030613
------------------------------------------------------------------------------
( 1) L.prsd + 9 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0008519 .0016353 0.52 0.602 -.0023533 .004057
------------------------------------------------------------------------------
( 1) L.infl_v + 9 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0015401 .0008627 -1.79 0.074 -.003231 .0001508
------------------------------------------------------------------------------
( 1) gindex + 2.096582 prsd_gindex + 4.60889 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .003075 .0017405 1.77 0.077 -.0003363 .0064862
------------------------------------------------------------------------------
( 1) gindex + 2.096582 prsd_gindex + 4.60889 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .003075 .0017405 1.77 0.077 -.0003363 .0064862
------------------------------------------------------------------------------
( 1) L.prsd + 11 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.005057 .0025739 -1.96 0.049 -.0101018 -.0000122
------------------------------------------------------------------------------
( 1) L.infl_v + 11 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0012296 .0007948 1.55 0.122 -.0003282 .0027874
------------------------------------------------------------------------------
( 1) gindex + 3.652087 prsd_gindex + 4.60889 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0015207 .0017398 -0.87 0.382 -.0049307 .0018894
------------------------------------------------------------------------------
( 1) gindex + 2.096582 prsd_gindex + 5.933946 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0049099 .0020026 2.45 0.014 .0009849 .008835
------------------------------------------------------------------------------
( 1) L.prsd + 13 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0109658 .0049688 -2.21 0.027 -.0207044 -.0012272
------------------------------------------------------------------------------
( 1) L.infl_v + 13 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0039993 .0013363 2.99 0.003 .0013802 .0066184
------------------------------------------------------------------------------
( 1) gindex + 5.982703 prsd_gindex + 4.60889 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0084063 .004359 -1.93 0.054 -.0169498 .0001373
------------------------------------------------------------------------------
( 1) gindex + 2.096582 prsd_gindex + 10.12224 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0107101 .0032815 3.26 0.001 .0042784 .0171417
------------------------------------------------------------------------------
. mat rownames deriv =@_percentiles_Gindex dPRSD stderr pvalue @_percentiles_Gindex dINFL_V stderr pvalue @_percentil
> es_PRSD dGindex_PRSD stderr pvalue @_percentiles_INFL_V dGindex_INFL_V stderr pvalue
. mat colnames deriv =p10 p25 p50 p75 p90
. mat list deriv, ti(Effects of Inflation Uncertainty & Gindex with interactions) format(%9.5f)
deriv[16,5]: Effects of Inflation Uncertainty & Gindex with interactions
p10 p25 p50 p75 p90
@_percentiles_Gindex 5.00000 7.00000 9.00000 11.00000 13.00000
dPRSD 0.01267 0.00676 0.00085 -0.00506 -0.01097
stderr 0.00609 0.00358 0.00164 0.00257 0.00497
pvalue 0.01877 0.02958 0.30121 0.02472 0.01366
@_percentiles_Gindex 5.00000 7.00000 9.00000 11.00000 13.00000
dINFL_V -0.00708 -0.00431 -0.00154 0.00123 0.00400
stderr 0.00218 0.00146 0.00086 0.00079 0.00134
pvalue 0.00059 0.00155 0.03712 0.06092 0.00138
@_percentiles_PRSD 0.67022 1.17740 2.09658 3.65209 5.98270
dGindex_PRSD 0.00729 0.00579 0.00307 -0.00152 -0.00841
stderr 0.00325 0.00265 0.00174 0.00174 0.00436
pvalue 0.01236 0.01456 0.03864 0.19105 0.02690
@_percentiles_INFL_V 1.87693 2.29569 4.60889 5.93395 10.12224
dGindex_INFL_V -0.00071 -0.00013 0.00307 0.00491 0.01071
stderr 0.00166 0.00163 0.00174 0.00200 0.00328
pvalue 0.33493 0.46854 0.03864 0.00711 0.00055
. outtable using table4a_derivs, mat(deriv) replace center format(%9.5f)
.
. summ gindex
Variable | Obs Mean Std. Dev. Min Max
-------------+--------------------------------------------------------
gindex | 20559 9.012744 2.730516 1 19
. local pctg 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
.
. local i=0
. foreach p of local pctg {
2. local ++i
3. qui replace xgindex_val=`p' in `i'
4. }
.
. local i=0
. foreach p of local pctg {
2. local ++i
3. * d C/TA / d PRSD
. lincom L.prsd + `p' * prsd_gindex
4. qui replace yprsd_val = r(estimate) in `i'
5. qui replace upprsd_val = yprsd_val + tmfx * r(se) in `i'
6. qui replace lowprsd_val = yprsd_val - tmfx * r(se) in `i'
7.
. * d C/TA / d INFL_V
. lincom L.infl_v + `p' * infl_v_gindex
8. qui replace yinflv_val = r(estimate) in `i'
9. qui replace upinflv_val = yinflv_val + tmfx * r(se) in `i'
10. qui replace lowinflv_val = yinflv_val - tmfx * r(se) in `i'
11. }
( 1) L.prsd + prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0244872 .0113136 2.16 0.030 .002313 .0466615
------------------------------------------------------------------------------
( 1) L.infl_v + infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0126188 .003723 -3.39 0.001 -.0199158 -.0053218
------------------------------------------------------------------------------
( 1) L.prsd + 2 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0215328 .0099992 2.15 0.031 .0019348 .0411309
------------------------------------------------------------------------------
( 1) L.infl_v + 2 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.011234 .0033336 -3.37 0.001 -.0177677 -.0047002
------------------------------------------------------------------------------
( 1) L.prsd + 3 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0185784 .008689 2.14 0.033 .0015484 .0356084
------------------------------------------------------------------------------
( 1) L.infl_v + 3 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0098491 .0029465 -3.34 0.001 -.0156241 -.0040741
------------------------------------------------------------------------------
( 1) L.prsd + 4 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .015624 .0073851 2.12 0.034 .0011494 .0300986
------------------------------------------------------------------------------
( 1) L.infl_v + 4 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0084643 .0025627 -3.30 0.001 -.013487 -.0034416
------------------------------------------------------------------------------
( 1) L.prsd + 5 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0126696 .0060919 2.08 0.038 .0007297 .0246094
------------------------------------------------------------------------------
( 1) L.infl_v + 5 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0070794 .0021839 -3.24 0.001 -.0113598 -.0027991
------------------------------------------------------------------------------
( 1) L.prsd + 6 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0097151 .0048176 2.02 0.044 .0002728 .0191575
------------------------------------------------------------------------------
( 1) L.infl_v + 6 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0056946 .0018133 -3.14 0.002 -.0092486 -.0021406
------------------------------------------------------------------------------
( 1) L.prsd + 7 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0067607 .0035828 1.89 0.059 -.0002614 .0137828
------------------------------------------------------------------------------
( 1) L.infl_v + 7 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0043098 .0014572 -2.96 0.003 -.0071659 -.0014537
------------------------------------------------------------------------------
( 1) L.prsd + 8 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0038063 .0024477 1.56 0.120 -.0009911 .0086037
------------------------------------------------------------------------------
( 1) L.infl_v + 8 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0029249 .0011294 -2.59 0.010 -.0051385 -.0007113
------------------------------------------------------------------------------
( 1) L.prsd + 9 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0008519 .0016353 0.52 0.602 -.0023533 .004057
------------------------------------------------------------------------------
( 1) L.infl_v + 9 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0015401 .0008627 -1.79 0.074 -.003231 .0001508
------------------------------------------------------------------------------
( 1) L.prsd + 10 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0021025 .0016987 -1.24 0.216 -.0054319 .0012268
------------------------------------------------------------------------------
( 1) L.infl_v + 10 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0001552 .0007278 -0.21 0.831 -.0015817 .0012712
------------------------------------------------------------------------------
( 1) L.prsd + 11 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.005057 .0025739 -1.96 0.049 -.0101018 -.0000122
------------------------------------------------------------------------------
( 1) L.infl_v + 11 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0012296 .0007948 1.55 0.122 -.0003282 .0027874
------------------------------------------------------------------------------
( 1) L.prsd + 12 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0080114 .0037273 -2.15 0.032 -.0153167 -.000706
------------------------------------------------------------------------------
( 1) L.infl_v + 12 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0026145 .0010249 2.55 0.011 .0006057 .0046232
------------------------------------------------------------------------------
( 1) L.prsd + 13 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0109658 .0049688 -2.21 0.027 -.0207044 -.0012272
------------------------------------------------------------------------------
( 1) L.infl_v + 13 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0039993 .0013363 2.99 0.003 .0013802 .0066184
------------------------------------------------------------------------------
( 1) L.prsd + 14 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0139202 .006246 -2.23 0.026 -.0261622 -.0016783
------------------------------------------------------------------------------
( 1) L.infl_v + 14 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0053841 .0016846 3.20 0.001 .0020825 .0086858
------------------------------------------------------------------------------
( 1) L.prsd + 15 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0168746 .0075409 -2.24 0.025 -.0316545 -.0020948
------------------------------------------------------------------------------
( 1) L.infl_v + 15 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .006769 .0020509 3.30 0.001 .0027492 .0107888
------------------------------------------------------------------------------
( 1) L.prsd + 16 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0198291 .0088456 -2.24 0.025 -.0371662 -.002492
------------------------------------------------------------------------------
( 1) L.infl_v + 16 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0081538 .0024273 3.36 0.001 .0033964 .0129112
------------------------------------------------------------------------------
( 1) L.prsd + 17 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0227835 .0101564 -2.24 0.025 -.0426898 -.0028772
------------------------------------------------------------------------------
( 1) L.infl_v + 17 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0095387 .0028096 3.40 0.001 .004032 .0150453
------------------------------------------------------------------------------
( 1) L.prsd + 18 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0257379 .0114713 -2.24 0.025 -.0482212 -.0032546
------------------------------------------------------------------------------
( 1) L.infl_v + 18 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0109235 .0031957 3.42 0.001 .0046601 .0171869
------------------------------------------------------------------------------
( 1) L.prsd + 19 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0286923 .0127889 -2.24 0.025 -.053758 -.0036266
------------------------------------------------------------------------------
( 1) L.infl_v + 19 infl_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0123084 .0035843 3.43 0.001 .0052832 .0193335
------------------------------------------------------------------------------
.
. twoway (scatter yprsd_val xgindex_val, ms(Oh)) (rline upprsd_val lowprsd_val xgindex_val), yline(0) xtitle("Gindex"
> ) title("Elasticity of cash vs. idiosyncratic uncertainty") subtitle("Macro uncertainty: inflation")
. graph export graph_prsd_col3.eps, replace
(note: file graph_prsd_col3.eps not found)
(file graph_prsd_col3.eps written in EPS format)
.
. twoway (scatter yinflv_val xgindex_val, ms(O)) (rline upinflv_val lowinflv_val xgindex_val), yline(0) xtitle("Ginde
> x") title("Elasticity of cash vs. macroeconomic uncertainty") subtitle("Macro uncertainty: inflation")
. graph export graph_inflv_col3.eps, replace
(note: file graph_inflv_col3.eps not found)
(file graph_inflv_col3.eps written in EPS format)
. // end insert
.
. // model 4
. eststo: xtabond2 C L.C L.I F.S L.dlead L.TB3MS LD.CFr L.prsd L.leadinc_v gindex, ///
> gmmstyle(L.(C I) S, collapse laglimits(3 7) equation(diff)) ///
> gmmstyle(L.(prsd gindex), collapse laglimits(3 7)) ///
> gmmstyle(L.(leadinc_v), collapse laglimits(2 7)) ///
> ivstyle(LD.CFr L.dlead L.TB3MS, equation(level)) twostep robust
Favoring speed over space. To switch, type or click on mata: mata set matafavor space, perm.
Dynamic panel-data estimation, two-step system GMM
------------------------------------------------------------------------------
Group variable: firmid Number of obs = 13215
Time variable : yeara Number of groups = 1886
Number of instruments = 38 Obs per group: min = 1
Wald chi2(9) = 2260.38 avg = 7.01
Prob > chi2 = 0.000 max = 15
------------------------------------------------------------------------------
| Corrected
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
C |
L1. | .8717588 .0730744 11.93 0.000 .7285357 1.014982
I |
L1. | .0827054 .1295671 0.64 0.523 -.1712414 .3366523
S |
F1. | -.0070063 .0149898 -0.47 0.640 -.0363856 .0223731
dlead |
L1. | -.0000665 .0001463 -0.45 0.650 -.0003532 .0002203
TB3MS |
L1. | -.0015526 .0010427 -1.49 0.136 -.0035962 .0004911
CFr |
LD. | -.0250286 .015098 -1.66 0.097 -.0546201 .0045628
prsd |
L1. | .0022191 .0016803 1.32 0.187 -.0010742 .0055125
leadinc_v |
L1. | .0080024 .0049926 1.60 0.109 -.0017829 .0177877
gindex | -.0067185 .0025551 -2.63 0.009 -.0117265 -.0017105
_cons | .069007 .0375294 1.84 0.066 -.0045492 .1425632
------------------------------------------------------------------------------
Instruments for first differences equation
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(3/7).(L.C L.I S) collapsed
L(3/7).(L.prsd L.gindex) collapsed
L(2/7).L.leadinc_v collapsed
Instruments for levels equation
Standard
_cons
LD.CFr L.dlead L.TB3MS
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL2.(L.prsd L.gindex) collapsed
DL.L.leadinc_v collapsed
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -9.91 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = 1.25 Pr > z = 0.213
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(28) = 73.15 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(28) = 35.28 Prob > chi2 = 0.162
(Robust, but can be weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(25) = 29.28 Prob > chi2 = 0.252
Difference (null H = exogenous): chi2(3) = 6.00 Prob > chi2 = 0.112
gmm(L.C L.I S, collapse eq(diff) lag(3 7))
Hansen test excluding group: chi2(13) = 15.67 Prob > chi2 = 0.268
Difference (null H = exogenous): chi2(15) = 19.62 Prob > chi2 = 0.187
gmm(L.prsd L.gindex, collapse lag(3 7))
Hansen test excluding group: chi2(16) = 26.16 Prob > chi2 = 0.052
Difference (null H = exogenous): chi2(12) = 9.12 Prob > chi2 = 0.692
gmm(L.leadinc_v, collapse lag(2 7))
Hansen test excluding group: chi2(21) = 26.57 Prob > chi2 = 0.186
Difference (null H = exogenous): chi2(7) = 8.71 Prob > chi2 = 0.274
iv(LD.CFr L.dlead L.TB3MS, eq(level))
Hansen test excluding group: chi2(25) = 26.76 Prob > chi2 = 0.368
Difference (null H = exogenous): chi2(3) = 8.52 Prob > chi2 = 0.036
(est4 stored)
.
.
. /* Boyan orig
> eststo: xtabond2 C L.C L.I F.S L.dlead L.TB3MS LD.CFr L.prsd L.leadinc_v ///
> gindex prsd_gindex leadinc_v_gindex, ///
> gmmstyle(L.(C I D.CFr prsd dlead TB3MS leadinc_v gindex) S, laglimits(3 7)) ///
> ivstyle(prsd_gindex leadinc_v_gindex) twostep // robust
> */
.
. // model 5: interactions
. eststo: xtabond2 C L.C L.I F.S L.dlead L.TB3MS LD.CFr L.prsd L.leadinc_v yrr* ///
> gindex prsd_gindex leadinc_v_gindex, ///
> gmmstyle(L.(C I D.CFr prsd dlead TB3MS leadinc_v gindex) S, laglimits(3 7)) ///
> ivstyle(prsd_gindex leadinc_v_gindex, equation(level) /* L.TB3MS */) ///
> ivstyle(yrr*, equation(level)) twostep // robust
Favoring speed over space. To switch, type or click on mata: mata set matafavor space, perm.
yrr1 dropped due to collinearity
yrr2 dropped due to collinearity
yrr14 dropped due to collinearity
yrr15 dropped due to collinearity
yrr16 dropped due to collinearity
yrr17 dropped due to collinearity
yrr18 dropped due to collinearity
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estimation.
Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, two-step system GMM
------------------------------------------------------------------------------
Group variable: firmid Number of obs = 13215
Time variable : yeara Number of groups = 1886
Number of instruments = 472 Obs per group: min = 1
Wald chi2(22) = 27009.26 avg = 7.01
Prob > chi2 = 0.000 max = 15
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
C |
L1. | .8858482 .007551 117.32 0.000 .8710486 .9006478
I |
L1. | .0360906 .0183447 1.97 0.049 .0001356 .0720456
S |
F1. | .0008504 .0019151 0.44 0.657 -.0029032 .0046039
dlead |
L1. | .0018533 .00089 2.08 0.037 .0001088 .0035977
TB3MS |
L1. | -.017767 .006222 -2.86 0.004 -.0299618 -.0055721
CFr |
LD. | .0152636 .0043447 3.51 0.000 .0067482 .023779
prsd |
L1. | .00152 .0004222 3.60 0.000 .0006925 .0023474
leadinc_v |
L1. | .1176998 .0366444 3.21 0.001 .045878 .1895216
yrr3 | .1884287 .0781827 2.41 0.016 .0351934 .341664
yrr4 | .1706073 .0719872 2.37 0.018 .0295151 .3116996
yrr5 | .1432375 .0622266 2.30 0.021 .0212756 .2651994
yrr6 | .1685364 .0696416 2.42 0.016 .0320413 .3050314
yrr7 | .2067732 .0803749 2.57 0.010 .0492414 .364305
yrr8 | .1232112 .051911 2.37 0.018 .0214676 .2249548
yrr9 | .1390957 .0581646 2.39 0.017 .0250951 .2530963
yrr10 | .1485554 .0582427 2.55 0.011 .0344018 .2627089
yrr11 | .1465146 .0573775 2.55 0.011 .0340567 .2589725
yrr12 | .1333248 .0471217 2.83 0.005 .040968 .2256816
yrr13 | .0884592 .03216 2.75 0.006 .0254268 .1514917
gindex | .0020264 .0011153 1.82 0.069 -.0001596 .0042124
prsd_gindex | -.0001302 .0000422 -3.08 0.002 -.000213 -.0000474
leadinc_v_~x | -.000938 .0004507 -2.08 0.037 -.0018214 -.0000547
_cons | -.5164254 .2044856 -2.53 0.012 -.9172099 -.115641
------------------------------------------------------------------------------
Warning: Uncorrected two-step standard errors are unreliable.
Instruments for first differences equation
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(3/7).(L.C L.I LD.CFr L.prsd L.dlead L.TB3MS L.leadinc_v L.gindex S)
Instruments for levels equation
Standard
_cons
prsd_gindex leadinc_v_gindex
yrr1 yrr2 yrr3 yrr4 yrr5 yrr6 yrr7 yrr8 yrr9 yrr10 yrr11 yrr12 yrr13 yrr14
yrr15 yrr16 yrr17 yrr18
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL2.(L.C L.I LD.CFr L.prsd L.dlead L.TB3MS L.leadinc_v L.gindex S)
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -14.62 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = 1.28 Pr > z = 0.201
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(449) = 818.50 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(449) = 473.43 Prob > chi2 = 0.205
(Robust, but can be weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(366) = 365.74 Prob > chi2 = 0.494
Difference (null H = exogenous): chi2(83) = 107.69 Prob > chi2 = 0.036
iv(prsd_gindex leadinc_v_gindex, eq(level))
Hansen test excluding group: chi2(447) = 470.01 Prob > chi2 = 0.218
Difference (null H = exogenous): chi2(2) = 3.42 Prob > chi2 = 0.181
iv(yrr1 yrr2 yrr3 yrr4 yrr5 yrr6 yrr7 yrr8 yrr9 yrr10 yrr11 yrr12 yrr13 yrr14 yrr15 yrr16 yrr17 yrr18, eq(level))
Hansen test excluding group: chi2(435) = 457.12 Prob > chi2 = 0.224
Difference (null H = exogenous): chi2(14) = 16.31 Prob > chi2 = 0.295
(est5 stored)
.
. // from table3and4_deriv_Gindex_interaction_cfb.do
. * cfb evaluate coefficients at quartiles for both sets of derivatives, store as matrix
. mat deriv = J(16,5,0)
. local i 0
. foreach p of local pct {
2. local ++i
3. * d C/TA / d PRSD
. lincom L.prsd + `gpc`p'' * prsd_gindex
4. mat deriv[1,`i'] = `gpc`p''
5. mat deriv[2,`i'] = r(estimate)
6. mat deriv[3,`i'] = r(se)
7. mat deriv[4,`i'] = 1-normal(abs(r(estimate)/r(se)))
8. * d C/TA / d LEADINC_V
. lincom L.leadinc_v + `gpc`p'' * leadinc_v_gindex
9. mat deriv[5,`i'] = `gpc`p''
10. mat deriv[6,`i'] = r(estimate)
11. mat deriv[7,`i'] = r(se)
12. mat deriv[8,`i'] = 1-normal(abs(r(estimate)/r(se)))
13. * d C/TA / Gindex for varying PRSD
. lincom gindex + `idiopc`p'' * prsd_gindex + `leadincpc50' * leadinc_v_gindex
14. mat deriv[9,`i'] = `idiopc`p''
15. mat deriv[10,`i'] = r(estimate)
16. mat deriv[11,`i'] = r(se)
17. mat deriv[12,`i'] = 1-normal(abs(r(estimate)/r(se)))
18. * d C/TA / Gindex for varying LEADINC_V
. lincom gindex + `leadincpc`p'' * leadinc_v_gindex + `idiopc50' * prsd_gindex
19. mat deriv[13,`i'] = `leadincpc`p''
20. mat deriv[14,`i'] = r(estimate)
21. mat deriv[15,`i'] = r(se)
22. mat deriv[16,`i'] = 1-normal(abs(r(estimate)/r(se)))
23. }
( 1) L.prsd + 5 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .000869 .0002188 3.97 0.000 .0004402 .0012977
------------------------------------------------------------------------------
( 1) L.leadinc_v + 5 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .1130095 .036261 3.12 0.002 .0419394 .1840797
------------------------------------------------------------------------------
( 1) gindex + .6702157 prsd_gindex + 2.505294 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.000411 .0001924 -2.14 0.033 -.0007881 -.0000338
------------------------------------------------------------------------------
( 1) gindex + 2.096582 prsd_gindex + 2.072394 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0001906 .000229 -0.83 0.405 -.0006395 .0002583
------------------------------------------------------------------------------
( 1) L.prsd + 7 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0006086 .0001438 4.23 0.000 .0003268 .0008904
------------------------------------------------------------------------------
( 1) L.leadinc_v + 7 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .1111334 .0361458 3.07 0.002 .040289 .1819779
------------------------------------------------------------------------------
( 1) gindex + 1.177404 prsd_gindex + 2.505294 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.000477 .0001811 -2.63 0.008 -.0008319 -.0001221
------------------------------------------------------------------------------
( 1) gindex + 2.096582 prsd_gindex + 2.166384 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0002788 .0002014 -1.38 0.166 -.0006735 .0001159
------------------------------------------------------------------------------
( 1) L.prsd + 9 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0003482 .0000881 3.95 0.000 .0001755 .0005208
------------------------------------------------------------------------------
( 1) L.leadinc_v + 9 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .1092573 .0360528 3.03 0.002 .0385952 .1799195
------------------------------------------------------------------------------
( 1) gindex + 2.096582 prsd_gindex + 2.505294 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0005967 .0001656 -3.60 0.000 -.0009213 -.0002721
------------------------------------------------------------------------------
( 1) gindex + 2.096582 prsd_gindex + 2.505294 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0005967 .0001656 -3.60 0.000 -.0009213 -.0002721
------------------------------------------------------------------------------
( 1) L.prsd + 11 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0000878 .0000955 0.92 0.358 -.0000994 .000275
------------------------------------------------------------------------------
( 1) L.leadinc_v + 11 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .1073812 .0359821 2.98 0.003 .0368576 .1779049
------------------------------------------------------------------------------
( 1) gindex + 3.652087 prsd_gindex + 2.505294 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0007992 .0001589 -5.03 0.000 -.0011106 -.0004878
------------------------------------------------------------------------------
( 1) gindex + 2.096582 prsd_gindex + 2.745085 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0008216 .0002153 -3.82 0.000 -.0012435 -.0003997
------------------------------------------------------------------------------
( 1) L.prsd + 13 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0001726 .0001573 -1.10 0.273 -.0004809 .0001358
------------------------------------------------------------------------------
( 1) L.leadinc_v + 13 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .1055052 .0359339 2.94 0.003 .0350759 .1759344
------------------------------------------------------------------------------
( 1) gindex + 5.982703 prsd_gindex + 2.505294 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0011026 .0001953 -5.65 0.000 -.0014853 -.0007199
------------------------------------------------------------------------------
( 1) gindex + 2.096582 prsd_gindex + 3.010489 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0010706 .0003074 -3.48 0.000 -.001673 -.0004681
------------------------------------------------------------------------------
. mat rownames deriv =@_percentiles_Gindex dPRSD stderr pvalue @_percentiles_Gindex dLEADINC_V stderr pvalue @_percen
> tiles_PRSD dGindex_PRSD stderr pvalue @_percentiles_LEADINC_V dGindex_LEADINC_V stderr pvalue
. mat colnames deriv =p10 p25 p50 p75 p90
. mat list deriv, ti(Effects of Lead.Indic. Uncertainty & Gindex with interactions) format(%9.5f)
deriv[16,5]: Effects of Lead.Indic. Uncertainty & Gindex with interactions
p10 p25 p50 p75 p90
@_percentiles_Gindex 5.00000 7.00000 9.00000 11.00000 13.00000
dPRSD 0.00087 0.00061 0.00035 0.00009 -0.00017
stderr 0.00022 0.00014 0.00009 0.00010 0.00016
pvalue 0.00004 0.00001 0.00004 0.17893 0.13631
@_percentiles_Gindex 5.00000 7.00000 9.00000 11.00000 13.00000
dLEADINC_V 0.11301 0.11113 0.10926 0.10738 0.10551
stderr 0.03626 0.03615 0.03605 0.03598 0.03593
pvalue 0.00091 0.00105 0.00122 0.00142 0.00166
@_percentiles_PRSD 0.67022 1.17740 2.09658 3.65209 5.98270
dGindex_PRSD -0.00041 -0.00048 -0.00060 -0.00080 -0.00110
stderr 0.00019 0.00018 0.00017 0.00016 0.00020
pvalue 0.01635 0.00421 0.00016 0.00000 0.00000
@_percentiles_LEADINC_V 2.07239 2.16638 2.50529 2.74508 3.01049
dGindex_LEADINC_V -0.00019 -0.00028 -0.00060 -0.00082 -0.00107
stderr 0.00023 0.00020 0.00017 0.00022 0.00031
pvalue 0.20266 0.08314 0.00016 0.00007 0.00025
. outtable using table4b_derivs, mat(deriv) replace center format(%9.5f)
.
. // from table3and4_deriv_Gindex_interaction_cfb.do
. local i=0
. foreach p of local pctg {
2. local ++i
3. * d C/TA / d PRSD
. lincom L.prsd + `p' * prsd_gindex
4. qui replace yprsd_val = r(estimate) in `i'
5. qui replace upprsd_val = yprsd_val + tmfx * r(se) in `i'
6. qui replace lowprsd_val = yprsd_val - tmfx * r(se) in `i'
7.
. * d C/TA / d LEADINC_V
. lincom L.leadinc_v + `p' * leadinc_v_gindex
8. qui replace yleadv_val = r(estimate) in `i'
9. qui replace upleadv_val = yleadv_val + tmfx * r(se) in `i'
10. qui replace lowleadv_val = yleadv_val - tmfx * r(se) in `i'
11. }
( 1) L.prsd + prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0013898 .0003808 3.65 0.000 .0006433 .0021362
------------------------------------------------------------------------------
( 1) L.leadinc_v + leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .1167617 .036557 3.19 0.001 .0451114 .188412
------------------------------------------------------------------------------
( 1) L.prsd + 2 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0012596 .0003397 3.71 0.000 .0005938 .0019253
------------------------------------------------------------------------------
( 1) L.leadinc_v + 2 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .1158237 .0364748 3.18 0.001 .0443343 .187313
------------------------------------------------------------------------------
( 1) L.prsd + 3 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0011294 .0002988 3.78 0.000 .0005437 .0017151
------------------------------------------------------------------------------
( 1) L.leadinc_v + 3 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .1148856 .0363981 3.16 0.002 .0435467 .1862246
------------------------------------------------------------------------------
( 1) L.prsd + 4 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0009992 .0002585 3.87 0.000 .0004926 .0015057
------------------------------------------------------------------------------
( 1) L.leadinc_v + 4 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .1139476 .0363268 3.14 0.002 .0427484 .1851468
------------------------------------------------------------------------------
( 1) L.prsd + 5 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .000869 .0002188 3.97 0.000 .0004402 .0012977
------------------------------------------------------------------------------
( 1) L.leadinc_v + 5 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .1130095 .036261 3.12 0.002 .0419394 .1840797
------------------------------------------------------------------------------
( 1) L.prsd + 6 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0007388 .0001802 4.10 0.000 .0003856 .001092
------------------------------------------------------------------------------
( 1) L.leadinc_v + 6 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .1120715 .0362006 3.10 0.002 .0411196 .1830234
------------------------------------------------------------------------------
( 1) L.prsd + 7 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0006086 .0001438 4.23 0.000 .0003268 .0008904
------------------------------------------------------------------------------
( 1) L.leadinc_v + 7 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .1111334 .0361458 3.07 0.002 .040289 .1819779
------------------------------------------------------------------------------
( 1) L.prsd + 8 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0004784 .0001115 4.29 0.000 .0002599 .0006969
------------------------------------------------------------------------------
( 1) L.leadinc_v + 8 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .1101954 .0360965 3.05 0.002 .0394476 .1809432
------------------------------------------------------------------------------
( 1) L.prsd + 9 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0003482 .0000881 3.95 0.000 .0001755 .0005208
------------------------------------------------------------------------------
( 1) L.leadinc_v + 9 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .1092573 .0360528 3.03 0.002 .0385952 .1799195
------------------------------------------------------------------------------
( 1) L.prsd + 10 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .000218 .0000816 2.67 0.008 .0000581 .0003779
------------------------------------------------------------------------------
( 1) L.leadinc_v + 10 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .1083193 .0360147 3.01 0.003 .0377319 .1789067
------------------------------------------------------------------------------
( 1) L.prsd + 11 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0000878 .0000955 0.92 0.358 -.0000994 .000275
------------------------------------------------------------------------------
( 1) L.leadinc_v + 11 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .1073812 .0359821 2.98 0.003 .0368576 .1779049
------------------------------------------------------------------------------
( 1) L.prsd + 12 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0000424 .0001231 -0.34 0.731 -.0002836 .0001989
------------------------------------------------------------------------------
( 1) L.leadinc_v + 12 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .1064432 .0359552 2.96 0.003 .0359723 .1769141
------------------------------------------------------------------------------
( 1) L.prsd + 13 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0001726 .0001573 -1.10 0.273 -.0004809 .0001358
------------------------------------------------------------------------------
( 1) L.leadinc_v + 13 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .1055052 .0359339 2.94 0.003 .0350759 .1759344
------------------------------------------------------------------------------
( 1) L.prsd + 14 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0003028 .0001947 -1.55 0.120 -.0006844 .0000789
------------------------------------------------------------------------------
( 1) L.leadinc_v + 14 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .1045671 .0359183 2.91 0.004 .0341685 .1749657
------------------------------------------------------------------------------
( 1) L.prsd + 15 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.000433 .0002338 -1.85 0.064 -.0008912 .0000252
------------------------------------------------------------------------------
( 1) L.leadinc_v + 15 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .1036291 .0359083 2.89 0.004 .03325 .1740081
------------------------------------------------------------------------------
( 1) L.prsd + 16 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0005632 .0002738 -2.06 0.040 -.0010998 -.0000266
------------------------------------------------------------------------------
( 1) L.leadinc_v + 16 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .102691 .035904 2.86 0.004 .0323204 .1730616
------------------------------------------------------------------------------
( 1) L.prsd + 17 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0006934 .0003144 -2.21 0.027 -.0013095 -.0000772
------------------------------------------------------------------------------
( 1) L.leadinc_v + 17 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .101753 .0359054 2.83 0.005 .0313798 .1721262
------------------------------------------------------------------------------
( 1) L.prsd + 18 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0008236 .0003553 -2.32 0.020 -.00152 -.0001271
------------------------------------------------------------------------------
( 1) L.leadinc_v + 18 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .1008149 .0359123 2.81 0.005 .030428 .1712018
------------------------------------------------------------------------------
( 1) L.prsd + 19 prsd_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.0009538 .0003966 -2.41 0.016 -.001731 -.0001765
------------------------------------------------------------------------------
( 1) L.leadinc_v + 19 leadinc_v_gindex = 0
------------------------------------------------------------------------------
C | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | .0998769 .035925 2.78 0.005 .0294652 .1702885
------------------------------------------------------------------------------
.
. twoway (scatter yprsd_val xgindex_val, ms(Oh)) (rline upprsd_val lowprsd_val xgindex_val), yline(0) xtitle("Gindex"
> ) title("Elasticity of cash vs. idiosyncratic uncertainty") subtitle("Macro uncertainty: leading indicators")
. graph export graph_prsd_col5.eps, replace
(note: file graph_prsd_col5.eps not found)
(file graph_prsd_col5.eps written in EPS format)
.
. twoway (scatter yleadv_val xgindex_val, ms(O)) (rline upleadv_val lowleadv_val xgindex_val), yline(0) xtitle("Ginde
> x") title("Elasticity of cash vs. macroeconomic uncertainty") subtitle("Macro uncertainty: leading indicators")
. graph export graph_leadv_col5.eps, replace
(note: file graph_leadv_col5.eps not found)
(file graph_leadv_col5.eps written in EPS format)
.
.
. esttab using boyan_adjust_fiveeq.tex, star(* 0.10 ** 0.05 *** 0.01) b(a3) t(3) drop(yrr*) substitute(_cons Constant
> ) ///
> mtitles(Gindex Infl.Uncert. Interaction LeadInc.Uncert. Interaction) ///
> stats(N N_g hansenp ar1p ar2p, fmt(%5.0f %5.0f %5.4f %5.4f %5.4f) ///
> labels("N of firm-years" "N of firms" "Hansen J P-value" "AR(1) P-value" "AR(2) P-value")) ///
> varlabels(L.C "\(C_{t-1}\)" L.I "\(I_{t-1}\)" F.S "\(S_{t+1}\)" L.dlead "\(Lead_{t-1}\)" L.TB3MS "\(TB3_{t-1}\)" LD
> .CFr "\(\Delta CF_{t-1}\)" gindex "\(Gindex\)" L.prsd "\(\sigma^2_{f,t-1}\)" L.infl_v "\(\sigma^2_{Infl,t-1}\)" prs
> d_gindex "\(\sigma^2_{f,t-1} \times Gindex\)" infl_v_gindex "\(\sigma^2_{Infl,t-1} \times Gindex\)" L.leadinc_v "\(
> \sigma^2_{Lead,t-1}\)" leadinc_v_gindex "\(\sigma^2_{Lead,t-1} \times Gindex\)" ) ///
> replace longtable
(output written to boyan_adjust_fiveeq.tex)
. // "N.insts")) ///
.
. // from table3and4_deriv_Gindex_interaction_cfb.do
.
. // calculate descriptive stats for e(sample)
. local pct C I S prsd infl_v leadinc_v
. mat describe = J(6,6,0)
. local i 0
. foreach p of local pct {
2. local ++i
3. * description
. // impose e(sample) from first full-sample estimation
. qui summ `p' if ds, detail
4. mat describe[`i',1] = r(mean)
5. mat describe[`i',2] = r(sd)
6. mat describe[`i',3] = r(p25)
7. mat describe[`i',4] = r(p50)
8. mat describe[`i',5] = r(p75)
9. mat describe[`i',6] = r(N)
10. }
. mat rownames describe =Cash/Total_Assets Investment/Total_Assets Sales/Total_Assets Idiosyncratic_Uncertainty Infla
> tion_Uncertainty Leadinc_Uncertainty
. mat colnames describe =mean sd p25 p50 p75 N
. mat list describe, ti(Descriptive Statistics )
describe[6,6]: Descriptive Statistics
mean sd p25 p50 p75 N
Cash/Total_Assets .12019262 .15091933 .0190167 .05896451 .16146361 13240
Investment/Total_Assets .05918671 .04988242 .02646648 .04605297 .07629819 13206
Sales/Total_Assets 1.2075986 .73818194 .73153931 1.0572011 1.4983392 13237
Idiosyncratic_Uncertainty 3.1009111 4.9922155 1.2356749 2.1225724 3.6058705 13209
Inflation_Uncertainty 4.9766986 3.7599699 2.2956917 3.3477868 5.933946 13240
Leadinc_Uncertainty 2.4981343 .35073681 2.1663836 2.5559165 2.7450846 13240
. outtable using dsfull, mat(describe) replace nobox center ///
> f(%6.4f %6.4f %6.4f %6.4f %6.4f %6.0fc)
.
. tab yeara if ds
fiscal year | Freq. Percent Cum.
------------+-----------------------------------
1992 | 807 6.10 6.10
1993 | 798 6.03 12.12
1994 | 756 5.71 17.83
1995 | 859 6.49 24.32
1996 | 819 6.19 30.51
1997 | 803 6.06 36.57
1998 | 738 5.57 42.15
1999 | 672 5.08 47.22
2000 | 1,000 7.55 54.77
2001 | 940 7.10 61.87
2002 | 1,011 7.64 69.51
2003 | 952 7.19 76.70
2004 | 1,177 8.89 85.59
2005 | 947 7.15 92.74
2006 | 961 7.26 100.00
------------+-----------------------------------
Total | 13,240 100.00
. tab dnum if ds
industry |
classificat |
ion code | Freq. Percent Cum.
------------+-----------------------------------
100 | 34 0.26 0.26
700 | 2 0.02 0.27
1000 | 32 0.24 0.51
1040 | 43 0.32 0.84
1044 | 20 0.15 0.99
1090 | 5 0.04 1.03
1220 | 16 0.12 1.15
1221 | 1 0.01 1.16
1311 | 244 1.84 3.00
1381 | 93 0.70 3.70
1382 | 12 0.09 3.79
1389 | 54 0.41 4.20
1400 | 35 0.26 4.46
1531 | 113 0.85 5.32
1540 | 12 0.09 5.41
1600 | 37 0.28 5.69
1623 | 17 0.13 5.82
1700 | 7 0.05 5.87
1731 | 4 0.03 5.90
2000 | 38 0.29 6.19
2011 | 64 0.48 6.67
2015 | 10 0.08 6.74
2020 | 13 0.10 6.84
2024 | 7 0.05 6.90
2030 | 51 0.39 7.28
2033 | 18 0.14 7.42
2040 | 69 0.52 7.94
2050 | 20 0.15 8.09
2052 | 19 0.14 8.23
2060 | 58 0.44 8.67
2070 | 15 0.11 8.78
2080 | 30 0.23 9.01
2082 | 21 0.16 9.17
2084 | 7 0.05 9.22
2085 | 15 0.11 9.34
2086 | 33 0.25 9.58
2090 | 22 0.17 9.75
2100 | 20 0.15 9.90
2111 | 20 0.15 10.05
2200 | 25 0.19 10.24
2211 | 31 0.23 10.48
2221 | 15 0.11 10.59
2250 | 21 0.16 10.75
2253 | 19 0.14 10.89
2273 | 38 0.29 11.18
2300 | 89 0.67 11.85
2320 | 35 0.26 12.11
2330 | 42 0.32 12.43
2390 | 5 0.04 12.47
2400 | 41 0.31 12.78
2421 | 16 0.12 12.90
2430 | 19 0.14 13.04
2451 | 38 0.29 13.33
2452 | 2 0.02 13.35
2510 | 38 0.29 13.63
2511 | 28 0.21 13.84
2520 | 26 0.20 14.04
2522 | 20 0.15 14.19
2531 | 32 0.24 14.43
2540 | 5 0.04 14.47
2590 | 10 0.08 14.55
2600 | 16 0.12 14.67
2611 | 31 0.23 14.90
2621 | 101 0.76 15.66
2631 | 72 0.54 16.21
2650 | 43 0.32 16.53
2670 | 82 0.62 17.15
2711 | 139 1.05 18.20
2721 | 21 0.16 18.36
2731 | 67 0.51 18.87
2750 | 70 0.53 19.40
2761 | 41 0.31 19.71
2771 | 12 0.09 19.80
2780 | 37 0.28 20.08
2800 | 19 0.14 20.22
2810 | 92 0.69 20.91
2820 | 43 0.32 21.24
2821 | 71 0.54 21.77
2833 | 9 0.07 21.84
2834 | 370 2.79 24.64
2835 | 29 0.22 24.86
2836 | 101 0.76 25.62
2840 | 32 0.24 25.86
2842 | 43 0.32 26.19
2844 | 53 0.40 26.59
2851 | 64 0.48 27.07
2860 | 70 0.53 27.60
2870 | 39 0.29 27.89
2890 | 117 0.88 28.78
2891 | 18 0.14 28.91
2911 | 189 1.43 30.34
2950 | 2 0.02 30.35
2990 | 21 0.16 30.51
3011 | 44 0.33 30.85
3021 | 26 0.20 31.04
3050 | 11 0.08 31.13
3060 | 13 0.10 31.22
3080 | 18 0.14 31.36
3081 | 3 0.02 31.38
3086 | 8 0.06 31.44
3089 | 57 0.43 31.87
3100 | 4 0.03 31.90
3140 | 59 0.45 32.35
3220 | 10 0.08 32.42
3221 | 12 0.09 32.52
3231 | 12 0.09 32.61
3241 | 22 0.17 32.77
3250 | 7 0.05 32.82
3260 | 5 0.04 32.86
3270 | 76 0.57 33.44
3290 | 7 0.05 33.49
3310 | 30 0.23 33.72
3312 | 123 0.93 34.65
3317 | 14 0.11 34.75
3320 | 19 0.14 34.89
3330 | 48 0.36 35.26
3334 | 7 0.05 35.31
3341 | 12 0.09 35.40
3350 | 68 0.51 35.91
3357 | 32 0.24 36.16
3360 | 3 0.02 36.18
3390 | 15 0.11 36.29
3411 | 30 0.23 36.52
3420 | 53 0.40 36.92
3430 | 4 0.03 36.95
3440 | 15 0.11 37.06
3442 | 7 0.05 37.11
3443 | 21 0.16 37.27
3448 | 16 0.12 37.39
3452 | 10 0.08 37.47
3460 | 33 0.25 37.72
3470 | 17 0.13 37.85
3480 | 19 0.14 37.99
3490 | 82 0.62 38.61
3510 | 42 0.32 38.93
3523 | 44 0.33 39.26
3530 | 15 0.11 39.37
3531 | 36 0.27 39.65
3533 | 27 0.20 39.85
3537 | 13 0.10 39.95
3540 | 68 0.51 40.46
3550 | 15 0.11 40.57
3559 | 136 1.03 41.60
3560 | 36 0.27 41.87
3561 | 48 0.36 42.24
3562 | 45 0.34 42.58
3564 | 33 0.25 42.82
3569 | 37 0.28 43.10
3570 | 26 0.20 43.30
3571 | 79 0.60 43.90
3572 | 81 0.61 44.51
3576 | 101 0.76 45.27
3577 | 49 0.37 45.64
3578 | 31 0.23 45.88
3579 | 36 0.27 46.15
3580 | 16 0.12 46.27
3585 | 45 0.34 46.61
3590 | 7 0.05 46.66
3600 | 19 0.14 46.81
3612 | 35 0.26 47.07
3613 | 7 0.05 47.12
3620 | 47 0.35 47.48
3621 | 29 0.22 47.70
3630 | 48 0.36 48.06
3634 | 29 0.22 48.28
3640 | 54 0.41 48.69
3651 | 19 0.14 48.83
3661 | 85 0.64 49.47
3663 | 119 0.90 50.37
3669 | 24 0.18 50.55
3670 | 53 0.40 50.95
3672 | 51 0.39 51.34
3674 | 336 2.54 53.87
3678 | 39 0.29 54.17
3679 | 68 0.51 54.68
3690 | 49 0.37 55.05
3695 | 11 0.08 55.14
3711 | 110 0.83 55.97
3713 | 2 0.02 55.98
3714 | 168 1.27 57.25
3715 | 7 0.05 57.30
3716 | 40 0.30 57.61
3720 | 15 0.11 57.72
3721 | 31 0.23 57.95
3724 | 18 0.14 58.09
3728 | 59 0.45 58.53
3730 | 52 0.39 58.93
3743 | 22 0.17 59.09
3751 | 15 0.11 59.21
3760 | 31 0.23 59.44
3790 | 17 0.13 59.57
3812 | 86 0.65 60.22
3821 | 8 0.06 60.28
3822 | 6 0.05 60.32
3823 | 69 0.52 60.85
3825 | 85 0.64 61.49
3826 | 97 0.73 62.22
3827 | 16 0.12 62.34
3829 | 16 0.12 62.46
3841 | 83 0.63 63.09
3842 | 93 0.70 63.79
3843 | 8 0.06 63.85
3844 | 19 0.14 64.00
3845 | 92 0.69 64.69
3851 | 9 0.07 64.76
3861 | 41 0.31 65.07
3873 | 1 0.01 65.08
3910 | 13 0.10 65.17
3911 | 7 0.05 65.23
3942 | 34 0.26 65.48
3944 | 17 0.13 65.61
3949 | 27 0.20 65.82
3950 | 15 0.11 65.93
3990 | 32 0.24 66.17
4011 | 95 0.72 66.89
4100 | 1 0.01 66.90
4210 | 7 0.05 66.95
4213 | 62 0.47 67.42
4220 | 3 0.02 67.44
4400 | 45 0.34 67.78
4412 | 26 0.20 67.98
4512 | 112 0.85 68.82
4513 | 23 0.17 69.00
4700 | 22 0.17 69.16
4731 | 23 0.17 69.34
4812 | 65 0.49 69.83
4813 | 156 1.18 71.00
4822 | 1 0.01 71.01
4832 | 26 0.20 71.21
4833 | 59 0.45 71.65
4841 | 32 0.24 71.90
4899 | 21 0.16 72.05
5000 | 15 0.11 72.17
5010 | 3 0.02 72.19
5013 | 15 0.11 72.30
5040 | 23 0.17 72.48
5045 | 40 0.30 72.78
5047 | 38 0.29 73.07
5051 | 52 0.39 73.46
5063 | 19 0.14 73.60
5065 | 60 0.45 74.06
5070 | 18 0.14 74.19
5072 | 16 0.12 74.31
5080 | 66 0.50 74.81
5084 | 17 0.13 74.94
5090 | 11 0.08 75.02
5093 | 10 0.08 75.10
5099 | 13 0.10 75.20
5110 | 12 0.09 75.29
5122 | 51 0.39 75.67
5130 | 2 0.02 75.69
5140 | 25 0.19 75.88
5141 | 28 0.21 76.09
5150 | 24 0.18 76.27
5160 | 18 0.14 76.40
5172 | 8 0.06 76.47
5190 | 29 0.22 76.68
5200 | 17 0.13 76.81
5211 | 39 0.29 77.11
5311 | 85 0.64 77.75
5331 | 91 0.69 78.44
5399 | 26 0.20 78.63
5400 | 1 0.01 78.64
5411 | 147 1.11 79.75
5500 | 26 0.20 79.95
5531 | 36 0.27 80.22
5600 | 27 0.20 80.42
5621 | 81 0.61 81.03
5651 | 99 0.75 81.78
5661 | 46 0.35 82.13
5700 | 46 0.35 82.48
5712 | 8 0.06 82.54
5731 | 53 0.40 82.94
5734 | 2 0.02 82.95
5812 | 234 1.77 84.72
5900 | 7 0.05 84.77
5912 | 81 0.61 85.39
5940 | 72 0.54 85.93
5944 | 29 0.22 86.15
5945 | 21 0.16 86.31
5961 | 49 0.37 86.68
5990 | 11 0.08 86.76
7011 | 44 0.33 87.09
7200 | 81 0.61 87.70
7310 | 24 0.18 87.89
7311 | 41 0.31 88.19
7320 | 33 0.25 88.44
7330 | 3 0.02 88.47
7331 | 18 0.14 88.60
7340 | 22 0.17 88.77
7350 | 3 0.02 88.79
7359 | 28 0.21 89.00
7361 | 5 0.04 89.04
7363 | 80 0.60 89.65
7370 | 149 1.13 90.77
7371 | 23 0.17 90.94
7372 | 377 2.85 93.79
7373 | 155 1.17 94.96
7374 | 71 0.54 95.50
7381 | 15 0.11 95.61
7389 | 52 0.39 96.00
7500 | 7 0.05 96.06
7510 | 23 0.17 96.23
7812 | 15 0.11 96.34
7822 | 6 0.05 96.39
7830 | 7 0.05 96.44
7841 | 7 0.05 96.50
7900 | 15 0.11 96.61
7948 | 4 0.03 96.64
7990 | 75 0.57 97.21
7996 | 3 0.02 97.23
8000 | 3 0.02 97.25
8011 | 9 0.07 97.32
8050 | 1 0.01 97.33
8051 | 24 0.18 97.51
8060 | 22 0.17 97.67
8062 | 44 0.33 98.01
8071 | 35 0.26 98.27
8082 | 23 0.17 98.44
8090 | 27 0.20 98.65
8093 | 3 0.02 98.67
8200 | 38 0.29 98.96
8300 | 3 0.02 98.98
8351 | 6 0.05 99.03
8700 | 33 0.25 99.27
8711 | 21 0.16 99.43
8721 | 32 0.24 99.68
8731 | 23 0.17 99.85
8741 | 10 0.08 99.92
8742 | 10 0.08 100.00
------------+-----------------------------------
Total | 13,240 100.00
.
. keep if ds
(7319 observations deleted)
. save udcl9218_estsample, replace
file udcl9218_estsample.dta saved
.
. log close
log: /Users/baum/Documents/boyan/Boyan-CorpGov/CorpGov_revise/boyan_adjust_fiveeq.smcl
log type: smcl
closed on: 19 Mar 2009, 17:34:16
---------------------------------------------------------------------------------------------------------------------