Thursday December 1 19:31:37 2016 Page 1

Statistics/Data Analysis

name: <unnamed>
log: D:\Stata-12\Stata-12\WACC1.smcl
log type: smcl
opened on: 1 Dec 2016, 19:30:56

1 . xtabond2 WACC l.WACC cgs debtrat age grta szta insdown roe family, gmm(l.WACC l.cgs
> , lag(2 8)) iv (l.lncap spltrol brdscr hl l.fmb l.family debtrat age roe) twostep sm
> all
Favoring speed over space. To switch, type or click on mata: mata set matafavor space,
> perm.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estim
> ation.
Difference-in-Sargan/Hansen statistics may be negative.

Dynamic panel-data estimation, two-step system GMM

Group variable: id Number of obs = 1668

Time variable : year Number of groups = 200
Number of instruments = 112 Obs per group: min = 3
F(9, 199) = 688.08 avg = 8.34
Prob > F = 0.000 max = 11

WACC Coef. Std. Err. t P>|t| [95% Conf. Interval]

WACC
L1. .6980975 .0146111 47.78 0.000 .6692851 .7269099

cgs -.0804919 .0103909 -7.75 0.000 -.1009824 -.0600014

debtrat .0021297 .0034684 0.61 0.540 -.0047099 .0089693
age .0001033 .0000739 1.40 0.164 -.0000424 .0002491
grta -.0412699 .0062565 -6.60 0.000 -.0536075 -.0289322
szta -.0098193 .0011228 -8.75 0.000 -.0120334 -.0076052
insdown .0001127 .0000849 1.33 0.186 -.0000548 .0002802
roe -.0000365 .0000103 -3.56 0.000 -.0000568 -.0000163
family -.0016234 .0030161 -0.54 0.591 -.007571 .0043242
_cons .1650839 .0139837 11.81 0.000 .1375086 .1926592

Warning: Uncorrected two-step standard errors are unreliable.

Instruments for first differences equation

Standard
D.(L.lncap spltrol brdscr hl L.fmb L.family debtrat age roe)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/8).(L.WACC L.cgs)
Instruments for levels equation
Standard
L.lncap spltrol brdscr hl L.fmb L.family debtrat age roe
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL.(L.WACC L.cgs)

Arellano-Bond test for AR(1) in first differences: z = -5.88 Pr > z = 0.000

Arellano-Bond test for AR(2) in first differences: z = 1.53 Pr > z = 0.125

Sargan test of overid. restrictions: chi2(102) = 162.52 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(102) = 117.83 Prob > chi2 = 0.135
(Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:

GMM instruments for levels
Hansen test excluding group: chi2(84) = 109.48 Prob > chi2 = 0.032
Difference (null H = exogenous): chi2(18) = 8.35 Prob > chi2 = 0.973
gmm(L.WACC L.cgs, lag(2 8))
Hansen test excluding group: chi2(0) = 0.00 Prob > chi2 = .
Difference (null H = exogenous): chi2(102) = 117.83 Prob > chi2 = 0.135
iv(L.lncap spltrol brdscr hl L.fmb L.family debtrat age roe)
Hansen test excluding group: chi2(93) = 106.25 Prob > chi2 = 0.164
Difference (null H = exogenous): chi2(9) = 11.58 Prob > chi2 = 0.238
 Thursday December 1 19:31:37 2016 Page 2

2 .
3 . xtabond2 WACC l.WACC brdscr debtrat age grta szta insdown roe family, gmm(l.WACC l.
> cgs, lag(2 8)) iv (l.lncap spltrol brdscr hl l.fmb l.family debtrat age roe) twostep
> small
Favoring speed over space. To switch, type or click on mata: mata set matafavor space,
> perm.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estim
> ation.
Difference-in-Sargan/Hansen statistics may be negative.

Dynamic panel-data estimation, two-step system GMM

Group variable: id Number of obs = 1668

Time variable : year Number of groups = 200
Number of instruments = 112 Obs per group: min = 3
F(9, 199) = 685.87 avg = 8.34
Prob > F = 0.000 max = 11

WACC Coef. Std. Err. t P>|t| [95% Conf. Interval]

WACC
L1. .690931 .0166937 41.39 0.000 .6580117 .7238503

brdscr -.0541539 .008176 -6.62 0.000 -.0702765 -.0380312

debtrat .0036648 .0038716 0.95 0.345 -.0039699 .0112994
age .0000639 .0000715 0.89 0.373 -.0000771 .000205
grta -.0321171 .0057926 -5.54 0.000 -.0435398 -.0206944
szta -.0117478 .0012555 -9.36 0.000 -.0142235 -.009272
insdown .0002637 .0000843 3.13 0.002 .0000975 .00043
roe -.0000293 .0000108 -2.70 0.008 -.0000507 -7.88e-06
family -.0039374 .0030076 -1.31 0.192 -.0098683 .0019935
_cons .167991 .0160983 10.44 0.000 .1362459 .1997362

Warning: Uncorrected two-step standard errors are unreliable.

Instruments for first differences equation

Standard
D.(L.lncap spltrol brdscr hl L.fmb L.family debtrat age roe)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/8).(L.WACC L.cgs)
Instruments for levels equation
Standard
L.lncap spltrol brdscr hl L.fmb L.family debtrat age roe
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL.(L.WACC L.cgs)

Arellano-Bond test for AR(1) in first differences: z = -5.85 Pr > z = 0.000

Arellano-Bond test for AR(2) in first differences: z = 1.54 Pr > z = 0.122

Sargan test of overid. restrictions: chi2(102) = 174.01 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(102) = 119.20 Prob > chi2 = 0.117
(Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:

GMM instruments for levels
Hansen test excluding group: chi2(84) = 111.82 Prob > chi2 = 0.023
Difference (null H = exogenous): chi2(18) = 7.38 Prob > chi2 = 0.986
gmm(L.WACC L.cgs, lag(2 8))
Hansen test excluding group: chi2(0) = 0.00 Prob > chi2 = .
Difference (null H = exogenous): chi2(102) = 119.20 Prob > chi2 = 0.117
iv(L.lncap spltrol brdscr hl L.fmb L.family debtrat age roe)
Hansen test excluding group: chi2(93) = 110.59 Prob > chi2 = 0.103
Difference (null H = exogenous): chi2(9) = 8.61 Prob > chi2 = 0.474
 Thursday December 1 19:31:37 2016 Page 3

4 .
5 . xtabond2 WACC l.WACC audscr debtrat age grta szta insdown roe family, gmm(l.WACC l
> .cgs, lag(2 8)) iv (l.lncap spltrol brdscr hl l.fmb l.family debtrat age roe) twoste
> p small
Favoring speed over space. To switch, type or click on mata: mata set matafavor space,
> perm.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estim
> ation.
Difference-in-Sargan/Hansen statistics may be negative.

Dynamic panel-data estimation, two-step system GMM

Group variable: id Number of obs = 1668

Time variable : year Number of groups = 200
Number of instruments = 112 Obs per group: min = 3
F(9, 199) = 635.74 avg = 8.34
Prob > F = 0.000 max = 11

WACC Coef. Std. Err. t P>|t| [95% Conf. Interval]

WACC
L1. .7028087 .015145 46.41 0.000 .6729434 .7326741

audscr -.1100553 .0140431 -7.84 0.000 -.1377475 -.082363

debtrat .0036536 .00426 0.86 0.392 -.0047468 .0120541
age .000128 .000096 1.33 0.184 -.0000614 .0003173
grta -.0344054 .0062963 -5.46 0.000 -.0468215 -.0219893
szta -.0088999 .0012181 -7.31 0.000 -.011302 -.0064978
insdown .0002115 .0000869 2.43 0.016 .0000402 .0003828
roe -.0000384 .0000164 -2.34 0.020 -.0000706 -6.06e-06
family -.0049333 .0032185 -1.53 0.127 -.01128 .0014133
_cons .1848842 .0155389 11.90 0.000 .1542422 .2155262

Warning: Uncorrected two-step standard errors are unreliable.

Instruments for first differences equation

Standard
D.(L.lncap spltrol brdscr hl L.fmb L.family debtrat age roe)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/8).(L.WACC L.cgs)
Instruments for levels equation
Standard
L.lncap spltrol brdscr hl L.fmb L.family debtrat age roe
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL.(L.WACC L.cgs)

Arellano-Bond test for AR(1) in first differences: z = -5.83 Pr > z = 0.000

Arellano-Bond test for AR(2) in first differences: z = 1.61 Pr > z = 0.107

Sargan test of overid. restrictions: chi2(102) = 170.87 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(102) = 115.63 Prob > chi2 = 0.168
(Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:

GMM instruments for levels
Hansen test excluding group: chi2(84) = 108.23 Prob > chi2 = 0.039
Difference (null H = exogenous): chi2(18) = 7.40 Prob > chi2 = 0.986
gmm(L.WACC L.cgs, lag(2 8))
Hansen test excluding group: chi2(0) = 0.00 Prob > chi2 = .
Difference (null H = exogenous): chi2(102) = 115.63 Prob > chi2 = 0.168
iv(L.lncap spltrol brdscr hl L.fmb L.family debtrat age roe)
Hansen test excluding group: chi2(93) = 103.77 Prob > chi2 = 0.209
Difference (null H = exogenous): chi2(9) = 11.85 Prob > chi2 = 0.222
 Thursday December 1 19:31:37 2016 Page 4

6 .
7 . xtabond2 WACC l.WACC dscscr debtrat age grta szta insdown roe family, gmm(l.WACC l
> .cgs, lag(2 8)) iv (l.lncap spltrol brdscr hl l.fmb l.family debtrat l2.age roe) two
> step small
Favoring speed over space. To switch, type or click on mata: mata set matafavor space,
> perm.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estim
> ation.
Difference-in-Sargan/Hansen statistics may be negative.

Dynamic panel-data estimation, two-step system GMM

Group variable: id Number of obs = 1465

Time variable : year Number of groups = 200
Number of instruments = 112 Obs per group: min = 1
F(9, 199) = 874.04 avg = 7.33
Prob > F = 0.000 max = 10

WACC Coef. Std. Err. t P>|t| [95% Conf. Interval]

WACC
L1. .7504796 .0153898 48.76 0.000 .7201316 .7808276

dscscr -.0487791 .0051943 -9.39 0.000 -.059022 -.0385362

debtrat .0029536 .0027875 1.06 0.291 -.0025432 .0084504
age .0001063 .0000769 1.38 0.168 -.0000453 .0002579
grta -.0456244 .0062843 -7.26 0.000 -.0580169 -.0332319
szta -.0051218 .001359 -3.77 0.000 -.0078018 -.0024419
insdown -.0000531 .0000837 -0.63 0.526 -.0002182 .0001119
roe -.0000319 .0000127 -2.51 0.013 -.000057 -6.81e-06
family .0026337 .0029447 0.89 0.372 -.0031732 .0084405
_cons .0891483 .0130291 6.84 0.000 .0634554 .1148412

Warning: Uncorrected two-step standard errors are unreliable.

Instruments for first differences equation

Standard
D.(L.lncap spltrol brdscr hl L.fmb L.family debtrat L2.age roe)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/8).(L.WACC L.cgs)
Instruments for levels equation
Standard
L.lncap spltrol brdscr hl L.fmb L.family debtrat L2.age roe
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL.(L.WACC L.cgs)

Arellano-Bond test for AR(1) in first differences: z = -5.48 Pr > z = 0.000

Arellano-Bond test for AR(2) in first differences: z = 1.49 Pr > z = 0.136

Sargan test of overid. restrictions: chi2(102) = 151.74 Prob > chi2 = 0.001
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(102) = 111.80 Prob > chi2 = 0.238
(Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:

GMM instruments for levels
Hansen test excluding group: chi2(84) = 102.62 Prob > chi2 = 0.082
Difference (null H = exogenous): chi2(18) = 9.18 Prob > chi2 = 0.955
gmm(L.WACC L.cgs, lag(2 8))
Hansen test excluding group: chi2(0) = 0.00 Prob > chi2 = .
Difference (null H = exogenous): chi2(102) = 111.80 Prob > chi2 = 0.238
iv(L.lncap spltrol brdscr hl L.fmb L.family debtrat L2.age roe)
Hansen test excluding group: chi2(93) = 107.06 Prob > chi2 = 0.151
Difference (null H = exogenous): chi2(9) = 4.74 Prob > chi2 = 0.857
 Thursday December 1 19:31:37 2016 Page 5

8 .
9 .
10.
11. xtabond2 WACC l.WACC cgs debtrat age grta szta insdown roe family if large, gmm(l.W
> ACC cgs, lag(2 4)) iv (lncap spltrol small insdown hl dp) twostep small
Favoring speed over space. To switch, type or click on mata: mata set matafavor space,
> perm.
Warning: Number of instruments may be large relative to number of observations.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estim
> ation.
Difference-in-Sargan/Hansen statistics may be negative.

Dynamic panel-data estimation, two-step system GMM

Group variable: id Number of obs = 434

Time variable : year Number of groups = 70
Number of instruments = 76 Obs per group: min = 1
F(9, 69) = 2690.02 avg = 6.20
Prob > F = 0.000 max = 11

WACC Coef. Std. Err. t P>|t| [95% Conf. Interval]

WACC
L1. .541535 .0127391 42.51 0.000 .5161213 .5669488

cgs -.0198936 .0060351 -3.30 0.002 -.0319333 -.0078538

debtrat -.0333166 .005245 -6.35 0.000 -.04378 -.0228531
age -.0004841 .0000919 -5.27 0.000 -.0006675 -.0003007
grta -.0199343 .0027036 -7.37 0.000 -.0253279 -.0145408
szta -.0015716 .0007101 -2.21 0.030 -.0029882 -.0001549
insdown .0000684 .0000659 1.04 0.303 -.0000632 .0001999
roe -.0002197 .0000566 -3.88 0.000 -.0003326 -.0001068
family -.0001607 .0039573 -0.04 0.968 -.0080553 .0077339
_cons .0745793 .0068217 10.93 0.000 .0609703 .0881882

Warning: Uncorrected two-step standard errors are unreliable.

Instruments for first differences equation

Standard
D.(lncap spltrol small insdown hl dp)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/4).(L.WACC cgs)
Instruments for levels equation
Standard
lncap spltrol small insdown hl dp
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL.(L.WACC cgs)

Arellano-Bond test for AR(1) in first differences: z = -5.34 Pr > z = 0.000

Arellano-Bond test for AR(2) in first differences: z = 1.24 Pr > z = 0.213

Sargan test of overid. restrictions: chi2(66) = 152.93 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(66) = 63.89 Prob > chi2 = 0.551
(Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:

GMM instruments for levels
Hansen test excluding group: chi2(47) = 55.18 Prob > chi2 = 0.193
Difference (null H = exogenous): chi2(19) = 8.70 Prob > chi2 = 0.978
iv(lncap spltrol small insdown hl dp)
Hansen test excluding group: chi2(61) = 58.57 Prob > chi2 = 0.565
Difference (null H = exogenous): chi2(5) = 5.32 Prob > chi2 = 0.378
 Thursday December 1 19:31:37 2016 Page 6

12.
13. xtabond2 WACC l.WACC brdscr debtrat age grta szta insdown roe family if large, gmm(l
> .WACC cgs, lag(2 4)) iv (lncap spltrol small insdown hl dp) twostep small
Favoring speed over space. To switch, type or click on mata: mata set matafavor space,
> perm.
Warning: Number of instruments may be large relative to number of observations.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estim
> ation.
Difference-in-Sargan/Hansen statistics may be negative.

Dynamic panel-data estimation, two-step system GMM

Group variable: id Number of obs = 434

Time variable : year Number of groups = 70
Number of instruments = 76 Obs per group: min = 1
F(9, 69) = 1685.67 avg = 6.20
Prob > F = 0.000 max = 11

WACC Coef. Std. Err. t P>|t| [95% Conf. Interval]

WACC
L1. .5420647 .0124576 43.51 0.000 .5172124 .5669169

brdscr -.0105646 .0057899 -1.82 0.072 -.0221152 .000986

debtrat -.0299521 .0060884 -4.92 0.000 -.0420983 -.017806
age -.0005091 .0000827 -6.16 0.000 -.0006742 -.0003441
grta -.0187881 .0031857 -5.90 0.000 -.0251434 -.0124329
szta -.0026275 .0005277 -4.98 0.000 -.0036803 -.0015747
insdown .0001386 .0000641 2.16 0.034 .0000108 .0002664
roe -.0002053 .0000582 -3.53 0.001 -.0003215 -.0000891
family -.0027465 .0041758 -0.66 0.513 -.0110769 .0055839
_cons .0784164 .0080288 9.77 0.000 .0623995 .0944333

Warning: Uncorrected two-step standard errors are unreliable.

Instruments for first differences equation

Standard
D.(lncap spltrol small insdown hl dp)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/4).(L.WACC cgs)
Instruments for levels equation
Standard
lncap spltrol small insdown hl dp
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL.(L.WACC cgs)

Arellano-Bond test for AR(1) in first differences: z = -5.34 Pr > z = 0.000

Arellano-Bond test for AR(2) in first differences: z = 1.24 Pr > z = 0.216

Sargan test of overid. restrictions: chi2(66) = 153.35 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(66) = 63.68 Prob > chi2 = 0.558
(Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:

GMM instruments for levels
Hansen test excluding group: chi2(47) = 55.19 Prob > chi2 = 0.193
Difference (null H = exogenous): chi2(19) = 8.49 Prob > chi2 = 0.981
iv(lncap spltrol small insdown hl dp)
Hansen test excluding group: chi2(61) = 59.02 Prob > chi2 = 0.548
Difference (null H = exogenous): chi2(5) = 4.66 Prob > chi2 = 0.459
 Thursday December 1 19:31:37 2016 Page 7

14.
15. xtabond2 WACC l.WACC audscr debtrat age grta szta insdown roe family if large, gmm(l
> .WACC cgs, lag(2 4)) iv (lncap spltrol small insdown hl dp) twostep small
Favoring speed over space. To switch, type or click on mata: mata set matafavor space,
> perm.
Warning: Number of instruments may be large relative to number of observations.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estim
> ation.
Difference-in-Sargan/Hansen statistics may be negative.

Dynamic panel-data estimation, two-step system GMM

Group variable: id Number of obs = 434

Time variable : year Number of groups = 70
Number of instruments = 76 Obs per group: min = 1
F(9, 69) = 14707.24 avg = 6.20
Prob > F = 0.000 max = 11

WACC Coef. Std. Err. t P>|t| [95% Conf. Interval]

WACC
L1. .5427652 .0145677 37.26 0.000 .5137034 .571827

audscr -.0373883 .0070274 -5.32 0.000 -.0514076 -.0233691

debtrat -.0382631 .0043723 -8.75 0.000 -.0469855 -.0295406
age -.0004361 .0001272 -3.43 0.001 -.0006898 -.0001824
grta -.022166 .0034087 -6.50 0.000 -.0289661 -.0153659
szta -.0008082 .0006691 -1.21 0.231 -.002143 .0005267
insdown .0000602 .00006 1.00 0.319 -.0000595 .0001799
roe -.0002216 .0000531 -4.17 0.000 -.0003275 -.0001157
family .0005406 .0036704 0.15 0.883 -.0067816 .0078628
_cons .0827164 .0078144 10.59 0.000 .0671271 .0983057

Warning: Uncorrected two-step standard errors are unreliable.

Instruments for first differences equation

Standard
D.(lncap spltrol small insdown hl dp)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/4).(L.WACC cgs)
Instruments for levels equation
Standard
lncap spltrol small insdown hl dp
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL.(L.WACC cgs)

Arellano-Bond test for AR(1) in first differences: z = -5.25 Pr > z = 0.000

Arellano-Bond test for AR(2) in first differences: z = 1.34 Pr > z = 0.182

Sargan test of overid. restrictions: chi2(66) = 149.61 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(66) = 64.69 Prob > chi2 = 0.522
(Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:

GMM instruments for levels
Hansen test excluding group: chi2(47) = 53.17 Prob > chi2 = 0.249
Difference (null H = exogenous): chi2(19) = 11.52 Prob > chi2 = 0.905
iv(lncap spltrol small insdown hl dp)
Hansen test excluding group: chi2(61) = 60.64 Prob > chi2 = 0.489
Difference (null H = exogenous): chi2(5) = 4.05 Prob > chi2 = 0.542
 Thursday December 1 19:31:37 2016 Page 8

16.
17. xtabond2 WACC l.WACC dscscr debtrat age grta szta insdown roe family if large, gmm(
> l.WACC cgs, lag(2 4)) iv (lncap spltrol small insdown hl dp) twostep small
Favoring speed over space. To switch, type or click on mata: mata set matafavor space,
> perm.
Warning: Number of instruments may be large relative to number of observations.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estim
> ation.
Difference-in-Sargan/Hansen statistics may be negative.

Dynamic panel-data estimation, two-step system GMM

Group variable: id Number of obs = 434

Time variable : year Number of groups = 70
Number of instruments = 76 Obs per group: min = 1
F(9, 69) = 5737.07 avg = 6.20
Prob > F = 0.000 max = 11

WACC Coef. Std. Err. t P>|t| [95% Conf. Interval]

WACC
L1. .5482075 .0185162 29.61 0.000 .5112687 .5851464

dscscr -.0078523 .0022352 -3.51 0.001 -.0123115 -.0033931

debtrat -.0277574 .0044346 -6.26 0.000 -.0366041 -.0189107
age -.0003283 .0001014 -3.24 0.002 -.0005305 -.000126
grta -.0220214 .0031506 -6.99 0.000 -.0283067 -.0157362
szta -.0014637 .0007489 -1.95 0.055 -.0029578 .0000303
insdown .0001205 .0000559 2.16 0.034 9.05e-06 .0002319
roe -.0002274 .0000521 -4.37 0.000 -.0003313 -.0001235
family -.0025347 .0037117 -0.68 0.497 -.0099394 .00487
_cons .0578332 .0092858 6.23 0.000 .0393085 .0763578

Warning: Uncorrected two-step standard errors are unreliable.

Instruments for first differences equation

Standard
D.(lncap spltrol small insdown hl dp)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/4).(L.WACC cgs)
Instruments for levels equation
Standard
lncap spltrol small insdown hl dp
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL.(L.WACC cgs)

Arellano-Bond test for AR(1) in first differences: z = -5.33 Pr > z = 0.000

Arellano-Bond test for AR(2) in first differences: z = 1.20 Pr > z = 0.229

Sargan test of overid. restrictions: chi2(66) = 154.18 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(66) = 62.23 Prob > chi2 = 0.609
(Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:

GMM instruments for levels
Hansen test excluding group: chi2(47) = 54.86 Prob > chi2 = 0.201
Difference (null H = exogenous): chi2(19) = 7.37 Prob > chi2 = 0.992
iv(lncap spltrol small insdown hl dp)
Hansen test excluding group: chi2(61) = 59.24 Prob > chi2 = 0.540
Difference (null H = exogenous): chi2(5) = 3.00 Prob > chi2 = 0.701
 Thursday December 1 19:31:37 2016 Page 9

18.
19.
20.
21. xtabond2 WACC l.WACC cgs debtrat age grta szta insdown roe family if medium, gmm(l.
> WACC l.cgs l.family l.szta, lag(2 3)) iv (lncap l.small brdscr l.fmb l.insdown debtr
> at ll l.csrs) twostep small
Favoring speed over space. To switch, type or click on mata: mata set matafavor space,
> perm.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estim
> ation.
Difference-in-Sargan/Hansen statistics may be negative.

Dynamic panel-data estimation, two-step system GMM

Group variable: id Number of obs = 835

Time variable : year Number of groups = 143
Number of instruments = 102 Obs per group: min = 1
F(9, 142) = 90.97 avg = 5.84
Prob > F = 0.000 max = 11

WACC Coef. Std. Err. t P>|t| [95% Conf. Interval]

WACC
L1. .2445959 .0124327 19.67 0.000 .2200189 .269173

cgs -.118978 .0116192 -10.24 0.000 -.141947 -.0960089

debtrat .0067959 .0050808 1.34 0.183 -.0032479 .0168397
age -.0001581 .0001788 -0.88 0.378 -.0005115 .0001954
grta -.0277732 .0037851 -7.34 0.000 -.0352556 -.0202907
szta .0009178 .0012731 0.72 0.472 -.0015988 .0034344
insdown .0000187 .0000502 0.37 0.710 -.0000806 .000118
roe -.0102036 .0015355 -6.65 0.000 -.013239 -.0071683
family .0115272 .0049534 2.33 0.021 .0017352 .0213191
_cons .1444944 .0135296 10.68 0.000 .1177489 .1712398

Warning: Uncorrected two-step standard errors are unreliable.

Instruments for first differences equation

Standard
D.(lncap L.small brdscr L.fmb L.insdown debtrat ll L.csrs)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/3).(L.WACC L.cgs L.family L.szta)
Instruments for levels equation
Standard
lncap L.small brdscr L.fmb L.insdown debtrat ll L.csrs
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL.(L.WACC L.cgs L.family L.szta)

Arellano-Bond test for AR(1) in first differences: z = -6.55 Pr > z = 0.000

Arellano-Bond test for AR(2) in first differences: z = 1.16 Pr > z = 0.247

Sargan test of overid. restrictions: chi2(92) = 348.46 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(92) = 107.03 Prob > chi2 = 0.135
(Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:

GMM instruments for levels
Hansen test excluding group: chi2(65) = 90.51 Prob > chi2 = 0.020
Difference (null H = exogenous): chi2(27) = 16.52 Prob > chi2 = 0.942
iv(lncap L.small brdscr L.fmb L.insdown debtrat ll L.csrs)
Hansen test excluding group: chi2(84) = 93.19 Prob > chi2 = 0.231
Difference (null H = exogenous): chi2(8) = 13.83 Prob > chi2 = 0.086
 Thursday December 1 19:31:37 2016 Page 10

22.
23. xtabond2 WACC l.WACC brdscr debtrat age grta szta insdown roe family if medium, gm
> m(l.WACC l.cgs l.family l.szta, lag(2 3)) iv (lncap l.small brdscr l.fmb l.insdown d
> ebtrat ll l.csrs) twostep small
Favoring speed over space. To switch, type or click on mata: mata set matafavor space,
> perm.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estim
> ation.
Difference-in-Sargan/Hansen statistics may be negative.

Dynamic panel-data estimation, two-step system GMM

Group variable: id Number of obs = 835

Time variable : year Number of groups = 143
Number of instruments = 102 Obs per group: min = 1
F(9, 142) = 79.81 avg = 5.84
Prob > F = 0.000 max = 11

WACC Coef. Std. Err. t P>|t| [95% Conf. Interval]

WACC
L1. .2424229 .0131131 18.49 0.000 .2165009 .268345

brdscr -.0948933 .0103043 -9.21 0.000 -.115263 -.0745235

debtrat .0089668 .0060916 1.47 0.143 -.0030752 .0210088
age -.0009516 .0002344 -4.06 0.000 -.0014149 -.0004883
grta -.0226211 .0036687 -6.17 0.000 -.0298735 -.0153687
szta -.0014912 .0014763 -1.01 0.314 -.0044096 .0014271
insdown .000026 .0000612 0.42 0.672 -.000095 .000147
roe -.0098114 .0017714 -5.54 0.000 -.0133131 -.0063097
family .0155346 .0057014 2.72 0.007 .0042639 .0268053
_cons .1767748 .016968 10.42 0.000 .1432323 .2103173

Warning: Uncorrected two-step standard errors are unreliable.

Instruments for first differences equation

Standard
D.(lncap L.small brdscr L.fmb L.insdown debtrat ll L.csrs)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/3).(L.WACC L.cgs L.family L.szta)
Instruments for levels equation
Standard
lncap L.small brdscr L.fmb L.insdown debtrat ll L.csrs
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL.(L.WACC L.cgs L.family L.szta)

Arellano-Bond test for AR(1) in first differences: z = -6.70 Pr > z = 0.000

Arellano-Bond test for AR(2) in first differences: z = 1.18 Pr > z = 0.236

Sargan test of overid. restrictions: chi2(92) = 357.68 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(92) = 107.42 Prob > chi2 = 0.130
(Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:

GMM instruments for levels
Hansen test excluding group: chi2(65) = 91.71 Prob > chi2 = 0.016
Difference (null H = exogenous): chi2(27) = 15.71 Prob > chi2 = 0.958
iv(lncap L.small brdscr L.fmb L.insdown debtrat ll L.csrs)
Hansen test excluding group: chi2(84) = 94.98 Prob > chi2 = 0.194
Difference (null H = exogenous): chi2(8) = 12.45 Prob > chi2 = 0.132
 Thursday December 1 19:31:37 2016 Page 11

24.
25. xtabond2 WACC l.WACC audscr debtrat age grta szta insdown roe family if medium, gm
> m(l.WACC l.cgs l.family l.szta, lag(2 3)) iv (lncap l.small brdscr l.fmb l.insdown d
> ebtrat ll l.csrs) twostep small
Favoring speed over space. To switch, type or click on mata: mata set matafavor space,
> perm.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estim
> ation.
Difference-in-Sargan/Hansen statistics may be negative.

Dynamic panel-data estimation, two-step system GMM

Group variable: id Number of obs = 835

Time variable : year Number of groups = 143
Number of instruments = 102 Obs per group: min = 1
F(9, 142) = 96.93 avg = 5.84
Prob > F = 0.000 max = 11

WACC Coef. Std. Err. t P>|t| [95% Conf. Interval]

WACC
L1. .2246344 .01087 20.67 0.000 .2031465 .2461223

audscr -.2038954 .0264247 -7.72 0.000 -.2561321 -.1516587

debtrat .0155468 .0055241 2.81 0.006 .0046267 .0264669
age -.0000952 .0003012 -0.32 0.752 -.0006907 .0005003
grta -.0332329 .0044094 -7.54 0.000 -.0419494 -.0245164
szta -.0023534 .001751 -1.34 0.181 -.0058149 .001108
insdown -1.52e-06 .0000679 -0.02 0.982 -.0001357 .0001326
roe -.0096353 .0019208 -5.02 0.000 -.0134324 -.0058382
family .0045701 .0063637 0.72 0.474 -.0080098 .01715
_cons .2490598 .0262193 9.50 0.000 .1972291 .3008904

Warning: Uncorrected two-step standard errors are unreliable.

Instruments for first differences equation

Standard
D.(lncap L.small brdscr L.fmb L.insdown debtrat ll L.csrs)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/3).(L.WACC L.cgs L.family L.szta)
Instruments for levels equation
Standard
lncap L.small brdscr L.fmb L.insdown debtrat ll L.csrs
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL.(L.WACC L.cgs L.family L.szta)

Arellano-Bond test for AR(1) in first differences: z = -6.18 Pr > z = 0.000

Arellano-Bond test for AR(2) in first differences: z = 1.02 Pr > z = 0.307

Sargan test of overid. restrictions: chi2(92) = 339.78 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(92) = 111.10 Prob > chi2 = 0.085
(Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:

GMM instruments for levels
Hansen test excluding group: chi2(65) = 91.34 Prob > chi2 = 0.017
Difference (null H = exogenous): chi2(27) = 19.76 Prob > chi2 = 0.841
iv(lncap L.small brdscr L.fmb L.insdown debtrat ll L.csrs)
Hansen test excluding group: chi2(84) = 92.53 Prob > chi2 = 0.246
Difference (null H = exogenous): chi2(8) = 18.57 Prob > chi2 = 0.017
 Thursday December 1 19:31:37 2016 Page 12

26.
27. xtabond2 WACC l.WACC dscscr debtrat age grta szta insdown roe family if medium, gmm
> (l.WACC l.cgs l.family l.szta, lag(2 3)) iv (lncap l.small brdscr l.fmb l.insdown de
> btrat ll l.csrs) twostep small
Favoring speed over space. To switch, type or click on mata: mata set matafavor space,
> perm.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estim
> ation.
Difference-in-Sargan/Hansen statistics may be negative.

Dynamic panel-data estimation, two-step system GMM

Group variable: id Number of obs = 835

Time variable : year Number of groups = 143
Number of instruments = 102 Obs per group: min = 1
F(9, 142) = 81.24 avg = 5.84
Prob > F = 0.000 max = 11

WACC Coef. Std. Err. t P>|t| [95% Conf. Interval]

WACC
L1. .2751273 .0144726 19.01 0.000 .2465176 .3037369

dscscr -.0450801 .004177 -10.79 0.000 -.0533372 -.036823

debtrat .0072593 .0046423 1.56 0.120 -.0019176 .0164363
age .0002765 .0002257 1.22 0.223 -.0001697 .0007226
grta -.0278898 .0039065 -7.14 0.000 -.0356123 -.0201674
szta .0061962 .0012392 5.00 0.000 .0037464 .0086459
insdown .0000296 .0000577 0.51 0.609 -.0000844 .0001436
roe -.0074274 .0015598 -4.76 0.000 -.0105109 -.0043439
family .0153462 .0053374 2.88 0.005 .0047951 .0258972
_cons .0267867 .0114126 2.35 0.020 .0042261 .0493474

Warning: Uncorrected two-step standard errors are unreliable.

Instruments for first differences equation

Standard
D.(lncap L.small brdscr L.fmb L.insdown debtrat ll L.csrs)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/3).(L.WACC L.cgs L.family L.szta)
Instruments for levels equation
Standard
lncap L.small brdscr L.fmb L.insdown debtrat ll L.csrs
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL.(L.WACC L.cgs L.family L.szta)

Arellano-Bond test for AR(1) in first differences: z = -6.85 Pr > z = 0.000

Arellano-Bond test for AR(2) in first differences: z = 1.28 Pr > z = 0.199

Sargan test of overid. restrictions: chi2(92) = 361.85 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(92) = 105.73 Prob > chi2 = 0.155
(Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:

GMM instruments for levels
Hansen test excluding group: chi2(65) = 89.14 Prob > chi2 = 0.025
Difference (null H = exogenous): chi2(27) = 16.58 Prob > chi2 = 0.941
iv(lncap L.small brdscr L.fmb L.insdown debtrat ll L.csrs)
Hansen test excluding group: chi2(84) = 91.34 Prob > chi2 = 0.274
Difference (null H = exogenous): chi2(8) = 14.38 Prob > chi2 = 0.072
 Thursday December 1 19:31:37 2016 Page 13

28.
29.
30.
31.
32.
33. xtabond2 WACC l.WACC cgs debtrat age grta szta insdown roe family if small, gmm(l.W
> ACC l.cgs, lag(2 3)) iv (lncap spltrol brdscr l.family roe l.debtrat l.insdown l.age
> roa) twostep small
Favoring speed over space. To switch, type or click on mata: mata set matafavor space,
> perm.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estim
> ation.
Difference-in-Sargan/Hansen statistics may be negative.

Dynamic panel-data estimation, two-step system GMM

Group variable: id Number of obs = 399

Time variable : year Number of groups = 87
Number of instruments = 62 Obs per group: min = 1
F(9, 86) = 82.88 avg = 4.59
Prob > F = 0.000 max = 10

WACC Coef. Std. Err. t P>|t| [95% Conf. Interval]

WACC
L1. .6398381 .039485 16.20 0.000 .5613444 .7183317

cgs -.0906305 .0169197 -5.36 0.000 -.1242656 -.0569953

debtrat -.0076028 .0016487 -4.61 0.000 -.0108804 -.0043253
age -7.64e-06 .0001527 -0.05 0.960 -.0003111 .0002959
grta -.121102 .0118467 -10.22 0.000 -.1446524 -.0975516
szta .0022375 .0022162 1.01 0.316 -.0021682 .0066432
insdown -.0000942 .0000657 -1.43 0.155 -.0002249 .0000364
roe -.0006038 .0012955 -0.47 0.642 -.0031792 .0019715
family -.0155939 .005848 -2.67 0.009 -.0272193 -.0039686
_cons .1673957 .0292439 5.72 0.000 .1092606 .2255307

Warning: Uncorrected two-step standard errors are unreliable.

Instruments for first differences equation

Standard
D.(lncap spltrol brdscr L.family roe L.debtrat L.insdown L.age roa)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/3).(L.WACC L.cgs)
Instruments for levels equation
Standard
lncap spltrol brdscr L.family roe L.debtrat L.insdown L.age roa
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL.(L.WACC L.cgs)

Arellano-Bond test for AR(1) in first differences: z = -3.72 Pr > z = 0.000

Arellano-Bond test for AR(2) in first differences: z = 1.89 Pr > z = 0.059

Sargan test of overid. restrictions: chi2(52) = 65.26 Prob > chi2 = 0.102
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(52) = 62.26 Prob > chi2 = 0.156
(Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:

GMM instruments for levels
Hansen test excluding group: chi2(34) = 42.08 Prob > chi2 = 0.161
Difference (null H = exogenous): chi2(18) = 20.18 Prob > chi2 = 0.323
gmm(L.WACC L.cgs, lag(2 3))
Hansen test excluding group: chi2(0) = 0.00 Prob > chi2 = .
Difference (null H = exogenous): chi2(52) = 62.26 Prob > chi2 = 0.156
iv(lncap spltrol brdscr L.family roe L.debtrat L.insdown L.age roa)
Hansen test excluding group: chi2(43) = 53.06 Prob > chi2 = 0.140
Difference (null H = exogenous): chi2(9) = 9.20 Prob > chi2 = 0.419
 Thursday December 1 19:31:37 2016 Page 14

34.
35. xtabond2 WACC l.WACC brdscr debtrat age grta szta insdown roe family if small, gmm(
> l.WACC l.cgs, lag(2 3)) iv (lncap spltrol brdscr l.family roe l.debtrat l.insdown l.
> age roa) twostep small
Favoring speed over space. To switch, type or click on mata: mata set matafavor space,
> perm.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estim
> ation.
Difference-in-Sargan/Hansen statistics may be negative.

Dynamic panel-data estimation, two-step system GMM

Group variable: id Number of obs = 399

Time variable : year Number of groups = 87
Number of instruments = 62 Obs per group: min = 1
F(9, 86) = 106.19 avg = 4.59
Prob > F = 0.000 max = 10

WACC Coef. Std. Err. t P>|t| [95% Conf. Interval]

WACC
L1. .6339921 .0354202 17.90 0.000 .5635791 .7044051

brdscr -.0763731 .0120234 -6.35 0.000 -.1002747 -.0524714

debtrat -.0084178 .0015637 -5.38 0.000 -.0115264 -.0053093
age -.0000771 .0001553 -0.50 0.621 -.0003859 .0002317
grta -.1137744 .0108318 -10.50 0.000 -.1353074 -.0922415
szta .0013643 .002197 0.62 0.536 -.0030031 .0057317
insdown -.0000999 .0000603 -1.66 0.101 -.0002198 .0000201
roe -.0008812 .0012483 -0.71 0.482 -.0033627 .0016003
family -.0148404 .0061766 -2.40 0.018 -.027119 -.0025618
_cons .1771483 .0270624 6.55 0.000 .1233501 .2309466

Warning: Uncorrected two-step standard errors are unreliable.

Instruments for first differences equation

Standard
D.(lncap spltrol brdscr L.family roe L.debtrat L.insdown L.age roa)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/3).(L.WACC L.cgs)
Instruments for levels equation
Standard
lncap spltrol brdscr L.family roe L.debtrat L.insdown L.age roa
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL.(L.WACC L.cgs)

Arellano-Bond test for AR(1) in first differences: z = -3.65 Pr > z = 0.000

Arellano-Bond test for AR(2) in first differences: z = 1.87 Pr > z = 0.062

Sargan test of overid. restrictions: chi2(52) = 64.65 Prob > chi2 = 0.112
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(52) = 60.72 Prob > chi2 = 0.190
(Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:

GMM instruments for levels
Hansen test excluding group: chi2(34) = 40.63 Prob > chi2 = 0.201
Difference (null H = exogenous): chi2(18) = 20.10 Prob > chi2 = 0.327
gmm(L.WACC L.cgs, lag(2 3))
Hansen test excluding group: chi2(0) = 0.00 Prob > chi2 = .
Difference (null H = exogenous): chi2(52) = 60.72 Prob > chi2 = 0.190
iv(lncap spltrol brdscr L.family roe L.debtrat L.insdown L.age roa)
Hansen test excluding group: chi2(43) = 52.39 Prob > chi2 = 0.154
Difference (null H = exogenous): chi2(9) = 8.33 Prob > chi2 = 0.501
 Thursday December 1 19:31:37 2016 Page 15

36.
37. xtabond2 WACC l.WACC audscr debtrat age grta szta insdown roe family if small, gmm(
> l.WACC l.cgs, lag(2 3)) iv (lncap spltrol brdscr l.family roe l.debtrat l.insdown l.
> age roa) twostep small
Favoring speed over space. To switch, type or click on mata: mata set matafavor space,
> perm.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estim
> ation.
Difference-in-Sargan/Hansen statistics may be negative.

Dynamic panel-data estimation, two-step system GMM

Group variable: id Number of obs = 399

Time variable : year Number of groups = 87
Number of instruments = 62 Obs per group: min = 1
F(9, 86) = 90.70 avg = 4.59
Prob > F = 0.000 max = 10

WACC Coef. Std. Err. t P>|t| [95% Conf. Interval]

WACC
L1. .6801157 .0366262 18.57 0.000 .6073053 .7529261

audscr -.0303528 .017841 -1.70 0.093 -.0658196 .005114

debtrat -.0057094 .0017541 -3.25 0.002 -.0091964 -.0022225
age .0000357 .0001417 0.25 0.802 -.000246 .0003173
grta -.1238704 .0120654 -10.27 0.000 -.1478557 -.0998851
szta .0027276 .0021886 1.25 0.216 -.0016231 .0070783
insdown -.0001044 .0000689 -1.51 0.134 -.0002415 .0000326
roe .0001844 .0012946 0.14 0.887 -.0023891 .0027579
family -.012369 .0060544 -2.04 0.044 -.0244048 -.0003333
_cons .1236139 .0311203 3.97 0.000 .0617487 .1854791

Warning: Uncorrected two-step standard errors are unreliable.

Instruments for first differences equation

Standard
D.(lncap spltrol brdscr L.family roe L.debtrat L.insdown L.age roa)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/3).(L.WACC L.cgs)
Instruments for levels equation
Standard
lncap spltrol brdscr L.family roe L.debtrat L.insdown L.age roa
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL.(L.WACC L.cgs)

Arellano-Bond test for AR(1) in first differences: z = -3.76 Pr > z = 0.000

Arellano-Bond test for AR(2) in first differences: z = 1.89 Pr > z = 0.058

Sargan test of overid. restrictions: chi2(52) = 65.16 Prob > chi2 = 0.104
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(52) = 65.02 Prob > chi2 = 0.106
(Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:

GMM instruments for levels
Hansen test excluding group: chi2(34) = 43.52 Prob > chi2 = 0.127
Difference (null H = exogenous): chi2(18) = 21.50 Prob > chi2 = 0.255
gmm(L.WACC L.cgs, lag(2 3))
Hansen test excluding group: chi2(0) = 0.00 Prob > chi2 = .
Difference (null H = exogenous): chi2(52) = 65.02 Prob > chi2 = 0.106
iv(lncap spltrol brdscr L.family roe L.debtrat L.insdown L.age roa)
Hansen test excluding group: chi2(43) = 52.28 Prob > chi2 = 0.157
Difference (null H = exogenous): chi2(9) = 12.74 Prob > chi2 = 0.175
 Thursday December 1 19:31:37 2016 Page 16

38.
39. xtabond2 WACC l.WACC dscscr debtrat age grta szta insdown roe family if small, gmm
> (l.WACC l.cgs, lag(2 3)) iv (lncap spltrol brdscr l.family l.debtrat l.insdown l.age
> roa dscscr) twostep small
Favoring speed over space. To switch, type or click on mata: mata set matafavor space,
> perm.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estim
> ation.
Difference-in-Sargan/Hansen statistics may be negative.

Dynamic panel-data estimation, two-step system GMM

Group variable: id Number of obs = 399

Time variable : year Number of groups = 87
Number of instruments = 62 Obs per group: min = 1
F(9, 86) = 99.64 avg = 4.59
Prob > F = 0.000 max = 10

WACC Coef. Std. Err. t P>|t| [95% Conf. Interval]

WACC
L1. .7371689 .0466935 15.79 0.000 .6443453 .8299925

dscscr -.0018387 .0073026 -0.25 0.802 -.0163559 .0126784

debtrat -.0049995 .0013407 -3.73 0.000 -.0076648 -.0023342
age .0000286 .0001298 0.22 0.826 -.0002294 .0002866
grta -.1231181 .0118488 -10.39 0.000 -.1466728 -.0995634
szta .0023251 .0019927 1.17 0.247 -.0016362 .0062864
insdown -.0000621 .0000514 -1.21 0.230 -.0001643 .0000401
roe .0020785 .0020294 1.02 0.309 -.0019558 .0061129
family -.0131495 .0062809 -2.09 0.039 -.0256355 -.0006635
_cons .0909287 .0244059 3.73 0.000 .0424113 .1394461

Warning: Uncorrected two-step standard errors are unreliable.

Instruments for first differences equation

Standard
D.(lncap spltrol brdscr L.family L.debtrat L.insdown L.age roa dscscr)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/3).(L.WACC L.cgs)
Instruments for levels equation
Standard
lncap spltrol brdscr L.family L.debtrat L.insdown L.age roa dscscr
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL.(L.WACC L.cgs)

Arellano-Bond test for AR(1) in first differences: z = -3.80 Pr > z = 0.000

Arellano-Bond test for AR(2) in first differences: z = 1.84 Pr > z = 0.065

Sargan test of overid. restrictions: chi2(52) = 64.09 Prob > chi2 = 0.121
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(52) = 64.93 Prob > chi2 = 0.107
(Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:

GMM instruments for levels
Hansen test excluding group: chi2(34) = 43.06 Prob > chi2 = 0.137
Difference (null H = exogenous): chi2(18) = 21.87 Prob > chi2 = 0.238
gmm(L.WACC L.cgs, lag(2 3))
Hansen test excluding group: chi2(0) = 0.00 Prob > chi2 = .
Difference (null H = exogenous): chi2(52) = 64.93 Prob > chi2 = 0.107
iv(lncap spltrol brdscr L.family L.debtrat L.insdown L.age roa dscscr)
Hansen test excluding group: chi2(43) = 54.24 Prob > chi2 = 0.117
Difference (null H = exogenous): chi2(9) = 10.70 Prob > chi2 = 0.297
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