Tuesday November 1 13:24:11 2016 Page 1

Statistics/Data Analysis

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log: D:\Stata-12\Stata-12\waccsplit2.smcl
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1 . xtabond2 WACC l.WACC brdscr audscr dscscr debtrat age grta szta insdown roe family
> if threetoeight, gmm(l.WACC, lag(2 8)) iv (l.lncap spltrol brdscr hl l.fmb l.debtra
> t l.age roe cgs) 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 = 532

Time variable : year Number of groups = 146
Number of instruments = 19 Obs per group: min = 1
F(11, 145) = 60.37 avg = 3.64
Prob > F = 0.000 max = 5

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

WACC
L1. .7089169 .1417139 5.00 0.000 .4288252 .9890087

brdscr -.014308 .0437746 -0.33 0.744 -.1008268 .0722108

audscr .2256418 .1452148 1.55 0.122 -.0613695 .512653
dscscr -.0991698 .0553977 -1.79 0.076 -.208661 .0103214
debtrat -.0104274 .0145514 -0.72 0.475 -.0391876 .0183328
age -.0005283 .0004939 -1.07 0.286 -.0015044 .0004478
grta -.1260129 .0476776 -2.64 0.009 -.2202458 -.03178
szta .0032522 .0073133 0.44 0.657 -.0112023 .0177068
insdown -.0005291 .0007404 -0.71 0.476 -.0019925 .0009342
roe -.0001641 .0000715 -2.30 0.023 -.0003054 -.0000228
family .1005815 .0498635 2.02 0.046 .0020284 .1991346
_cons -.117755 .1389812 -0.85 0.398 -.3924457 .1569357

Warning: Uncorrected two-step standard errors are unreliable.

Instruments for first differences equation

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

Arellano-Bond test for AR(1) in first differences: z = -3.22 Pr > z = 0.001

Arellano-Bond test for AR(2) in first differences: z = -1.37 Pr > z = 0.170

Sargan test of overid. restrictions: chi2(7) = 2.03 Prob > chi2 = 0.958
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(7) = 2.38 Prob > chi2 = 0.936
(Robust, but weakened by many instruments.)

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

GMM instruments for levels
Hansen test excluding group: chi2(4) = 1.68 Prob > chi2 = 0.794
Difference (null H = exogenous): chi2(3) = 0.70 Prob > chi2 = 0.874
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2 . log close
name: <unnamed>
log: D:\Stata-12\Stata-12\waccsplit2.smcl
log type: smcl
closed on: 1 Nov 2016, 13:24:04