Tuesday November 1 13:24:36 2016 Page 1

Statistics/Data Analysis

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1 . xtabond2 WACC l.WACC cgs debtrat age grta szta insdown roe family if ninetofouteen,
> gmm(l.WACC l.cgs, lag(2 3)) iv (l.lncap spltrol brdscr hl l.fmb l.family l.debtrat
> l.grta) 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 = 1114

Time variable : year Number of groups = 200
Number of instruments = 45 Obs per group: min = 2
F(9, 199) = 242.40 avg = 5.57
Prob > F = 0.000 max = 6

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

WACC
L1. .7045993 .0524957 13.42 0.000 .60108 .8081186

cgs -.1090198 .0214216 -5.09 0.000 -.1512622 -.0667773

debtrat -.0011459 .0055466 -0.21 0.837 -.0120836 .0097917
age -.000642 .0009459 -0.68 0.498 -.0025073 .0012232
grta -.0166945 .0063412 -2.63 0.009 -.0291991 -.0041899
szta -.0096938 .0036303 -2.67 0.008 -.0168526 -.002535
insdown .0000191 .0002289 0.08 0.933 -.0004322 .0004705
roe -.0322396 .0113755 -2.83 0.005 -.0546715 -.0098076
family -.0084525 .006998 -1.21 0.229 -.0222522 .0053473
_cons .2121756 .0453004 4.68 0.000 .1228452 .3015061

Warning: Uncorrected two-step standard errors are unreliable.

Instruments for first differences equation

Standard
D.(L.lncap spltrol brdscr hl L.fmb L.family L.debtrat L.grta)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/3).(L.WACC L.cgs)
Instruments for levels equation
Standard
L.lncap spltrol brdscr hl L.fmb L.family L.debtrat L.grta
_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 = -5.07 Pr > z = 0.000

Arellano-Bond test for AR(2) in first differences: z = 0.56 Pr > z = 0.578

Sargan test of overid. restrictions: chi2(35) = 51.25 Prob > chi2 = 0.037
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(35) = 44.51 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(23) = 29.54 Prob > chi2 = 0.163
Difference (null H = exogenous): chi2(12) = 14.97 Prob > chi2 = 0.243
iv(L.lncap spltrol brdscr hl L.fmb L.family L.debtrat L.grta)
Hansen test excluding group: chi2(27) = 29.69 Prob > chi2 = 0.328
Difference (null H = exogenous): chi2(8) = 14.82 Prob > chi2 = 0.063
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2 . log close
name: <unnamed>
log: D:\Stata-12\Stata-12\waccsplit3.smcl
log type: smcl
closed on: 1 Nov 2016, 13:24:28