1-3) The model on slide 81 accounts for year effects. Some of those year effects are statistically significant. You could test for their joint statistical significance with the command
So, given the statistical significance, you could argue that there are year effects. But as I mentioned before, some authors simply say that they include year effects whenever they include those dummy variables, whether they are significant or not.
On slide 122, the year effects are not statistically significant. You could probably remove them from the regression model if you want to estimate a more parsimonious model.
4.1) The suboption model(level) implies that the industry dummies are instrumented in the level model. This suboption takes precedence over the global option model(diff).
4.2) Because there are no other suboptions specified, the default applies, which means that level instruments are used for the industry dummies.
5) Same as 4).
6.1) Here, no suboption for the model transformation is specified; therefore, the default applies, which is set by the global option model(diff). Thus, the instruments here are specified for the first-differenced model.
6.2) The diff suboption implies that first-differences of the time dummies are used as instruments.
7.1) Here, the time dummies are instrumented in both models.
7.2) Differenced instruments are used for the first-differenced model - as in 7) - and level instruments are used for the level model - as in 5).
8.1) Here, no suboption for the model transformation is specified; therefore, the default applies, which in this case is the level model because no global option for a different model transformation was specified.
8.2) Same as 6.2).
Code:
testparm i.year
On slide 122, the year effects are not statistically significant. You could probably remove them from the regression model if you want to estimate a more parsimonious model.
4.1) The suboption model(level) implies that the industry dummies are instrumented in the level model. This suboption takes precedence over the global option model(diff).
4.2) Because there are no other suboptions specified, the default applies, which means that level instruments are used for the industry dummies.
5) Same as 4).
6.1) Here, no suboption for the model transformation is specified; therefore, the default applies, which is set by the global option model(diff). Thus, the instruments here are specified for the first-differenced model.
6.2) The diff suboption implies that first-differences of the time dummies are used as instruments.
7.1) Here, the time dummies are instrumented in both models.
7.2) Differenced instruments are used for the first-differenced model - as in 7) - and level instruments are used for the level model - as in 5).
8.1) Here, no suboption for the model transformation is specified; therefore, the default applies, which in this case is the level model because no global option for a different model transformation was specified.
8.2) Same as 6.2).
Comment