Robustness checks and interpretation

[Leo Dromi]

Hello guys,

im doing robustnes checks for my logit regression model. So for example im doing the same regression just with modified variables (without year/firm fixed effects, unwinsorized variables etc.). My problem is, that the significance level increases for the model which doesn't consider fixed effects and also for the model with unwinsorized variables. This seems very odd to me since the fixed effects and winsorization should improve my results. Do you have any idea why this is the case?

Kind regards
Leo

[Carlo Lazzaro]

Leo:
your chance of getting helpful replies is conditional on posting what you typed and what Stata gave you back under the different scenarios that you considered.

[Leo Dromi]

Hello Carlo,
oh sorry, here you can find my code (sorry about the form of presentation - im on it to learn how to do it properly!):

Code:
Model 1: logit IFRS CompanyAge Listed ROAwinsorized Growthwinsorized
Model 2: logit IFRS CompanyAge Listed ROA Growth


So my problem is, that i get significant z-values for ROA (2nd model) but not for ROA winsorized.

[Carlo Lazzaro]

Leo:
the short answer is that you ran two different models and you should by no means expect that their results overlap.
A more elaborate reply would imply taking a look at what Stata gave you back, too (via CODe delimiters, please; see the FAQ on this and other posting-related topics). Thanks.