Dear members,
I am examining the impact of ownership structure on debt maturity structure. My dependent variable is debt maturity, my independent variable is ownership structure and i have a set of control variables. Among the control variable i have the variable "leverage". Usually, the choice of leverage (level of debt) and the debt maturity are made simultaneously. So, leverage is an endogenous variable. To deal with this, I specify a system of simultaneous equations between leverage and debt maturity.
In the leverage equation, I include the following variables (fixed assets, firm size, abnormal earnings, volatility, profitability, operational loss, growth opportunity). In the debt maturity equation, I include: ownership structure, asset maturity, growth opportunity, volatility, firm size, abnormal earning, liquidity, credit quality, board size, duality and the predicted value of leverage derived from the first equation.
I have a heteroskedasticity problems, I used the generalized least square the estimate the coefficients of the simultaneous equations and I got significant and great results.
I just want to ensure that this is an appropriate method.
Here is the code I used:
Your answer is highly appreciated!
Thank you in advance
I am examining the impact of ownership structure on debt maturity structure. My dependent variable is debt maturity, my independent variable is ownership structure and i have a set of control variables. Among the control variable i have the variable "leverage". Usually, the choice of leverage (level of debt) and the debt maturity are made simultaneously. So, leverage is an endogenous variable. To deal with this, I specify a system of simultaneous equations between leverage and debt maturity.
In the leverage equation, I include the following variables (fixed assets, firm size, abnormal earnings, volatility, profitability, operational loss, growth opportunity). In the debt maturity equation, I include: ownership structure, asset maturity, growth opportunity, volatility, firm size, abnormal earning, liquidity, credit quality, board size, duality and the predicted value of leverage derived from the first equation.
I have a heteroskedasticity problems, I used the generalized least square the estimate the coefficients of the simultaneous equations and I got significant and great results.
I just want to ensure that this is an appropriate method.
Here is the code I used:
xtgls LEV Fixed_assets growth_opportunity Profitability Volatility ABearnings F_SIZE Operational_loss i.year i.Sector, panels (hetero) corr(psar1) force
predict LEVhat
xtgls Debt_maturity ownership_structure LEVhat asset_maturity growth_opportunity Volatility F_SIZE Liquidity ABearnings credit quality DUALITY Board_SIZE i.year i.Sector, panels (hetero) corr(psar1) force
predict LEVhat
xtgls Debt_maturity ownership_structure LEVhat asset_maturity growth_opportunity Volatility F_SIZE Liquidity ABearnings credit quality DUALITY Board_SIZE i.year i.Sector, panels (hetero) corr(psar1) force
Thank you in advance
