im using simple probit model in my study , and use 2 SLS for robustness but i noticed that simple probit model give me lower number of observation as compared to 2sls , im using similar variable in both probit and 2sls, where is the problem and is there a way we can have similar number of observation in both simple probit model and 2 SLS
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. probit hard_final_Exact_new csopresence1 Firm_Size_w ROA_four_w ACTUAL_RETURN_w DCAPEX_w TAX_rate_w KZ_one_w DDIVi_w Leverage_w Book_Market_s_w UNION dividends_w FREE_CASH_FLOW_w CASH_FLOW_VOLATILITY_w G
> overnance_Score_w Fund_Status_w FUNDING_RATIO_w Platn_Size_w Pension_contrib_four_w CSR_Committee SustainabilityScore_w i.year i.SIC_WRDS_2 , robust cluster (id)
note: 2005.year != 0 predicts failure perfectly;
2005.year omitted and 185 obs not used.
note: 2006.year != 0 predicts failure perfectly;
2006.year omitted and 187 obs not used.
note: 14.SIC_WRDS_2 != 0 predicts failure perfectly;
14.SIC_WRDS_2 omitted and 34 obs not used.
note: 21.SIC_WRDS_2 != 0 predicts failure perfectly;
21.SIC_WRDS_2 omitted and 30 obs not used.
note: 27.SIC_WRDS_2 != 0 predicts failure perfectly;
27.SIC_WRDS_2 omitted and 10 obs not used.
note: 34.SIC_WRDS_2 != 0 predicts failure perfectly;
34.SIC_WRDS_2 omitted and 74 obs not used.
note: 40.SIC_WRDS_2 != 0 predicts failure perfectly;
40.SIC_WRDS_2 omitted and 47 obs not used.
note: 42.SIC_WRDS_2 != 0 predicts failure perfectly;
42.SIC_WRDS_2 omitted and 16 obs not used.
note: 53.SIC_WRDS_2 != 0 predicts failure perfectly;
53.SIC_WRDS_2 omitted and 16 obs not used.
note: 56.SIC_WRDS_2 != 0 predicts failure perfectly;
56.SIC_WRDS_2 omitted and 15 obs not used.
note: 58.SIC_WRDS_2 != 0 predicts failure perfectly;
58.SIC_WRDS_2 omitted and 22 obs not used.
note: 59.SIC_WRDS_2 != 0 predicts failure perfectly;
59.SIC_WRDS_2 omitted and 7 obs not used.
note: 70.SIC_WRDS_2 != 0 predicts failure perfectly;
70.SIC_WRDS_2 omitted and 1 obs not used.
note: 72.SIC_WRDS_2 != 0 predicts failure perfectly;
72.SIC_WRDS_2 omitted and 4 obs not used.
note: 87.SIC_WRDS_2 != 0 predicts failure perfectly;
87.SIC_WRDS_2 omitted and 21 obs not used.
note: 99.SIC_WRDS_2 != 0 predicts failure perfectly;
99.SIC_WRDS_2 omitted and 23 obs not used.
Iteration 0: Log pseudolikelihood = -337.5774
Iteration 1: Log pseudolikelihood = -297.80791
Iteration 2: Log pseudolikelihood = -292.6912
Iteration 3: Log pseudolikelihood = -292.60433
Iteration 4: Log pseudolikelihood = -292.60431
Probit regression Number of obs = 2,644
Wald chi2(57) = .
Prob > chi2 = .
Log pseudolikelihood = -292.60431 Pseudo R2 = 0.1332
(Std. err. adjusted for 237 clusters in id)
----------------------------------------------------------------------------------------
| Robust
hard_final_Exact_new | Coefficient std. err. z P>|z| [95% conf. interval]
-----------------------+----------------------------------------------------------------
csopresence1 | .245147 .1331708 1.84 0.066 -.015863 .5061569
Firm_Size_w | -.1941079 .1072464 -1.81 0.070 -.404307 .0160911
ROA_four_w | -10.58928 3.778324 -2.80 0.005 -17.99466 -3.183905
ACTUAL_RETURN_w | .4034757 .6440019 0.63 0.531 -.8587448 1.665696
DCAPEX_w | 2.002871 5.252902 0.38 0.703 -8.292629 12.29837
TAX_rate_w | -.1749159 .2404614 -0.73 0.467 -.6462116 .2963798
KZ_one_w | -.1907202 .1732844 -1.10 0.271 -.5303514 .1489109
DDIVi_w | 60069.89 56149.84 1.07 0.285 -49981.78 170121.5
Leverage_w | .3842207 .6674419 0.58 0.565 -.9239413 1.692383
Book_Market_s_w | -.1723398 .266929 -0.65 0.519 -.6955109 .3508314
UNION | .2296813 .3402251 0.68 0.500 -.4371477 .8965103
dividends_w | -5.172418 8.528672 -0.61 0.544 -21.88831 11.54347
FREE_CASH_FLOW_w | 9.642757 3.886048 2.48 0.013 2.026243 17.25927
CASH_FLOW_VOLATILITY_w | -1.58963 3.036793 -0.52 0.601 -7.541634 4.362375
Governance_Score_w | .0061239 .0030816 1.99 0.047 .0000841 .0121637
Fund_Status_w | -4.486872 2.270805 -1.98 0.048 -8.937569 -.0361752
FUNDING_RATIO_w | -.5698927 .497172 -1.15 0.252 -1.544332 .4045464
Platn_Size_w | .0982426 .0861868 1.14 0.254 -.0706804 .2671656
Pension_contrib_four_w | -34.27454 9.654765 -3.55 0.000 -53.19753 -15.35155
CSR_Committee | .0040745 .1523626 0.03 0.979 -.2945508 .3026998
SustainabilityScore_w | .0056061 .004342 1.29 0.197 -.0029041 .0141163
|
year |
2005 | 0 (empty)
2006 | 0 (empty)
2007 | .0981057 .518615 0.19 0.850 -.918361 1.114572
2008 | .6003759 .5297405 1.13 0.257 -.4378963 1.638648
2009 | .7712078 .4796599 1.61 0.108 -.1689083 1.711324
2010 | .5279603 .4875362 1.08 0.279 -.4275931 1.483514
2011 | .3039659 .5128367 0.59 0.553 -.7011756 1.309107
2012 | .5377841 .4906285 1.10 0.273 -.4238301 1.499398
2013 | .489606 .4928414 0.99 0.320 -.4763455 1.455557
2014 | .5007029 .4941323 1.01 0.311 -.4677786 1.469184
2015 | .6566197 .5030296 1.31 0.192 -.3293002 1.64254
2016 | .2306135 .5077614 0.45 0.650 -.7645805 1.225808
2017 | .1866728 .5247172 0.36 0.722 -.841754 1.2151
2018 | .7011734 .5147613 1.36 0.173 -.3077402 1.710087
2019 | .1755237 .5298538 0.33 0.740 -.8629706 1.214018
2020 | .5185666 .5260135 0.99 0.324 -.5124008 1.549534
2021 | .0585739 .5433806 0.11 0.914 -1.006432 1.12358
2022 | .608939 .6708943 0.91 0.364 -.7059897 1.923868
|
SIC_WRDS_2 |
13 | -.2534915 .5557995 -0.46 0.648 -1.342839 .8358555
14 | 0 (empty)
20 | -1.011071 .5092042 -1.99 0.047 -2.009093 -.0130493
21 | 0 (empty)
23 | -.531122 .5353144 -0.99 0.321 -1.580319 .518075
26 | -1.1323 .5950166 -1.90 0.057 -2.298511 .033911
27 | 0 (empty)
28 | -1.073077 .4702449 -2.28 0.022 -1.99474 -.1514135
29 | -.4664316 .4577622 -1.02 0.308 -1.363629 .4307657
34 | 0 (empty)
35 | -1.206367 .5181649 -2.33 0.020 -2.221951 -.1907821
36 | -1.043549 .4478865 -2.33 0.020 -1.921391 -.1657079
37 | -.9559336 .4690026 -2.04 0.042 -1.875162 -.0367054
38 | -.8042331 .3636136 -2.21 0.027 -1.516903 -.0915637
39 | .9773447 .3434948 2.85 0.004 .3041073 1.650582
40 | 0 (empty)
42 | 0 (empty)
45 | -.3590596 .4311532 -0.83 0.405 -1.204104 .4859851
48 | -.5363866 .5469089 -0.98 0.327 -1.608308 .5355351
49 | -1.09889 .4560841 -2.41 0.016 -1.992798 -.2049815
50 | .0804174 .4649994 0.17 0.863 -.8309646 .9917994
51 | .4085554 .3061336 1.33 0.182 -.1914555 1.008566
53 | 0 (empty)
54 | .0898594 .2167635 0.41 0.678 -.3349893 .5147081
55 | 1.379211 .3314835 4.16 0.000 .7295153 2.028907
56 | 0 (empty)
58 | 0 (empty)
59 | 0 (empty)
60 | -.3744984 .4478895 -0.84 0.403 -1.252346 .5033489
61 | .0536955 .6961353 0.08 0.939 -1.310705 1.418096
62 | -.0241014 .5053409 -0.05 0.962 -1.014551 .9663485
63 | -.4153976 .4293481 -0.97 0.333 -1.256904 .4261092
64 | -.2902573 .4808914 -0.60 0.546 -1.232787 .6522724
70 | 0 (empty)
72 | 0 (empty)
73 | -.8807843 .3951758 -2.23 0.026 -1.655315 -.1062541
80 | -.1506552 .5541873 -0.27 0.786 -1.236842 .935532
87 | 0 (empty)
99 | 0 (empty)
|
_cons | -.2584988 1.021271 -0.25 0.800 -2.260153 1.743156
----------------------------------------------------------------------------------------
.
end of do-file
. do "C:\Users\lenovo\AppData\Local\Temp\STD1fa0_000000.tmp"
. * drop if industry identifier is missing
. drop if SIC_WRDS_2 == .
(411 observations deleted)
.
.
. * Count the number of firms in each industry in each year where the cso presence variable is equal to 1
. capture bys SIC_WRDS_2 year : egen Instrumental_based_on_CSO_Count = count(csopresence1 / (csopresence1==1))
.
. * Count the total number of firms in each industry and each year where cso is not missing
. bys SIC_WRDS_2 year : egen total_firms_industry_year = count(csopresence1)
.
. * The percentage of firms in each industry in each year where the cso presence variable is equal to 1
. gen CSO_Percentage = Instrumental_based_on_CSO_Count / total_firms_industry_year
(2,925 missing values generated)
.
end of do-file
. do "C:\Users\lenovo\AppData\Local\Temp\STD1fa0_000000.tmp"
.
. ssc install ivreg2
checking ivreg2 consistency and verifying not already installed...
all files already exist and are up to date.
.
. ivreg2 hard_final_Exact_new Firm_Size_w ROA_four_w ACTUAL_RETURN_w DCAPEX_w TAX_rate_w KZ_one_w DDIVi_w Leverage_w Book_Market_s_w UNION dividends_w FREE_CASH_FLOW_w CASH_FLOW_VOLATILITY_w Governance_Scor
> e_w Fund_Status_w FUNDING_RATIO_w Platn_Size_w Pension_contrib_four_w FREE_CASH_FLOW_w CASH_FLOW_VOLATILITY_w CSR_Committee SustainabilityScore_w i.year i.SIC_WRDS_2 (csopresence1 = CSO_Percentage ) , partial
> (i.SIC_WRDS_2 i.year CSR_Committee ) first endog(csopresence1) robust cluster (id)
Warning - duplicate variables detected
Duplicates: FREE_CASH_FLOW_w CASH_FLOW_VOLATILITY_w
First-stage regressions
-----------------------
First-stage regression of csopresence1:
Statistics robust to heteroskedasticity and clustering on id
Number of obs = 3336
Number of clusters (id) = 263
----------------------------------------------------------------------------------------
| Robust
csopresence1 | Coefficient std. err. t P>|t| [95% conf. interval]
-----------------------+----------------------------------------------------------------
CSO_Percentage | 1.097992 .0907797 12.10 0.000 .9200013 1.275983
Firm_Size_w | .0121108 .02667 0.45 0.650 -.0401809 .0644024
ROA_four_w | -.1025899 .7043419 -0.15 0.884 -1.483588 1.278408
ACTUAL_RETURN_w | -.0670515 .0799868 -0.84 0.402 -.2238811 .0897782
DCAPEX_w | .8024182 .5033664 1.59 0.111 -.1845285 1.789365
TAX_rate_w | .0011333 .0314563 0.04 0.971 -.0605428 .0628094
KZ_one_w | .0479463 .0252224 1.90 0.057 -.0015071 .0973997
DDIVi_w | -4128.335 7197.016 -0.57 0.566 -18239.47 9982.802
Leverage_w | -.2111824 .1469058 -1.44 0.151 -.4992196 .0768547
Book_Market_s_w | -.0231991 .0605911 -0.38 0.702 -.1419996 .0956014
UNION | -.0992665 .1675468 -0.59 0.554 -.4277743 .2292413
dividends_w | 1.089643 1.323025 0.82 0.410 -1.504403 3.683689
FREE_CASH_FLOW_w | .4497031 .6689588 0.67 0.501 -.8619195 1.761326
CASH_FLOW_VOLATILITY_w | 1.150295 .8068628 1.43 0.154 -.4317149 2.732305
Governance_Score_w | -.0000811 .0006863 -0.12 0.906 -.0014268 .0012646
Fund_Status_w | .6693949 .6632205 1.01 0.313 -.6309766 1.969766
FUNDING_RATIO_w | -.0515603 .1082133 -0.48 0.634 -.2637333 .1606128
Platn_Size_w | .0495668 .0200231 2.48 0.013 .0103076 .088826
Pension_contrib_four_w | .1194941 1.410955 0.08 0.933 -2.646956 2.885944
SustainabilityScore_w | .001427 .0009573 1.49 0.136 -.00045 .003304
----------------------------------------------------------------------------------------
--------------------
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity and clustering on id
Number of clusters (id) = 263 Number of obs = 3336
F( 20, 262) = 1.70
Prob > F = 0.0338
Total (centered) SS = 70.44989142 Centered R2 = -0.0192
Total (uncentered) SS = 70.44989142 Uncentered R2 = -0.0192
Residual SS = 71.79926397 Root MSE = .1467
----------------------------------------------------------------------------------------
| Robust
hard_final_Exact_new | Coefficient std. err. z P>|z| [95% conf. interval]
-----------------------+----------------------------------------------------------------
csopresence1 | .0801542 .0264878 3.03 0.002 .028239 .1320694
Firm_Size_w | -.0078716 .0055547 -1.42 0.156 -.0187586 .0030154
ROA_four_w | -.3641893 .1255164 -2.90 0.004 -.610197 -.1181817
ACTUAL_RETURN_w | .0085612 .0451347 0.19 0.850 -.0799012 .0970235
DCAPEX_w | .0200928 .1687929 0.12 0.905 -.3107352 .3509209
TAX_rate_w | -.0069881 .0133136 -0.52 0.600 -.0330823 .0191061
KZ_one_w | -.0116238 .009556 -1.22 0.224 -.0303532 .0071057
DDIVi_w | 4011.996 4007.044 1.00 0.317 -3841.667 11865.66
Leverage_w | .0193079 .0389954 0.50 0.621 -.0571216 .0957374
Book_Market_s_w | -.0119774 .0154124 -0.78 0.437 -.0421851 .0182303
UNION | .0093873 .0289523 0.32 0.746 -.0473582 .0661328
dividends_w | -.2672219 .4100998 -0.65 0.515 -1.071003 .5365589
FREE_CASH_FLOW_w | .2570271 .1226137 2.10 0.036 .0167086 .4973455
CASH_FLOW_VOLATILITY_w | -.0511036 .1569072 -0.33 0.745 -.3586361 .2564289
Governance_Score_w | .0002583 .0001433 1.80 0.071 -.0000225 .0005392
Fund_Status_w | -.3053186 .1467278 -2.08 0.037 -.5928998 -.0177373
FUNDING_RATIO_w | -.0054256 .0238981 -0.23 0.820 -.052265 .0414138
Platn_Size_w | .0000947 .0041335 0.02 0.982 -.0080069 .0081963
Pension_contrib_four_w | -1.295574 .416823 -3.11 0.002 -2.112532 -.4786159
SustainabilityScore_w | .0000651 .0001901 0.34 0.732 -.0003074 .0004376
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