please in this is my main model
probit hard_final_Exact_new csopresence1 CSOXACTUALRE_w 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_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)
for robustness i need to use 2SLS , using ivregress ivreg2 but when i added at the end of the command robust , the endogeneity test doe not work and problem in the 2sls appear
Warning: estimated covariance matrix of moment conditions not of full rank.
overidentification statistic not reported, and standard errors and
model tests should be interpreted with caution.
Possible causes:
number of clusters insufficient to calculate robust covariance matrix
singleton dummy variable (dummy with one 1 and N-1 0s or vice versa)
partial option may address problem.
, when i remove robust it work properly , could you advice me where is the problem and how i can solve it
probit hard_final_Exact_new csopresence1 CSOXACTUALRE_w 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_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)
for robustness i need to use 2SLS , using ivregress ivreg2 but when i added at the end of the command robust , the endogeneity test doe not work and problem in the 2sls appear
Warning: estimated covariance matrix of moment conditions not of full rank.
overidentification statistic not reported, and standard errors and
model tests should be interpreted with caution.
Possible causes:
number of clusters insufficient to calculate robust covariance matrix
singleton dummy variable (dummy with one 1 and N-1 0s or vice versa)
partial option may address problem.
, when i remove robust it work properly , could you advice me where is the problem and how i can solve it
HTML Code:
rst-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 | .7056037 .0923609 7.64 0.000 .5245124 .8866949
Instrumentaltwo | 6.547533 .7167653 9.13 0.000 5.142177 7.95289
Firm_Size_w | .0116804 .0236173 0.49 0.621 -.0346259 .0579867
ROA_four_w | -.114377 .6461277 -0.18 0.860 -1.381235 1.152481
ACTUAL_RETURN_w | -.5669626 .0998478 -5.68 0.000 -.7627335 -.3711917
DCAPEX_w | .6545022 .4799 1.36 0.173 -.2864343 1.595439
TAX_rate_w | -.0156774 .0280541 -0.56 0.576 -.0706827 .039328
KZ_one_w | .0281826 .0233629 1.21 0.228 -.017625 .0739901
DDIVi_w | -360.7041 5397.279 -0.07 0.947 -10943.11 10221.7
Leverage_w | -.1942146 .1270373 -1.53 0.126 -.4432958 .0548666
Book_Market_s_w | -.0297258 .0537061 -0.55 0.580 -.1350269 .0755753
UNION | -.1065958 .1322427 -0.81 0.420 -.3658832 .1526915
dividends_w | .2836964 1.191877 0.24 0.812 -2.053208 2.620601
FREE_CASH_FLOW_w | .363692 .6091073 0.60 0.550 -.8305803 1.557964
CASH_FLOW_VOLATILITY_w | 1.054695 .7002267 1.51 0.132 -.3182347 2.427624
Governance_Score_w | .000091 .0005934 0.15 0.878 -.0010725 .0012545
Fund_Status_w | .7093708 .5651685 1.26 0.210 -.3987511 1.817493
FUNDING_RATIO_w | -.0415626 .0952493 -0.44 0.663 -.2283172 .145192
Platn_Size_w | .0427134 .0177325 2.41 0.016 .0079455 .0774814
Pension_contrib_four_w | .3936957 1.275116 0.31 0.758 -2.106415 2.893806
CSR_Committee | .0772067 .0242996 3.18 0.002 .0295625 .1248508
SustainabilityScore_w | .0011702 .0008284 1.41 0.158 -.000454 .0027943
|
year |
2005 | -.0088874 .0111017 -0.80 0.423 -.0306544 .0128795
2006 | -.0234832 .0167918 -1.40 0.162 -.0564068 .0094403
2007 | -.038815 .0263733 -1.47 0.141 -.090525 .012895
2008 | -.1619908 .0447372 -3.62 0.000 -.2497068 -.0742748
2009 | -.0451206 .0332605 -1.36 0.175 -.1103342 .020093
2010 | -.0515742 .0327598 -1.57 0.116 -.115806 .0126576
2011 | -.05903 .0355971 -1.66 0.097 -.128825 .010765
2012 | -.0413573 .0350276 -1.18 0.238 -.1100356 .027321
2013 | -.0332684 .0370127 -0.90 0.369 -.105839 .0393022
2014 | -.0458663 .0365857 -1.25 0.210 -.1175997 .0258671
2015 | -.0174746 .0414269 -0.42 0.673 -.0987001 .0637508
2016 | -.0114579 .0425688 -0.27 0.788 -.0949223 .0720064
2017 | -.0676395 .0425284 -1.59 0.112 -.1510247 .0157456
2018 | .0058749 .0544813 0.11 0.914 -.1009462 .1126961
2019 | -.1552452 .051732 -3.00 0.003 -.2566757 -.0538147
2020 | -.1583226 .0564958 -2.80 0.005 -.2690934 -.0475518
2021 | -.1504139 .0584793 -2.57 0.010 -.2650737 -.035754
2022 | .2730585 .1285897 2.12 0.034 .0209336 .5251835
|
SIC_WRDS_2 |
13 | .1314631 .2339151 0.56 0.574 -.3271725 .5900988
14 | .1691584 .2359846 0.72 0.474 -.293535 .6318518
20 | .2406804 .2645364 0.91 0.363 -.2779942 .759355
21 | .1090061 .2738689 0.40 0.691 -.4279667 .6459788
23 | .4496257 .267148 1.68 0.092 -.0741694 .9734208
26 | .1951246 .270351 0.72 0.471 -.3349508 .7251999
27 | .1619488 .2388798 0.68 0.498 -.3064211 .6303187
28 | .2993395 .2711288 1.10 0.270 -.2322608 .8309399
29 | -.0062362 .2342222 -0.03 0.979 -.4654739 .4530016
34 | .1817871 .2379016 0.76 0.445 -.2846648 .648239
35 | .2827735 .2796234 1.01 0.312 -.2654821 .8310291
36 | .2015219 .2449237 0.82 0.411 -.2786982 .6817421
37 | .2209872 .2588615 0.85 0.393 -.2865606 .728535
|
_cons | -.514919 .310438 -1.66 0.097 -1.123593 .0937546
----------------------------------------------------------------------------------------
F test of excluded instruments:
F( 2, 262) = 137.14
Prob > F = 0.0000
Sanderson-Windmeijer multivariate F test of excluded instruments:
F( 1, 262) = 124.85
Prob > F = 0.0000
First-stage regression of CSOXACTUALRE_w:
Statistics robust to heteroskedasticity and clustering on id
Number of obs = 3336
Number of clusters (id) = 263
----------------------------------------------------------------------------------------
| Robust
CSOXACTUALRE_w | Coefficient std. err. t P>|t| [95% conf. interval]
-----------------------+----------------------------------------------------------------
CSO_Percentage | -.0391553 .0070438 -5.56 0.000 -.052966 -.0253447
Instrumentaltwo | 1.875841 .0913435 20.54 0.000 1.696745 2.054938
Firm_Size_w | .0001579 .001002 0.16 0.875 -.0018068 .0021226
ROA_four_w | .0069831 .0243665 0.29 0.774 -.0407921 .0547582
ACTUAL_RETURN_w | .0489351 .014992 3.26 0.001 .0195404 .0783298
DCAPEX_w | -.0075685 .0422998 -0.18 0.858 -.0905054 .0753685
TAX_rate_w | .0012129 .0018514 0.66 0.512 -.0024173 .004843
KZ_one_w | -.0010481 .0012838 -0.82 0.414 -.0035652 .0014691
DDIVi_w | -344.4901 493.8848 -0.70 0.486 -1312.846 623.8663
Leverage_w | -.0048834 .0063006 -0.78 0.438 -.0172369 .0074702
Book_Market_s_w | -.0021036 .003027 -0.69 0.487 -.0080386 .0038313
UNION | .0003939 .0029362 0.13 0.893 -.0053631 .0061509
dividends_w | -.041312 .0596286 -0.69 0.488 -.1582254 .0756015
FREE_CASH_FLOW_w | -.0123369 .0244261 -0.51 0.614 -.0602291 .0355552
CASH_FLOW_VOLATILITY_w | .0471402 .0357829 1.32 0.188 -.0230191 .1172994
Governance_Score_w | 1.57e-06 .0000292 0.05 0.957 -.0000556 .0000587
Fund_Status_w | .0240543 .0290568 0.83 0.408 -.0329171 .0810256
FUNDING_RATIO_w | -.0033678 .0039703 -0.85 0.396 -.0111524 .0044168
Platn_Size_w | .0010495 .0008194 1.28 0.200 -.0005572 .0026561
Pension_contrib_four_w | .032581 .0901487 0.36 0.718 -.1441728 .2093349
CSR_Committee | .0018952 .0014193 1.34 0.182 -.0008875 .004678
SustainabilityScore_w | .0000185 .0000369 0.50 0.616 -.0000539 .000091
|
year |
2005 | .00159 .0008035 1.98 0.048 .0000146 .0031655
2006 | .0027123 .001264 2.15 0.032 .000234 .0051906
2007 | .0056163 .0018354 3.06 0.002 .0020176 .009215
2008 | .0030218 .0059535 0.51 0.612 -.0086512 .0146947
2009 | .0087178 .0029242 2.98 0.003 .0029844 .0144512
2010 | .0122413 .0022926 5.34 0.000 .0077463 .0167363
2011 | .0102901 .0022513 4.57 0.000 .005876 .0147042
2012 | .0133101 .0024119 5.52 0.000 .0085811 .0180391
2013 | .0149479 .0023547 6.35 0.000 .0103311 .0195648
2014 | .0151442 .0025011 6.05 0.000 .0102403 .0200481
2015 | .0125434 .0025853 4.85 0.000 .0074744 .0176124
2016 | .0168698 .0027483 6.14 0.000 .0114814 .0222583
2017 | .0170119 .0028119 6.05 0.000 .0114986 .0225253
2018 | .0167327 .0036025 4.64 0.000 .0096693 .0237961
2019 | .0118643 .0032487 3.65 0.000 .0054946 .0182339
2020 | .0111185 .0032898 3.38 0.001 .0046682 .0175687
2021 | .0132349 .0033803 3.92 0.000 .0066071 .0198627
2022 | .0325512 .0096314 3.38 0.001 .0136669 .0514355
|
SIC_WRDS_2 |
13 | .0183098 .0062061 2.95 0.003 .0061417 .030478
14 | .0077582 .0068519 1.13 0.258 -.0056763 .0211927
20 | .0126318 .0057411 2.20 0.028 .0013752 .0238884
21 | -.0008679 .0060441 -0.14 0.886 -.0127186 .0109828
23 | .0177462 .00596 2.98 0.003 .0060604 .029432
26 | .0145607 .0070614 2.06 0.039 .0007155 .0284059
27 | .0026943 .0077327 0.35 0.728 -.0124672 .0178558
28 | .0197049 .0063411 3.11 0.002 .0072719 .0321379
29 | .0049438 .0065477 0.76 0.450 -.0078943 .0177819
34 | .010166 .006991 1.45 0.146 -.0035412 .0238732
35 | .0186791 .0073231 2.55 0.011 .0043207 .0330374
36 | .0199149 .0059951 3.32 0.001 .0081604 .0316694
37 | .0194379 .0060434 3.22 0.001 .0075886 .0312872
38 | .016123 .0063182 2.55 0.011 .003735 .028511
39 | .0190263 .0058043 3.28 0.001 .0076458 .0304068
40 | .0244145 .0100757 2.42 0.015 .0046591 .0441699
42 | .0241788 .0060076 4.02 0.000 .0123997 .0359579
45 | .0313424 .0089744 3.49 0.000 .0137464 .0489384
48 | .0286585 .0094156 3.04 0.002 .0101974 .0471196
49 | .0178928 .0066181 2.70 0.007 .0049166 .0308689
50 | .0117003 .0061675 1.90 0.058 -.0003922 .0237928
51 | .0085933 .0061792 1.39 0.164 -.0035222 .0207088
53 | .02224 .0054346 4.09 0.000 .0115844 .0328957
54 | -.0047911 .0049627 -0.97 0.334 -.0145214 .0049391
55 | .0178645 .0064547 2.77 0.006 .0052089 .0305201
56 | .0073278 .0064249 1.14 0.254 -.0052694 .0199251
58 | .0178644 .0054032 3.31 0.001 .0072703 .0284584
59 | .0263759 .0058473 4.51 0.000 .0149112 .0378406
60 | .0211983 .0062502 3.39 0.001 .0089436 .033453
61 | .0164132 .0086577 1.90 0.058 -.000562 .0333884
62 | .0133026 .0064831 2.05 0.040 .0005913 .0260139
63 | .0162889 .0065694 2.48 0.013 .0034084 .0291695
64 | .0199403 .0058213 3.43 0.001 .0085265 .0313541
70 | -.0487655 .0075914 -6.42 0.000 -.0636499 -.033881
72 | -.0104863 .0067631 -1.55 0.121 -.0237467 .0027741
73 | .0184738 .0060033 3.08 0.002 .0067031 .0302445
80 | .0180416 .0073816 2.44 0.015 .0035686 .0325146
87 | .008742 .0066548 1.31 0.189 -.004306 .0217901
99 | .0151434 .0097054 1.56 0.119 -.0038858 .0341727
|
_cons | -.0253346 .0107349 -2.36 0.018 -.0463825 -.0042867
----------------------------------------------------------------------------------------
F test of excluded instruments:
F( 2, 262) = 213.80
Prob > F = 0.0000
Sanderson-Windmeijer multivariate F test of excluded instruments:
F( 1, 262) = 115.84
Prob > F = 0.0000
Summary results for first-stage regressions
-------------------------------------------
(Underid) (Weak id)
Variable | F( 2, 262) P-val | SW Chi-sq( 1) P-val | SW F( 1, 262)
csopresence1 | 137.14 0.0000 | 128.36 0.0000 | 124.85
CSOXACTUALRE | 213.80 0.0000 | 119.10 0.0000 | 115.84
NB: first-stage test statistics cluster-robust
Stock-Yogo weak ID F test critical values for single endogenous regressor:
10% maximal IV size 19.93
15% maximal IV size 11.59
20% maximal IV size 8.75
25% maximal IV size 7.25
Source: Stock-Yogo (2005). Reproduced by permission.
NB: Critical values are for i.i.d. errors only.
Underidentification test
Ho: matrix of reduced form coefficients has rank=K1-1 (underidentified)
Ha: matrix has rank=K1 (identified)
Kleibergen-Paap rk LM statistic Chi-sq(1)=41.47 P-val=0.0000
Weak identification test
Ho: equation is weakly identified
Cragg-Donald Wald F statistic 108.90
Kleibergen-Paap Wald rk F statistic 56.37
Stock-Yogo weak ID test critical values for K1=2 and L1=2:
10% maximal IV size 7.03
15% maximal IV size 4.58
20% maximal IV size 3.95
25% maximal IV size 3.63
Source: Stock-Yogo (2005). Reproduced by permission.
NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors.
Weak-instrument-robust inference
Tests of joint significance of endogenous regressors B1 in main equation
Ho: B1=0 and orthogonality conditions are valid
Anderson-Rubin Wald test F(2,262)= 4.64 P-val=0.0105
Anderson-Rubin Wald test Chi-sq(2)= 9.54 P-val=0.0085
Stock-Wright LM S statistic Chi-sq(2)= . P-val= .
NB: Underidentification, weak identification and weak-identification-robust
test statistics cluster-robust
Number of clusters N_clust = 263
Number of observations N = 3336
Number of regressors K = 80
Number of endogenous regressors K1 = 2
Number of instruments L = 80
Number of excluded instruments L1 = 2
IV (2SLS) estimation
--------------------
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity and clustering on id
Number of clusters (id) = 263 Number of obs = 3336
F( 79, 262) = 464.96
Prob > F = 0.0000
Total (centered) SS = 72.35851319 Centered R2 = -0.0005
Total (uncentered) SS = 74 Uncentered R2 = 0.0217
Residual SS = 72.39617595 Root MSE = .1473
----------------------------------------------------------------------------------------
| Robust
hard_final_Exact_new | Coefficient std. err. z P>|z| [95% conf. interval]
-----------------------+----------------------------------------------------------------
csopresence1 | .1107097 .0371322 2.98 0.003 .0379319 .1834875
CSOXACTUALRE_w | -.4579396 .2077716 -2.20 0.028 -.8651646 -.0507147
Firm_Size_w | -.0081129 .0055726 -1.46 0.145 -.0190349 .0028091
ROA_four_w | -.3563104 .1273963 -2.80 0.005 -.6060026 -.1066182
ACTUAL_RETURN_w | .0986065 .0611321 1.61 0.107 -.0212102 .2184232
DCAPEX_w | .0115149 .1712046 0.07 0.946 -.3240399 .3470697
TAX_rate_w | -.0042618 .0135626 -0.31 0.753 -.030844 .0223204
KZ_one_w | -.0109758 .0094639 -1.16 0.246 -.0295247 .0075732
DDIVi_w | 3486.079 3906.189 0.89 0.372 -4169.911 11142.07
Leverage_w | .0212983 .0390374 0.55 0.585 -.0552135 .0978102
Book_Market_s_w | -.0113756 .0153671 -0.74 0.459 -.0414945 .0187433
UNION | .0135624 .0283598 0.48 0.632 -.0420218 .0691466
dividends_w | -.2136966 .4102918 -0.52 0.602 -1.017854 .5904605
FREE_CASH_FLOW_w | .248921 .1261233 1.97 0.048 .0017239 .4961182
CASH_FLOW_VOLATILITY_w | -.0521216 .1544461 -0.34 0.736 -.3548303 .2505871
Governance_Score_w | .0002389 .000147 1.63 0.104 -.0000491 .000527
Fund_Status_w | -.3200017 .1447189 -2.21 0.027 -.6036455 -.0363579
FUNDING_RATIO_w | -.006704 .0240778 -0.28 0.781 -.0538956 .0404875
Platn_Size_w | -.0000401 .0041675 -0.01 0.992 -.0082082 .008128
Pension_contrib_four_w | -1.32028 .4202314 -3.14 0.002 -2.143918 -.4966413
CSR_Committee | -.0064328 .0067306 -0.96 0.339 -.0196246 .006759
SustainabilityScore_w | .0000637 .0001922 0.33 0.740 -.000313 .0004403
|
year |
2005 | -.0088 .0073606 -1.20 0.232 -.0232266 .0056265
2006 | -.0049429 .0074617 -0.66 0.508 -.0195675 .0096817
2007 | .0072731 .0109499 0.66 0.507 -.0141883 .0287346
2008 | .0325335 .0228195 1.43 0.154 -.0121919 .077259
2009 | .0348711 .0176323 1.98 0.048 .0003125 .0694298
2010 | .0162129 .014637 1.11 0.268 -.012475 .0449008
2011 | .0033529 .0130095 0.26 0.797 -.0221453 .0288511
2012 | .0135281 .0158374 0.85 0.393 -.0175127 .0445689
2013 | .0067886 .0137505 0.49 0.622 -.020162 .0337391
2014 | .0088041 .0149109 0.59 0.555 -.0204208 .038029
2015 | .0067965 .0178363 0.38 0.703 -.028162 .041755
2016 | -.0100392 .0156774 -0.64 0.522 -.0407664 .0206879
2017 | -.0097224 .0144014 -0.68 0.500 -.0379488 .0185039
2018 | .0013677 .0191822 0.07 0.943 -.0362286 .0389641
2019 | -.0098617 .0143079 -0.69 0.491 -.0379047 .0181812
2020 | .0080505 .0202564 0.40 0.691 -.0316513 .0477523
2021 | -.0201728 .0157402 -1.28 0.200 -.051023 .0106773
2022 | -.0426338 .0328452 -1.30 0.194 -.1070091 .0217416
|
SIC_WRDS_2 |
13 | .010541 .0269579 0.39 0.696 -.0422956 .0633775
14 | -.0168478 .0218784 -0.77 0.441 -.0597287 .0260331
20 | -.0429656 .0332271 -1.29 0.196 -.1080895 .0221583
21 | -.0683333 .0363408 -1.88 0.060 -.13956 .0028934
23 | -.018923 .0321679 -0.59 0.556 -.081971 .044125
26 | -.0440141 .0378373 -1.16 0.245 -.1181739 .0301457
27 | -.0077597 .0286231 -0.27 0.786 -.0638601 .0483406
28 | -.0408687 .0317829 -1.29 0.198 -.1031621 .0214246
29 | .0131491 .0267089 0.49 0.622 -.0391994 .0654977
34 | -.0361051 .0208526 -1.73 0.083 -.0769754 .0047653
35 | -.0363388 .0334004 -1.09 0.277 -.1018023 .0291247
36 | -.0307354 .0187499 -1.64 0.101 -.0674844 .0060136
37 | -.0243467 .0301841 -0.81 0.420 -.0835063 .034813
38 | -.0124262 .020618 -0.60 0.547 -.0528368 .0279845
39 | .1433286 .0233914 6.13 0.000 .0974823 .1891749
40 | -.023628 .0244587 -0.97 0.334 -.0715661 .0243101
42 | -.0512747 .0161756 -3.17 0.002 -.0829782 -.0195711
45 | .0017809 .0414804 0.04 0.966 -.0795193 .0830811
48 | -.0112196 .0420466 -0.27 0.790 -.0936293 .0711902
49 | -.0303316 .0316283 -0.96 0.338 -.0923219 .0316587
50 | .0531569 .020663 2.57 0.010 .0126581 .0936557
51 | .0816777 .0190817 4.28 0.000 .0442783 .1190771
53 | -.0323459 .0137461 -2.35 0.019 -.0592878 -.005404
54 | .0161534 .0129553 1.25 0.212 -.0092385 .0415453
55 | .1816816 .0187261 9.70 0.000 .1449792 .2183841
56 | -.0037985 .0215072 -0.18 0.860 -.0459519 .0383549
58 | -.014361 .0195822 -0.73 0.463 -.0527415 .0240194
59 | -.0801815 .0135092 -5.94 0.000 -.1066591 -.0537039
60 | -.0052252 .0270025 -0.19 0.847 -.0581492 .0476988
61 | .0483644 .0515636 0.94 0.348 -.0526983 .1494271
62 | .0302246 .0398288 0.76 0.448 -.0478385 .1082877
63 | .006792 .0275933 0.25 0.806 -.0472898 .0608738
64 | .0123771 .0331713 0.37 0.709 -.0526376 .0773917
70 | -.0704376 .0210739 -3.34 0.001 -.1117418 -.0291335
72 | -.0324543 .0211515 -1.53 0.125 -.0739105 .009002
73 | -.025368 .0217292 -1.17 0.243 -.0679565 .0172205
80 | .0108717 .0373601 0.29 0.771 -.0623528 .0840962
87 | -.0156488 .0246453 -0.63 0.525 -.0639527 .032655
99 | -.0248544 .0291824 -0.85 0.394 -.0820509 .0323421
|
_cons | .1063789 .0517642 2.06 0.040 .0049228 .2078349
----------------------------------------------------------------------------------------
Underidentification test (Kleibergen-Paap rk LM statistic): 41.470
Chi-sq(1) P-val = 0.0000
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic): 108.900
(Kleibergen-Paap rk Wald F statistic): 56.371
Stock-Yogo weak ID test critical values: 10% maximal IV size 7.03
15% maximal IV size 4.58
20% maximal IV size 3.95
25% maximal IV size 3.63
Source: Stock-Yogo (2005). Reproduced by permission.
NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors.
------------------------------------------------------------------------------
Warning: estimated covariance matrix of moment conditions not of full rank.
overidentification statistic not reported, and standard errors and
model tests should be interpreted with caution.
Possible causes:
number of clusters insufficient to calculate robust covariance matrix
singleton dummy variable (dummy with one 1 and N-1 0s or vice versa)
partial option may address problem.
------------------------------------------------------------------------------
Instrumented: csopresence1 CSOXACTUALRE_w
Included instruments: 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_Score_w Fund_Status_w FUNDING_RATIO_w
Platn_Size_w Pension_contrib_four_w CSR_Committee
SustainabilityScore_w 2005.year 2006.year 2007.year
2008.year 2009.year 2010.year 2011.year 2012.year
2013.year 2014.year 2015.year 2016.year 2017.year
2018.year 2019.year 2020.year 2021.year 2022.year
13.SIC_WRDS_2 14.SIC_WRDS_2 20.SIC_WRDS_2 21.SIC_WRDS_2
23.SIC_WRDS_2 26.SIC_WRDS_2 27.SIC_WRDS_2 28.SIC_WRDS_2
29.SIC_WRDS_2 34.SIC_WRDS_2 35.SIC_WRDS_2 36.SIC_WRDS_2
37.SIC_WRDS_2 38.SIC_WRDS_2 39.SIC_WRDS_2 40.SIC_WRDS_2
42.SIC_WRDS_2 45.SIC_WRDS_2 48.SIC_WRDS_2 49.SIC_WRDS_2
50.SIC_WRDS_2 51.SIC_WRDS_2 53.SIC_WRDS_2 54.SIC_WRDS_2
55.SIC_WRDS_2 56.SIC_WRDS_2 58.SIC_WRDS_2 59.SIC_WRDS_2
60.SIC_WRDS_2 61.SIC_WRDS_2 62.SIC_WRDS_2 63.SIC_WRDS_2
64.SIC_WRDS_2 70.SIC_WRDS_2 72.SIC_WRDS_2 73.SIC_WRDS_2
80.SIC_WRDS_2 87.SIC_WRDS_2 99.SIC_WRDS_2
Excluded instruments: CSO_Percentage Instrumentaltwo
