. xtabond2 fg_ta l.fg_ta size age ia_w debt_ratio_w TobinQ fac roa cashratio i.sector_1, gmm(fg_ta) iv(l.(size age ia_w debt_ratio_w Tobin
> Q fac roa cashratio i.sector_1)) small
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
Dynamic panel-data estimation, one-step system GMM
------------------------------------------------------------------------------
Group variable: id_new Number of obs = 5347
Time variable : year Number of groups = 414
Number of instruments = 406 Obs per group: min = 0
F(37, 5309) = 3.05 avg = 12.92
Prob > F = 0.000 max = 19
------------------------------------------------------------------------------
fg_ta | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
fg_ta |
L1. | -.0000606 .0000375 -1.61 0.106 -.0001342 .000013
|
size | -.0038107 .0093966 -0.41 0.685 -.022232 .0146105
age | .0018514 .0007455 2.48 0.013 .00039 .0033129
ia_w | 2.33e-08 2.58e-08 0.90 0.366 -2.73e-08 7.39e-08
debt_ratio_w | .6209697 .0966938 6.42 0.000 .4314102 .8105292
TobinQ | .0016039 .014735 0.11 0.913 -.0272827 .0304906
fac | -6.01e-10 8.22e-10 -0.73 0.465 -2.21e-09 1.01e-09
roa | .0089528 .0022868 3.92 0.000 .0044698 .0134359
cashratio | 2.786667 .418544 6.66 0.000 1.966149 3.607186
|
sector_1 |
1 | 0 (empty)
2 | .3958966 .1144011 3.46 0.001 .1716233 .6201698
3 | .3690125 .114708 3.22 0.001 .1441377 .5938873
4 | .4866837 .098741 4.93 0.000 .2931107 .6802567
5 | .3044108 .0910152 3.34 0.001 .1259836 .482838
6 | .357386 .1038887 3.44 0.001 .1537214 .5610505
8 | .2341531 .1230389 1.90 0.057 -.0070537 .4753599
9 | .3214858 .0934618 3.44 0.001 .1382624 .5047093
10 | .3903854 .1173698 3.33 0.001 .1602924 .6204784
11 | .4766692 .1541836 3.09 0.002 .174406 .7789323
12 | .1961415 .1273304 1.54 0.124 -.0534784 .4457614
13 | .7539128 .1084891 6.95 0.000 .5412297 .966596
14 | .0578078 .1439086 0.40 0.688 -.2243121 .3399278
15 | .2145243 .1155814 1.86 0.064 -.0120627 .4411113
16 | .5095201 .1162163 4.38 0.000 .2816883 .7373518
17 | .2013789 .1250231 1.61 0.107 -.0437177 .4464756
18 | .5156745 .1104714 4.67 0.000 .2991051 .7322439
19 | .0607167 .1339227 0.45 0.650 -.2018268 .3232602
20 | .3742212 .0901035 4.15 0.000 .1975813 .5508611
21 | .4252176 .1091614 3.90 0.000 .2112163 .6392188
22 | .2452838 .1166464 2.10 0.036 .0166089 .4739588
23 | .4224144 .0930485 4.54 0.000 .2400011 .6048277
24 | .4857119 .1778337 2.73 0.006 .1370847 .834339
25 | .4390616 .0952022 4.61 0.000 .2524261 .6256971
26 | .3052786 .1157192 2.64 0.008 .0784214 .5321358
27 | .339258 .1612758 2.10 0.035 .0230911 .6554248
28 | .1758941 .1766032 1.00 0.319 -.1703207 .522109
29 | .2169359 .1399078 1.55 0.121 -.0573409 .4912127
|
_cons | -.7754556 .18524 -4.19 0.000 -1.138602 -.412309
------------------------------------------------------------------------------
Instruments for first differences equation
Standard
D.(L.size L.age L.ia_w L.debt_ratio_w L.TobinQ L.fac L.roa L.cashratio
1bL.sector_1 2L.sector_1 3L.sector_1 4L.sector_1 5L.sector_1 6L.sector_1
8L.sector_1 9L.sector_1 10L.sector_1 11L.sector_1 12L.sector_1
13L.sector_1 14L.sector_1 15L.sector_1 16L.sector_1 17L.sector_1
18L.sector_1 19L.sector_1 20L.sector_1 21L.sector_1 22L.sector_1
23L.sector_1 24L.sector_1 25L.sector_1 26L.sector_1 27L.sector_1
28L.sector_1 29L.sector_1)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/29).fg_ta
Instruments for levels equation
Standard
L.size L.age L.ia_w L.debt_ratio_w L.TobinQ L.fac L.roa L.cashratio
1bL.sector_1 2L.sector_1 3L.sector_1 4L.sector_1 5L.sector_1 6L.sector_1
8L.sector_1 9L.sector_1 10L.sector_1 11L.sector_1 12L.sector_1
13L.sector_1 14L.sector_1 15L.sector_1 16L.sector_1 17L.sector_1
18L.sector_1 19L.sector_1 20L.sector_1 21L.sector_1 22L.sector_1
23L.sector_1 24L.sector_1 25L.sector_1 26L.sector_1 27L.sector_1
28L.sector_1 29L.sector_1
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
D.fg_ta
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -64.64 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = -0.97 Pr > z = 0.332
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(368) =4379.38 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Difference-in-Sargan tests of exogeneity of instrument subsets:
GMM instruments for levels
Sargan test excluding group: chi2(349) =3135.60 Prob > chi2 = 0.000
Difference (null H = exogenous): chi2(19) =1243.78 Prob > chi2 = 0.000
iv(L.size L.age L.ia_w L.debt_ratio_w L.TobinQ L.fac L.roa L.cashratio 1bL.sector_1 2L.sector_1 3L.sector_1 4L.sector_1 5L.sector_1 6L.s
> ector_1 8L.sector_1 9L.sector_1 10L.sector_1 11L.sector_1 12L.sector_1 13L.sector_1 14L.sector_1 15L.sector_1 16L.sector_1 17L.sector_1
> 18L.sector_1 19L.sector_1 20L.sector_1 21L.sector_1 22L.sector_1 23L.sector_1 24L.sector_1 25L.sector_1 26L.sector_1 27L.sector_1 28L.se
> ctor_1 29L.sector_1)
Sargan test excluding group: chi2(333) =3085.86 Prob > chi2 = 0.000
Difference (null H = exogenous): chi2(35) =1293.52 Prob > chi2 = 0.000
> Q fac roa cashratio i.sector_1)) small
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
Dynamic panel-data estimation, one-step system GMM
------------------------------------------------------------------------------
Group variable: id_new Number of obs = 5347
Time variable : year Number of groups = 414
Number of instruments = 406 Obs per group: min = 0
F(37, 5309) = 3.05 avg = 12.92
Prob > F = 0.000 max = 19
------------------------------------------------------------------------------
fg_ta | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
fg_ta |
L1. | -.0000606 .0000375 -1.61 0.106 -.0001342 .000013
|
size | -.0038107 .0093966 -0.41 0.685 -.022232 .0146105
age | .0018514 .0007455 2.48 0.013 .00039 .0033129
ia_w | 2.33e-08 2.58e-08 0.90 0.366 -2.73e-08 7.39e-08
debt_ratio_w | .6209697 .0966938 6.42 0.000 .4314102 .8105292
TobinQ | .0016039 .014735 0.11 0.913 -.0272827 .0304906
fac | -6.01e-10 8.22e-10 -0.73 0.465 -2.21e-09 1.01e-09
roa | .0089528 .0022868 3.92 0.000 .0044698 .0134359
cashratio | 2.786667 .418544 6.66 0.000 1.966149 3.607186
|
sector_1 |
1 | 0 (empty)
2 | .3958966 .1144011 3.46 0.001 .1716233 .6201698
3 | .3690125 .114708 3.22 0.001 .1441377 .5938873
4 | .4866837 .098741 4.93 0.000 .2931107 .6802567
5 | .3044108 .0910152 3.34 0.001 .1259836 .482838
6 | .357386 .1038887 3.44 0.001 .1537214 .5610505
8 | .2341531 .1230389 1.90 0.057 -.0070537 .4753599
9 | .3214858 .0934618 3.44 0.001 .1382624 .5047093
10 | .3903854 .1173698 3.33 0.001 .1602924 .6204784
11 | .4766692 .1541836 3.09 0.002 .174406 .7789323
12 | .1961415 .1273304 1.54 0.124 -.0534784 .4457614
13 | .7539128 .1084891 6.95 0.000 .5412297 .966596
14 | .0578078 .1439086 0.40 0.688 -.2243121 .3399278
15 | .2145243 .1155814 1.86 0.064 -.0120627 .4411113
16 | .5095201 .1162163 4.38 0.000 .2816883 .7373518
17 | .2013789 .1250231 1.61 0.107 -.0437177 .4464756
18 | .5156745 .1104714 4.67 0.000 .2991051 .7322439
19 | .0607167 .1339227 0.45 0.650 -.2018268 .3232602
20 | .3742212 .0901035 4.15 0.000 .1975813 .5508611
21 | .4252176 .1091614 3.90 0.000 .2112163 .6392188
22 | .2452838 .1166464 2.10 0.036 .0166089 .4739588
23 | .4224144 .0930485 4.54 0.000 .2400011 .6048277
24 | .4857119 .1778337 2.73 0.006 .1370847 .834339
25 | .4390616 .0952022 4.61 0.000 .2524261 .6256971
26 | .3052786 .1157192 2.64 0.008 .0784214 .5321358
27 | .339258 .1612758 2.10 0.035 .0230911 .6554248
28 | .1758941 .1766032 1.00 0.319 -.1703207 .522109
29 | .2169359 .1399078 1.55 0.121 -.0573409 .4912127
|
_cons | -.7754556 .18524 -4.19 0.000 -1.138602 -.412309
------------------------------------------------------------------------------
Instruments for first differences equation
Standard
D.(L.size L.age L.ia_w L.debt_ratio_w L.TobinQ L.fac L.roa L.cashratio
1bL.sector_1 2L.sector_1 3L.sector_1 4L.sector_1 5L.sector_1 6L.sector_1
8L.sector_1 9L.sector_1 10L.sector_1 11L.sector_1 12L.sector_1
13L.sector_1 14L.sector_1 15L.sector_1 16L.sector_1 17L.sector_1
18L.sector_1 19L.sector_1 20L.sector_1 21L.sector_1 22L.sector_1
23L.sector_1 24L.sector_1 25L.sector_1 26L.sector_1 27L.sector_1
28L.sector_1 29L.sector_1)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(1/29).fg_ta
Instruments for levels equation
Standard
L.size L.age L.ia_w L.debt_ratio_w L.TobinQ L.fac L.roa L.cashratio
1bL.sector_1 2L.sector_1 3L.sector_1 4L.sector_1 5L.sector_1 6L.sector_1
8L.sector_1 9L.sector_1 10L.sector_1 11L.sector_1 12L.sector_1
13L.sector_1 14L.sector_1 15L.sector_1 16L.sector_1 17L.sector_1
18L.sector_1 19L.sector_1 20L.sector_1 21L.sector_1 22L.sector_1
23L.sector_1 24L.sector_1 25L.sector_1 26L.sector_1 27L.sector_1
28L.sector_1 29L.sector_1
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
D.fg_ta
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -64.64 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = -0.97 Pr > z = 0.332
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(368) =4379.38 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Difference-in-Sargan tests of exogeneity of instrument subsets:
GMM instruments for levels
Sargan test excluding group: chi2(349) =3135.60 Prob > chi2 = 0.000
Difference (null H = exogenous): chi2(19) =1243.78 Prob > chi2 = 0.000
iv(L.size L.age L.ia_w L.debt_ratio_w L.TobinQ L.fac L.roa L.cashratio 1bL.sector_1 2L.sector_1 3L.sector_1 4L.sector_1 5L.sector_1 6L.s
> ector_1 8L.sector_1 9L.sector_1 10L.sector_1 11L.sector_1 12L.sector_1 13L.sector_1 14L.sector_1 15L.sector_1 16L.sector_1 17L.sector_1
> 18L.sector_1 19L.sector_1 20L.sector_1 21L.sector_1 22L.sector_1 23L.sector_1 24L.sector_1 25L.sector_1 26L.sector_1 27L.sector_1 28L.se
> ctor_1 29L.sector_1)
Sargan test excluding group: chi2(333) =3085.86 Prob > chi2 = 0.000
Difference (null H = exogenous): chi2(35) =1293.52 Prob > chi2 = 0.000
Comment