. xtabond2 lev l.lev fmd size tang ptb roa gdpgr inf ind1 ind2 ind3 ind4 ind5 ind6 ind7,gmm(l.lev tang ptb roa,lag(3 .)) iv(size fmd gdpgr
> inf ind1 ind2 ind3 ind4 ind5 ind6 ind7 ind8) two
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm. Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estimation. Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, two-step system GMM
Number of obs = | 14085 | |
Time variable : time | Number of groups = | 1898 |
Number of instruments = 144 | Obs per group: min = | 1 |
Wald chi2(15) = 58967.60 | avg = | 7.42 |
Prob > chi2 = 0.000 | max = | 9 |
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lev
Coef. | Std. Err. | z | P>|z| | [95% Conf. | Interval] | |
lev | ||||||
L1. | .7745404 | .0227106 | 34.10 | 0.000 | .7300284 | .8190523 |
fmd | -.0273174 | .0052121 | -5.24 | 0.000 | -.0375329 | -.0171019 |
size | .0108269 | .0011636 | 9.30 | 0.000 | .0085463 | .0131075 |
mourning | .0333931 | .0164169 | 2.03 | 0.042 | .0012166 | .0655696 |
ptb | -.0008843 | .0012892 | -0.69 | 0.493 | -.0034111 | .0016425 |
Roa | -.139706 | .0389831 | -3.58 | 0.000 | -.2161114 | -.0633005 |
gdpgr | .0981196 | .0661684 | 1.48 | 0.138 | -.0315681 | .2278073 |
inf | .0662239 | .0318574 | 2.08 | 0.038 | .0037845 | .1286633 |
ind1 | -.0102469 | .005803 | -1.77 | 0.077 | -.0216205 | .0011267 |
ind2 | -.0121206 | .0058874 | -2.06 | 0.040 | -.0236597 | -.0005815 |
ind3 | -.0134542 | .0056801 | -2.37 | 0.018 | -.024587 | -.0023213 |
ind4 | -.0146974 | .0063653 | -2.31 | 0.021 | -.0271731 | -.0022216 |
ind5 | -.0189535 | .0068282 | -2.78 | 0.006 | -.0323365 | -.0055705 |
ind6 | -.0069053 | .0060535 | -1.14 | 0.254 | -.0187699 | .0049592 |
ind7 | -.0125719 | .0071337 | -1.76 | 0.078 | -.0265536 | .0014098 |
_cons | -.134772 | .0204045 | -6.61 | 0.000 | -.174764 | -.09478 |
Warning: Uncorrected two-step standard errors are unreliable.
Instruments for first differences equation Standard
D.(size fmd gdpgr inf ind1 ind2 ind3 ind4 ind5 ind6 ind7 ind8)
GMM-type (missing=0, separate instruments for each period unless collapsed) L(3/10).(L.lev increased ptb roa)
Instruments for levels equation Standard
size fmd gdpgr inf ind1 ind2 ind3 ind4 ind5 ind6 ind7 ind8
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed) DL2.(L.lev increased ptb roa)
Arellano-Bond test for AR(1) in first differences: z = -13.64 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = 0.36 Pr > z = 0.718
Sargan test of overriding. restrictions: chi2(128) = 213.79 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.)
Hansen test of overriding. restrictions: chi2(128) = 139.13 Prob > chi2 = 0.236 (Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels
Hansen test excluding group: chi2(101) = 99.88 Prob > chi2 = 0.513 Difference (null H = exogenous): chi2(27) = 39.25 Prob > chi2 = 0.060
iv(size fmd gdpgr inf ind1 ind2 ind3 ind4 ind5 ind6 ind7 ind8)
Hansen test excluding group: chi2(116) = 125.73 Prob > chi2 = 0.253 Difference (null H = exogenous): chi2(12) = 13.40 Prob > chi2 = 0.341
. xtabond2 lev l.lev fme size tang ptb roa gdpgr inf ind1 ind2 ind3 ind4 ind5 ind6 ind7,gmm(l.lev tang ptb roa,lag(3 .)) iv(size fme gdpgr
> inf ind1 ind2 ind3 ind4 ind5 ind6 ind7 ind8) two
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm. Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estimation. Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, two-step system GMM
Number of obs = | 14085 | |
Time variable : time | Number of groups = | 1898 |
Number of instruments = 144 | Obs per group: min = | 1 |
Wald chi2(15) = 63501.46 | avg = | 7.42 |
Prob > chi2 = 0.000 | max = | 9 |
lev
Coef. | Std. Err. | z | P>|z| | [95% Conf. | Interval] | |
lev | ||||||
L1. | .787075 | .0216791 | 36.31 | 0.000 | .7445847 | .8295653 |
fme | .0094201 | .0043807 | 2.15 | 0.032 | .0008341 | .0180061 |
size | .0101731 | .0011145 | 9.13 | 0.000 | .0079888 | .0123574 |
mourning | .0306601 | .0162405 | 1.89 | 0.059 | -.0011706 | .0624908 |
ptb | -.0011404 | .001282 | -0.89 | 0.374 | -.0036531 | .0013723 |
Roa | -.1488244 | .040203 | -3.70 | 0.000 | -.2276208 | -.070028 |
gdpgr | .1901605 | .0731613 | 2.60 | 0.009 | .046767 | .333554 |
inf | .1529051 | .0343685 | 4.45 | 0.000 | .085544 | .2202661 |
ind1 | -.0098758 | .005579 | -1.77 | 0.077 | -.0208105 | .0010588 |
ind2 | -.0113218 | .0056443 | -2.01 | 0.045 | -.0223844 | -.0002592 |
ind3 | -.0118216 | .0054087 | -2.19 | 0.029 | -.0224224 | -.0012208 |
ind4 | -.011837 | .0060279 | -1.96 | 0.050 | -.0236515 | -.0000226 |
ind5 | -.017364 | .006481 | -2.68 | 0.007 | -.0300665 | -.0046614 |
ind6 | -.0067469 | .005811 | -1.16 | 0.246 | -.0181362 | .0046424 |
ind7 | -.0133653 | .0069163 | -1.93 | 0.053 | -.0269211 | .0001904 |
_cons | -.1489315 | .0220097 | -6.77 | 0.000 | -.1920698 | -.1057933 |
Warning: Uncorrected two-step standard errors are unreliable.
Instruments for first differences equation Standard
D.(size fme gdpgr inf ind1 ind2 ind3 ind4 ind5 ind6 ind7 ind8)
GMM-type (missing=0, separate instruments for each period unless collapsed) L(3/10).(L.lev increased ptb roa)
Instruments for levels equation Standard
size fme gdpgr inf ind1 ind2 ind3 ind4 ind5 ind6 ind7 ind8
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed) DL2.(L.lev increased ptb roa)
Arellano-Bond test for AR(1) in first differences: z = -13.70 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = 0.32 Pr > z = 0.751
Sargan test of overriding. restrictions: chi2(128) = 215.28 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.)
Hansen test of overriding. restrictions: chi2(128) = 139.59 Prob > chi2 = 0.228 (Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels
Hansen test excluding group: chi2(101) = 102.80 Prob > chi2 = 0.431 Difference (null H = exogenous): chi2(27) = 36.79 Prob > chi2 = 0.099
iv(size fme gdpgr inf ind1 ind2 ind3 ind4 ind5 ind6 ind7 ind8)
Hansen test excluding group: chi2(116) = 125.99 Prob > chi2 = 0.248 Difference (null H = exogenous): chi2(12) = 13.60 Prob > chi2 = 0.327
. xtabond2 lev l.lev macap size tang ptb roa gdpgr inf ind1 ind2 ind3 ind4 ind5 ind6 ind7,gmm(l.lev tang ptb roa,lag(5 .)) iv(size macap gd
> pgr inf ind1 ind2 ind3 ind4 ind5 ind6 ind7 ind8) two
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm. Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estimation. Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, two-step system GMM
Number of obs = | 16017 | |
Time variable : time | Number of groups = | 1951 |
Number of instruments = 113 | Obs per group: min = | 1 |
Wald chi2(15) = 59076.91 | avg = | 8.21 |
Prob > chi2 = 0.000 | max = | 10 |
lev
Coef. | Std. Err. | z | P>|z| | [95% Conf. | Interval] | |
lev | ||||||
L1. | .8020697 | .0301959 | 26.56 | 0.000 | .7428868 | .8612527 |
macap | -.0159566 | .0034366 | -4.64 | 0.000 | -.0226923 | -.009221 |
size | .0103382 | .0013547 | 7.63 | 0.000 | .0076831 | .0129933 |
mourning | -.0104571 | .0190648 | -0.55 | 0.583 | -.0478233 | .0269092 |
ptb | -.0006924 | .0016422 | -0.42 | 0.673 | -.0039111 | .0025263 |
Roa | -.1677993 | .0575133 | -2.92 | 0.004 | -.2805233 | -.0550753 |
gdpgr | .001057 | .0256067 | 0.04 | 0.967 | -.0491312 | .0512451 |
inf | .0497033 | .0355764 | 1.40 | 0.162 | -.0200251 | .1194317 |
ind1 | -.0100483 | .0058937 | -1.70 | 0.088 | -.0215998 | .0015031 |
ind2 | -.010429 | .0062973 | -1.66 | 0.098 | -.0227714 | .0019135 |
ind3 | -.0112029 | .0058751 | -1.91 | 0.057 | -.0227179 | .0003121 |
ind4 | -.0109226 | .0067531 | -1.62 | 0.106 | -.0241584 | .0023131 |
ind5 | -.0145004 | .0072921 | -1.99 | 0.047 | -.0287926 | -.0002081 |
ind6 | -.0088978 | .0064699 | -1.38 | 0.169 | -.0215785 | .0037829 |
ind7 | -.0172441 | .0078973 | -2.18 | 0.029 | -.0327225 | -.0017657 |
_cons | -.1124502 | .0215146 | -5.23 | 0.000 | -.1546181 | -.0702823 |
Warning: Uncorrected two-step standard errors are unreliable.
Instruments for first differences equation Standard
D.(size macap gdpgr inf ind1 ind2 ind3 ind4 ind5 ind6 ind7 ind8)
GMM-type (missing=0, separate instruments for each period unless collapsed) L(5/10).(L.lev increased ptb roa)
Instruments for levels equation Standard
size macap gdpgr inf ind1 ind2 ind3 ind4 ind5 ind6 ind7 ind8
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed) DL4.(L.lev increased ptb roa)
Arellano-Bond test for AR(1) in first differences: z = -13.41 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = 0.31 Pr > z = 0.753
Sargan test of overriding. restrictions: chi2(97) = 135.62 Prob > chi2 = 0.006 (Not robust, but not weakened by many instruments.)
Hansen test of overriding. restrictions: chi2(97) = 96.45 Prob > chi2 = 0.497 (Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels
Hansen test excluding group: chi2(74) = 69.04 Prob > chi2 = 0.641 Difference (null H = exogenous): chi2(23) = 27.41 Prob > chi2 = 0.239
iv(size macap gdpgr inf ind1 ind2 ind3 ind4 ind5 ind6 ind7 ind8)
Hansen test excluding group: chi2(86) = 81.73 Prob > chi2 = 0.610 Difference (null H = exogenous): chi2(11) = 14.72 Prob > chi2 = 0.196
. xtabond2 lev l.lev liq size tang ptb roa gdpgr inf ind1 ind2 ind3 ind4 ind5 ind6 ind7,gmm(l.lev tang ptb roa,lag(5 .)) iv(size liq gdpgr
> inf ind1 ind2 ind3 ind4 ind5 ind6 ind7 ind8) two
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm. Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estimation. Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, two-step system GMM
Number of obs = | 16017 | |
Time variable : time | Number of groups = | 1951 |
Number of instruments = 113 | Obs per group: min = | 1 |
Wald chi2(15) = 62871.36 | avg = | 8.21 |
Prob > chi2 = 0.000 | max = | 10 |
lev
Coef. | Std. Err. | z | P>|z| | [95% Conf. | Interval] | |
lev | ||||||
L1. | .8133514 | .0297398 | 27.35 | 0.000 | .7550626 | .8716403 |
liq | -.0013606 | .0043422 | -0.31 | 0.754 | -.0098711 | .0071499 |
size | .0094944 | .0012946 | 7.33 | 0.000 | .006957 | .0120318 |
mourning | -.0108631 | .0190052 | -0.57 | 0.568 | -.0481127 | .0263864 |
ptb | -.0012297 | .0016407 | -0.75 | 0.454 | -.0044454 | .0019859 |
Roa | -.1699404 | .0585474 | -2.90 | 0.004 | -.2846912 | -.0551896 |
gdpgr | .0015855 | .028042 | 0.06 | 0.955 | -.0533759 | .0565468 |
inf | .109968 | .038102 | 2.89 | 0.004 | .0352895 | .1846465 |
ind1 | -.0105289 | .0057864 | -1.82 | 0.069 | -.02187 | .0008121 |
ind2 | -.0096932 | .0061675 | -1.57 | 0.116 | -.0217814 | .0023949 |
ind3 | -.0104336 | .0057271 | -1.82 | 0.068 | -.0216585 | .0007914 |
ind4 | -.0091576 | .0065195 | -1.40 | 0.160 | -.0219356 | .0036204 |
ind5 | -.0126619 | .0069576 | -1.82 | 0.069 | -.0262987 | .0009748 |
ind6 | -.0091203 | .0063572 | -1.43 | 0.151 | -.0215801 | .0033395 |
ind7 | -.0176391 | .0078489 | -2.25 | 0.025 | -.0330227 | -.0022554 |
_cons | -.1123299 | .0213969 | -5.25 | 0.000 | -.1542671 | -.0703928 |
Warning: Uncorrected two-step standard errors are unreliable.
Instruments for first differences equation Standard
D.(size liq gdpgr inf ind1 ind2 ind3 ind4 ind5 ind6 ind7 ind8)
GMM-type (missing=0, separate instruments for each period unless collapsed) L(5/10).(L.lev increased ptb roa)
Instruments for levels equation Standard
size liq gdpgr inf ind1 ind2 ind3 ind4 ind5 ind6 ind7 ind8
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed) DL4.(L.lev increased ptb roa)
Arellano-Bond test for AR(1) in first differences: z = -13.43 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = 0.26 Pr > z = 0.796
Sargan test of overriding. restrictions: chi2(97) = 136.91 Prob > chi2 = 0.005 (Not robust, but not weakened by many instruments.)
Hansen test of overriding. restrictions: chi2(97) = 97.53 Prob > chi2 = 0.466 (Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels
Hansen test excluding group: chi2(74) = 70.84 Prob > chi2 = 0.583 Difference (null H = exogenous): chi2(23) = 26.69 Prob > chi2 = 0.269
iv(size liq gdpgr inf ind1 ind2 ind3 ind4 ind5 ind6 ind7 ind8)
Hansen test excluding group: chi2(86) = 82.62 Prob > chi2 = 0.583 Difference (null H = exogenous): chi2(11) = 14.90 Prob > chi2 = 0.187
Model 7
. xtabond2 lev l.lev govbond size tang ptb roa gdpgr inf ind1 ind2 ind3 ind4 ind5 ind6 ind7,gmm(l.lev tang ptb roa,lag(5 .)) iv(size govbon
> d gdpgr inf ind1 ind2 ind3 ind4 ind5 ind6 ind7 ind8) two
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm. Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estimation. Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, two-step system GMM
Number of obs = | 16017 | |
Time variable : time | Number of groups = | 1951 |
Number of instruments = 113 | Obs per group: min = | 1 |
Wald chi2(15) = 61056.83 | avg = | 8.21 |
Prob > chi2 = 0.000 | max = | 10 |
lev
Coef. | Std. Err. | z | P>|z| | [95% Conf. | Interval] | |
lev | ||||||
L1. | .807715 | .030385 | 26.58 | 0.000 | .7481615 | .8672684 |
govbond | -.0168772 | .0069 | -2.45 | 0.014 | -.030401 | -.0033534 |
size | .0098154 | .0013283 | 7.39 | 0.000 | .0072119 | .0124189 |
mourning | -.0112252 | .0190566 | -0.59 | 0.556 | -.0485755 | .026125 |
ptb | -.0011283 | .0016455 | -0.69 | 0.493 | -.0043533 | .0020968 |
Roa | -.1742851 | .058071 | -3.00 | 0.003 | -.2881022 | -.060468 |
gdpgr | -.0080006 | .0266849 | -0.30 | 0.764 | -.060302 | .0443008 |
inf | .0735127 | .0363376 | 2.02 | 0.043 | .0022924 | .1447331 |
ind1 | -.0109894 | .0058942 | -1.86 | 0.062 | -.0225419 | .0005631 |
ind2 | -.0104497 | .0062857 | -1.66 | 0.096 | -.0227696 | .0018701 |
ind3 | -.0110387 | .0058509 | -1.89 | 0.059 | -.0225063 | .0004289 |
ind4 | -.0105547 | .0067012 | -1.58 | 0.115 | -.0236887 | .0025794 |
ind5 | -.013234 | .0071536 | -1.85 | 0.064 | -.0272549 | .0007868 |
ind6 | -.0096376 | .0064686 | -1.49 | 0.136 | -.0223158 | .0030406 |
ind7 | -.0181371 | .0079454 | -2.28 | 0.022 | -.0337098 | -.0025644 |
_cons | -.1091311 | .0212547 | -5.13 | 0.000 | -.1507896 | -.0674726 |
Warning: Uncorrected two-step standard errors are unreliable.
Instruments for first differences equation Standard
D.(size govbond gdpgr inf ind1 ind2 ind3 ind4 ind5 ind6 ind7 ind8)
GMM-type (missing=0, separate instruments for each period unless collapsed) L(5/10).(L.lev increased ptb roa)
Instruments for levels equation Standard
size govbond gdpgr inf ind1 ind2 ind3 ind4 ind5 ind6 ind7 ind8
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed) DL4.(L.lev increased ptb roa)
Arellano-Bond test for AR(1) in first differences: z = -13.35 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = 0.28 Pr > z = 0.779
Sargan test of overriding. restrictions: chi2(97) = 137.38 Prob > chi2 = 0.004 (Not robust, but not weakened by many instruments.)
Hansen test of overriding. restrictions: chi2(97) = 97.22 Prob > chi2 = 0.475 (Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels
Hansen test excluding group: chi2(74) = 69.70 Prob > chi2 = 0.620 Difference (null H = exogenous): chi2(23) = 27.51 Prob > chi2 = 0.235
iv(size govbond gdpgr inf ind1 ind2 ind3 ind4 ind5 ind6 ind7 ind8)
Hansen test excluding group: chi2(86) = 83.68 Prob > chi2 = 0.551 Difference (null H = exogenous): chi2(11) = 13.54 Prob > chi2 = 0.260
Model 8
. xtabond2 lev l.lev corpbond size tang ptb roa gdpgr inf ind1 ind2 ind3 ind4 ind5 ind6 ind7,gmm(l.lev tang ptb roa,lag(5 .)) iv(size corpb
> ond gdpgr inf ind1 ind2 ind3 ind4 ind5 ind6 ind7 ind8) two
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm. Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estimation. Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, two-step system GMM
Number of obs = | 16017 | |
Time variable : time | Number of groups = | 1951 |
Number of instruments = 113 | Obs per group: min = | 1 |
Wald chi2(15) = 58050.59 | avg = | 8.21 |
Prob > chi2 = 0.000 | max = | 10 |
lev
Coef. | Std. Err. | z | P>|z| | [95% Conf. | Interval] | |
lev | ||||||
L1. | .7972365 | .0312494 | 25.51 | 0.000 | .7359889 | .8584841 |
corbond | -.0332664 | .0077449 | -4.30 | 0.000 | -.0484461 | -.0180867 |
size | .0103852 | .0013648 | 7.61 | 0.000 | .0077103 | .0130601 |
mourning | -.0141792 | .0191157 | -0.74 | 0.458 | -.0516452 | .0232868 |
ptb | -.0009775 | .0016461 | -0.59 | 0.553 | -.0042038 | .0022489 |
Roa | -.1904592 | .0585251 | -3.25 | 0.001 | -.3051664 | -.0757521 |
gdpgr | -.004569 | .0259968 | -0.18 | 0.860 | -.0555219 | .0463838 |
inf | .0658249 | .0363445 | 1.81 | 0.070 | -.0054089 | .1370588 |
ind1 | -.0109357 | .0059681 | -1.83 | 0.067 | -.0226331 | .0007616 |
ind2 | -.0111828 | .0063598 | -1.76 | 0.079 | -.0236478 | .0012822 |
ind3 | -.0108315 | .0058918 | -1.84 | 0.066 | -.0223792 | .0007161 |
ind4 | -.0114106 | .0068201 | -1.67 | 0.094 | -.0247778 | .0019565 |
ind5 | -.0136618 | .0072825 | -1.88 | 0.061 | -.0279351 | .0006116 |
ind6 | -.0094854 | .0065038 | -1.46 | 0.145 | -.0222326 | .0032617 |
ind7 | -.0184545 | .0079948 | -2.31 | 0.021 | -.034124 | -.0027849 |
_cons | -.116337 | .0217413 | -5.35 | 0.000 | -.1589492 | -.0737248 |
Warning: Uncorrected two-step standard errors are unreliable.
Instruments for first differences equation Standard
D.(size corpbond gdpgr inf ind1 ind2 ind3 ind4 ind5 ind6 ind7 ind8)
GMM-type (missing=0, separate instruments for each period unless collapsed) L(5/10).(L.lev increased ptb roa)
Instruments for levels equation Standard
size corpbond gdpgr inf ind1 ind2 ind3 ind4 ind5 ind6 ind7 ind8
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed) DL4.(L.lev increased ptb roa)
Arellano-Bond test for AR(1) in first differences: z = -13.27 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = 0.32 Pr > z = 0.750
Sargan test of overriding. restrictions: chi2(97) = 136.64 Prob > chi2 = 0.005 (Not robust, but not weakened by many instruments.)
Hansen test of overriding. restrictions: chi2(97) = 97.33 Prob > chi2 = 0.472 (Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels
Hansen test excluding group: chi2(74) = 65.65 Prob > chi2 = 0.745 Difference (null H = exogenous): chi2(23) = 31.68 Prob > chi2 = 0.107
iv(size corpbond gdpgr inf ind1 ind2 ind3 ind4 ind5 ind6 ind7 ind8)
Hansen test excluding group: chi2(86) = 84.84 Prob > chi2 = 0.515 Difference (null H = exogenous): chi2(11) = 12.49 Prob > chi2 = 0.328
The choice of lag in the model is so that the results must satisfy the 3 testing requirements of the system GMM method, so there may be certain differences between models; But in general, the lags between the models are quite similar, especially when the sample is divided into countries with low institutional quality (GOV_LOW) and countries with high institutional quality (GOV_HIGH). ) based on the median of the GOV variable (statistical table below).
Lag statistics table of research models
FMI | FMA | FMD | FME | MACAP | LIQ | GOVBOND | CORPBOND | |
Overall model (models 1 to 24) | ||||||||
LEV | 3 | 3 | 3 | 3 | 5 | 5 | 5 | 5 |
LLEV | 5 | 5 | 5 | 5 | 5 | 5 | 5 | 5 |
SLEV | 6 | 6 | 6 | 6 | 6 | 6 | 6 | 6 |
GOV_LOW (models 25 to 48) | ||||||||
LEV | 7 | 7 | 7 | 7 | 7 | 7 | 7 | 7 |
LLEV | 7 | 7 | 7 | 7 | 7 | 7 | 7 | 7 |
SLEV | 6 | 6 | 6 | 6 | 6 | 6 | 6 | 6 |
GOV_HIGH (models 49 to 72) | ||||||||
LEV | 3 | 3 | 3 | 3 | 3 | 3 | 3 | 3 |
LLEV | 7 | 7 | 7 | 7 | 7 | 7 | 7 | 7 |
SLEV | 3 | 3 | 3 | 3 | 3 | 3 | 3 | 3 |
Source: Author statistics from models
The selection of endogenous and exogenous variables for the model will be based on theoretical basis as well as previous research. Specifically, the endogenous variables include: Dependent variable lag (this is the default variable), TANG, PTB and ROA; Because TANG is the ratio of fixed assets/total assets, it will have an interaction with the debt ratio. Increased debt may be to finance fixed assets. Similarly, PTB represents growth opportunities, ROA represents profitability, so it will have an interaction with debt ratio. As for macroeconomic variables (such as 8 variables representing market development, GDPGR and INF) or industry variables (IND), they cannot be affected by micro variables, so they are included in the variable.
exogenous. The SIZE variable alone is not considered as an endogenous variable in the model with the dependent variable LEV, the reason is because: (1) Although there can be arguments that businesses can borrow more debt to buy more assets and increase company size, we need stronger theories to truly consider SIZE as a factor affected by LEV; (2) The topic refers to articles such as Asarkaya and Ozcan (2007) - page 103, in which although the model has SIZE, the author considers SIZE not to be an endogenous variable; (3) Although SIZE is almost always used as a variable capable of influencing many other factors of the business, especially capital structure decisions, only very few studies can be found. Research on factors affecting SIZE, in particular, has not found a significant influence or even no research on the impact of LEV on SIZE (see Kumar et al., 2002).
At the same time, the model results show that the warning sentence "Warning: Uncorrected two-step standard errors are unreliable" appears. However, this sentence is not a matter of concern, because in the “Help xtabond2” section of Stata 16, it is explained as follows: “ For one-step estimation, robustness specifies that the robust estimator of the covariance matrix of the parameter estimates be calculated. The resulting standard error estimates are consistent in the presence of any pattern of heteroskedasticity and autocorrelation within panels. In two-step estimation, the standard covariance matrix is already robust in theory--but typically yields standard errors that are downward biased. twostep robust requests Windmeijer's finite-sample correction for the two- step covariance matrix” . This shows that if one-step GMM is used, the model that estimates robust standard errors is important; But when using two-step GMM, the model is theoretically stable. However, according to Windmeijer (2000), if the sample is small, the standard error may decrease and need to be adjusted, but the sample in the thesis is not small, so the research results are reliable. Additionally, in the Stata manual (“help xtabond2”) and Roodman (2009), the Sargan test is reported for one-step GMM. When there is heteroscedasticity and autocorrelation (currently existing problems with panel data in this study), the Sargan test is not stable. Therefore, for one-step and with handling heteroscedasticity and autocorrelation, as well as for two-step estimation, xtabond2 provides the additional Hansen test, which is