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. xttest3

Modified Wald test for groupwise heteroskedasticity in fixed effect regression model

H0: sigma(i)^2 = sigma^2 for all i chi2 (484) = 8.6e+05

Prob>chi2 = 0.0000

. xtserial CS_CBTT HDQT KTGD TVDL QMCT DBTC SHQT SHNN ROA TOBIN_Q CTKT SGDCK

Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation

F( 1, 483) = 9.061

Prob > F = 0.0027

. xtreg CS_CBTT l.CS_CBTT HDQT KTGD TVDL BGD QMCT DBTC SHQT SHNN ROA TOBIN_Q SGDCK CTKT, re

Random-effects GLS regression

Number of obs	=	968
Group variable: CONGTY	Number of groups	=	484
R-sq: within = 0.0741	Obs per group: min	=	2
between = 0.7028	avg	=	2.0
overall = 0.4328	max	=	2
	Wald chi2(13)	=	578.28
corr(u_i, X) = 0 (assumed)	Prob > chi2	=	0.0000

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------------------------------------------------------------------------------

CS_CBTT | Coef. Std. Err. z P>|z| [95% Conf. Interval]

-------------+----------------------------------------------------------------

CS_CBTT

\|
L1.	\|	.5329538	.0274362	19.43	0.000	.4791799	.5867278
	\|
HDQT	\|	.022846	.1104885	0.21	0.836	-.1937074	.2393995
KTGD	\|	-.5440382	.3522886	-1.54	0.123	-1.234511	.1464346
TVDL	\|	.3475251	.1517436	2.29	0.022	.0501131	.6449371
BGD	\|	.217875	.0860483	2.53	0.011	.0492235	.3865265
QMCT	\|	.2106309	.145683	1.45	0.148	-.0749025	.4961643
DBTC	\|	-1.059235	.7961506	-1.33	0.183	-2.619661	.5011919
SHQT	\|	.0022996	.0082747	0.28	0.781	-.0139185	.0185177
SHNN	\|	.030365	.0118351	2.57	0.010	.0071686	.0535615
ROA	\|	5.590778	1.709174	3.27	0.001	2.240859	8.940697
TOBIN_Q	\|	.0737861	.1426796	0.52	0.605	-.2058608	.3534329
SGDCK	\|	.1348367	.3872135	0.35	0.728	-.6240878	.8937612
CTKT	\|	-.5635095	.402435	-1.40	0.161	-1.352268	.2252486
_cons	\|	22.92497	3.708364	6.18	0.000	15.65671	30.19323

-------------+----------------------------------------------------------------

sigma_u | 1.3041353

sigma_e | 3.3494477

rho | .13164286 (fraction of variance due to u_i)

------------------------------------------------------------------------------

. estimates store REM_CB2

. xtreg CS_CBTT l.CS_CBTT HDQT KTGD TVDL BGD QMCT DBTC SHQT SHNN ROA TOBIN_Q SGDCK CTKT, fe

note: SGDCK omitted because of collinearity

Fixed-effects (within) regression Number of obs = 968

Group variable: CONGTY Number of groups = 484

R-sq: within = 0.1452 Obs per group: min = 2

between = 0.0003 avg = 2.0

overall = 0.0005 max = 2

F(12,472) = 6.68

corr(u_i, Xb) = -0.6205 Prob > F = 0.0000

------------------------------------------------------------------------------

CS_CBTT | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-------------+----------------------------------------------------------------

CS_CBTT

\|
L1.	\|	-.3318444	.0444856	-7.46	0.000	-.4192588	-.24443
	\|
HDQT	\|	.0266477	.1746478	0.15	0.879	-.3165356	.369831
KTGD	\|	-2.304182	.7947529	-2.90	0.004	-3.865873	-.7424901
TVDL	\|	-.1552093	.3778473	-0.41	0.681	-.8976803	.5872616
BGD	\|	.4581735	.2047879	2.24	0.026	.0557648	.8605822
QMCT	\|	2.176763	.9134602	2.38	0.018	.3818114	3.971715
DBTC	\|	-3.644276	2.679131	-1.36	0.174	-8.908775	1.620223
SHQT	\|	-.0014495	.0203232	-0.07	0.943	-.0413848	.0384857
SHNN	\|	.0579563	.0335433	1.73	0.085	-.0079564	.1238689
ROA	\|	1.258388	2.248783	0.56	0.576	-3.160477	5.677253
TOBIN_Q	\|	-.3226432	.4076892	-0.79	0.429	-1.123754	.4784672
SGDCK	\|	0	(omitted)
CTKT	\|	-.5187592	1.234914	-0.42	0.675	-2.945368	1.907849
_cons	\|	24.18678	24.39381	0.99	0.322	-23.74712	72.12068

-------------+----------------------------------------------------------------

sigma_u | 6.7968615

sigma_e | 3.3494477

rho | .80460541 (fraction of variance due to u_i)

------------------------------------------------------------------------------

F test that all u_i=0: F(483, 472) = 2.44 Prob > F = 0.0000

. estimates store FEM_CB2

. xttest3

Modified Wald test for groupwise heteroskedasticity in fixed effect regression model

H0: sigma(i)^2 = sigma^2 for all i chi2 (484) = 928.75

Prob>chi2 = 0.0000

. hausman FEM_CB2 REM_CB2

---- Coefficients ----

| (b) (B) (b-B) sqrt(diag(V_b-V_B))

| FEM_CB2 REM_CB2 Difference S.E.

-------------+---------------------------------------------------------------- L.CS_CBTT | -.3318444 .5329538 -.8647982 .0350175

HDQT | .0266477 .022846 .0038017 .1352558

KTGD | -2.304182 -.5440382 -1.760143 .7124079

TVDL | -.1552093 .3475251 -.5027345 .3460382

BGD | .4581735 .217875 .2402985 .1858326

QMCT | 2.176763 .2106309 1.966132 .9017683

DBTC | -3.644276 -1.059235 -2.585041 2.558102

SHQT | -.0014495 .0022996 -.0037491 .0185624

SHNN | .0579563 .030365 .0275912 .031386

ROA | 1.258388 5.590778 -4.33239 1.461421

TOBIN_Q | -.3226432 .0737861 -.3964293 .3819071

CTKT | -.5187592 -.5635095 .0447504 1.167501

------------------------------------------------------------------------------

b = consistent under Ho and Ha; obtained from xtreg B = inconsistent under Ha, efficient under Ho; obtained from xtreg

Test: Ho: difference in coefficients not systematic chi2(12) = (b-B)'[(V_b-V_B)^(-1)](b-B)

= 679.76

Prob>chi2 = 0.0000

. xtreg CS_CBTT l.CS_CBTT HDQT KTGD TVDL BGD QMCT DBTC SHNN TOBIN_Q ROA, re

Random-effects GLS regression Number of obs = 968

Group variable: CONGTY Number of groups = 484

R-sq: within = 0.0751 Obs per group: min = 2

between = 0.7016 avg = 2.0

overall = 0.4314 max = 2

Wald chi2(10) = 574.86

corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000

------------------------------------------------------------------------------

CS_CBTT | Coef. Std. Err. z P>|z| [95% Conf. Interval]

-------------+----------------------------------------------------------------

CS_CBTT

\|
L1.	\|	.531787	.0274132	19.40	0.000	.4780581	.5855158
	\|
HDQT	\|	.0162629	.1086428	0.15	0.881	-.1966731	.2291989
KTGD	\|	-.5072027	.3489965	-1.45	0.146	-1.191223	.1768178
TVDL	\|	.3538115	.1477853	2.39	0.017	.0641575	.6434654
BGD	\|	.2129663	.0846555	2.52	0.012	.0470446	.378888
QMCT	\|	.1546144	.1156876	1.34	0.181	-.0721293	.381358
DBTC	\|	-.9340447	.7678791	-1.22	0.224	-2.43906	.5709708
SHNN	\|	.0278458	.0116378	2.39	0.017	.0050361	.0506555
TOBIN_Q	\|	.0822383	.1418856	0.58	0.562	-.1958524	.3603289
ROA	\|	5.693729	1.707081	3.34	0.001	2.347912	9.039546
_cons	\|	24.48099	3.099334	7.90	0.000	18.4064	30.55557

-------------+----------------------------------------------------------------

sigma_u | 1.3105438

sigma_e | 3.3430285

rho | .13321 (fraction of variance due to u_i)

------------------------------------------------------------------------------

. estimates store REM_CB3

. xtreg CS_CBTT l.CS_CBTT HDQT KTGD TVDL BGD QMCT DBTC SHNN TOBIN_Q ROA, fe

Fixed-effects (within) regression

Number of obs	=	968
Group variable: CONGTY	Number of groups	=	484
R-sq: within = 0.1448	Obs per group: min	=	2
between = 0.0001	avg	=	2.0
overall = 0.0007	max	=	2
	F(10,474)	=	8.03
corr(u_i, Xb) = -0.6256	Prob > F	=	0.0000

------------------------------------------------------------------------------

CS_CBTT | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-------------+----------------------------------------------------------------

CS_CBTT

\|
L1.	\|	-.3329153	.0443257	-7.51	0.000	-.4200144	-.2458162
	\|
HDQT	\|	.0251996	.1741156	0.14	0.885	-.3169344	.3673336
KTGD	\|	-2.291364	.7924581	-2.89	0.004	-3.84853	-.7341989
TVDL	\|	-.1499382	.3769013	-0.40	0.691	-.8905422	.5906658
BGD	\|	.4551269	.2040968	2.23	0.026	.0540804	.8561733
QMCT	\|	2.164374	.9095447	2.38	0.018	.3771353	3.951612
DBTC	\|	-3.608055	2.656341	-1.36	0.175	-8.827715	1.611604
SHNN	\|	.0573151	.0333971	1.72	0.087	-.0083096	.1229398
TOBIN_Q	\|	-.324646	.4066259	-0.80	0.425	-1.123658	.4743663
ROA	\|	1.215699	2.240035	0.54	0.588	-3.185928	5.617326
_cons	\|	24.42558	24.28694	1.01	0.315	-23.2978	72.14895

-------------+----------------------------------------------------------------

sigma_u | 6.8311329

sigma_e | 3.3430285

rho | .80678081 (fraction of variance due to u_i)

------------------------------------------------------------------------------

F test that all u_i=0: F(483, 474) = 2.46 Prob > F = 0.0000

. estimates store FEM_CB3

. xttest3

Modified Wald test for groupwise heteroskedasticity in fixed effect regression model

H0: sigma(i)^2 = sigma^2 for all i chi2 (484) = 927.92

Prob>chi2 = 0.0000

. hausman FEM_CB3 REM_CB3

---- Coefficients ----

| (b) (B) (b-B) sqrt(diag(V_b-V_B))

| FEM_CB3 REM_CB3 Difference S.E.

-------------+---------------------------------------------------------------- L.CS_CBTT | -.3329153 .531787 -.8647022 .0348322

HDQT | .0251996 .0162629 .0089367 .1360625

KTGD | -2.291364 -.5072027 -1.784162 .7114712

TVDL | -.1499382 .3538115 -.5037497 .346719

BGD | .4551269 .2129663 .2421606 .185712

QMCT | 2.164374 .1546144 2.009759 .9021574

DBTC | -3.608055 -.9340447 -2.674011 2.542933

SHNN | .0573151 .0278458 .0294693 .0313038

TOBIN_Q | -.324646 .0822383 -.4068843 .3810684

ROA | 1.215699 5.693729 -4.47803 1.45039

------------------------------------------------------------------------------

b = consistent under Ho and Ha; obtained from xtreg B = inconsistent under Ha, efficient under Ho; obtained from xtreg

Test: Ho: difference in coefficients not systematic chi2(10) = (b-B)'[(V_b-V_B)^(-1)](b-B)

= 683.27

Prob>chi2 = 0.0000

. xtreg CS_CBTT l.CS_CBTT HDQT KTGD TVDL BGD QMCT DBTC SHQT SHNN TOBIN_Q ROA, re

Random-effects GLS regression

Number of obs	=	968
Group variable: CONGTY	Number of groups	=	484
R-sq: within = 0.0750	Obs per group: min	=	2
between = 0.7015	avg	=	2.0
overall = 0.4314	max	=	2
	Wald chi2(11)	=	574.42
corr(u_i, X) = 0 (assumed)	Prob > chi2	=	0.0000

------------------------------------------------------------------------------

CS_CBTT | Coef. Std. Err. z P>|z| [95% Conf. Interval]

-------------+----------------------------------------------------------------

CS_CBTT

\|
L1.	\|	.5314564	.027445	19.36	0.000	.4776652	.5852475
	\|
HDQT	\|	.0133313	.1090747	0.12	0.903	-.2004512	.2271138
KTGD	\|	-.5215876	.3520077	-1.48	0.138	-1.21151	.1683349
TVDL	\|	.3584921	.1485676	2.41	0.016	.0673049	.6496793
BGD	\|	.2121277	.0847356	2.50	0.012	.0460491	.3782064
QMCT	\|	.1613184	.1176001	1.37	0.170	-.0691735	.3918104
DBTC	\|	-.9649517	.7742147	-1.25	0.213	-2.482385	.5524812
SHQT	\|	.0026596	.0082615	0.32	0.748	-.0135326	.0188518
SHNN	\|	.027998	.0116529	2.40	0.016	.0051588	.0508373
TOBIN_Q	\|	.0793799	.1422299	0.56	0.577	-.1993856	.3581453
ROA	\|	5.678608	1.70853	3.32	0.001	2.329951	9.027265
_cons	\|	24.31235	3.144802	7.73	0.000	18.14865	30.47605

-------------+----------------------------------------------------------------

sigma_u | 1.3119514

sigma_e | 3.3465306

rho | .1332161 (fraction of variance due to u_i)

------------------------------------------------------------------------------

. estimates store REM_CB4

. xtreg CS_CBTT l.CS_CBTT HDQT KTGD TVDL BGD QMCT DBTC SHQT SHNN TOBIN_Q ROA, fe

Fixed-effects (within) regression

Number of obs	=	968
Group variable: CONGTY	Number of groups	=	484
R-sq: within = 0.1449	Obs per group: min	=	2
between = 0.0001	avg	=	2.0
overall = 0.0007	max	=	2
	F(11,473)	=	7.28
corr(u_i, Xb) = -0.6259	Prob > F	=	0.0000

------------------------------------------------------------------------------

CS_CBTT | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-------------+----------------------------------------------------------------

CS_CBTT

\|
L1.	\|	-.332806	.044388	-7.50	0.000	-.4200281	-.2455839
	\|
HDQT	\|	.0245841	.1744266	0.14	0.888	-.3181628	.367331
KTGD	\|	-2.293603	.793662	-2.89	0.004	-3.853142	-.7340631
TVDL	\|	-.1498016	.377299	-0.40	0.692	-.8911912	.5915879
BGD	\|	.4560283	.2045459	2.23	0.026	.0540973	.8579593
QMCT	\|	2.159922	.9117852	2.37	0.018	.368271	3.951572
DBTC	\|	-3.583189	2.672851	-1.34	0.181	-8.835321	1.668942
SHQT	\|	-.0018641	.0202816	-0.09	0.927	-.0417172	.0379891
SHNN	\|	.0575067	.033497	1.72	0.087	-.0083147	.1233281
TOBIN_Q	\|	-.3258503	.4072627	-0.80	0.424	-1.126118	.4744177
ROA	\|	1.20862	2.243704	0.54	0.590	-3.200241	5.617481
_cons	\|	24.56009	24.35639	1.01	0.314	-23.30002	72.42019

-------------+----------------------------------------------------------------

sigma_u | 6.8331501

sigma_e | 3.3465306

rho | .80654632 (fraction of variance due to u_i)

------------------------------------------------------------------------------

F test that all u_i=0: F(483, 473) = 2.46 Prob > F = 0.0000

. estimates store FEM_CB4

. xttest3

Modified Wald test for groupwise heteroskedasticity in fixed effect regression model

H0: sigma(i)^2 = sigma^2 for all i

chi2 (484) = 927.88

Prob>chi2 = 0.0000

. hausman FEM_CB4 REM_CB4

---- Coefficients ----

| (b) (B) (b-B) sqrt(diag(V_b-V_B))

| FEM_CB4 REM_CB4 Difference S.E.

-------------+---------------------------------------------------------------- L.CS_CBTT | -.332806 .5314564 -.8642624 .0348865

HDQT | .0245841 .0133313 .0112528 .1361152

KTGD | -2.293603 -.5215876 -1.772015 .7113297

-.1498016	.3584921	-.5082937	.3468173
BGD	\|	.4560283	.2121277	.2439005	.186169
QMCT	\|	2.159922	.1613184	1.998603	.9041695
DBTC	\|	-3.583189	-.9649517	-2.618238	2.558266
SHQT	\|	-.0018641	.0026596	-.0045236	.0185227
SHNN	\|	.0575067	.027998	.0295087	.0314048
TOBIN_Q	\|	-.3258503	.0793799	-.4052302	.3816197
ROA	\|	1.20862	5.678608	-4.469988	1.45435

TVDL

------------------------------------------------------------------------------

b = consistent under Ho and Ha; obtained from xtreg B = inconsistent under Ha, efficient under Ho; obtained from xtreg

Test: Ho: difference in coefficients not systematic chi2(11) = (b-B)'[(V_b-V_B)^(-1)](b-B)

= 681.08

Prob>chi2 = 0.0000

. xtreg CS_CBTT l.CS_CBTT HDQT KTGD TVDL BGD QMCT DBTC SHQT SHNN ROA CTKT SGDCK, re

Random-effects GLS regression

Number of obs	=	968
Group variable: CONGTY	Number of groups	=	484
R-sq: within = 0.0735	Obs per group: min	=	2
between = 0.7025	avg	=	2.0
overall = 0.4326	max	=	2
	Wald chi2(12)	=	577.90
corr(u_i, X) = 0 (assumed)	Prob > chi2	=	0.0000

------------------------------------------------------------------------------

CS_CBTT | Coef. Std. Err. z P>|z| [95% Conf. Interval]

-------------+----------------------------------------------------------------

CS_CBTT

\|
L1.	\|	.5330515	.0274229	19.44	0.000	.4793037	.5867994
	\|
HDQT	\|	.0249709	.110387	0.23	0.821	-.1913836	.2413254
KTGD	\|	-.5358317	.3518608	-1.52	0.128	-1.225466	.1538028
TVDL	\|	.3448013	.15162	2.27	0.023	.0476314	.6419711
BGD	\|	.2191824	.0860047	2.55	0.011	.0506163	.3877485
QMCT	\|	.2046742	.1451946	1.41	0.159	-.079902	.4892504
DBTC	\|	-1.033333	.7944111	-1.30	0.193	-2.59035	.5236844
SHQT	\|	.0025859	.0082552	0.31	0.754	-.013594	.0187658
SHNN	\|	.0314161	.0116612	2.69	0.007	.0085605	.0542717
ROA	\|	5.809148	1.656262	3.51	0.000	2.562934	9.055362
CTKT	\|	-.5646825	.4023806	-1.40	0.161	-1.353334	.223969
SGDCK	\|	.1526653	.3856478	0.40	0.692	-.6031905	.908521
_cons	\|	23.09592	3.694975	6.25	0.000	15.8539	30.33794

-------------+----------------------------------------------------------------

sigma_u | 1.3065059

sigma_e | 3.3481244

rho | .13214924 (fraction of variance due to u_i)

------------------------------------------------------------------------------

. estimates store REM_CB5

. xtreg CS_CBTT l.CS_CBTT HDQT KTGD TVDL BGD QMCT DBTC SHQT SHNN ROA CTKT SGDCK, fe

note: SGDCK omitted because of collinearity

Fixed-effects (within) regression

Number of obs	=	968
Group variable: CONGTY	Number of groups	=	484
R-sq: within = 0.1440	Obs per group: min	=	2
between = 0.0001	avg	=	2.0
overall = 0.0007	max	=	2
	F(11,473)	=	7.24
corr(u_i, Xb) = -0.6122	Prob > F	=	0.0000

------------------------------------------------------------------------------

CS_CBTT | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-------------+----------------------------------------------------------------

CS_CBTT

\|
L1.	\|	-.331979	.0444677	-7.47	0.000	-.4193577	-.2446002
	\|
HDQT	\|	.0194396	.1743412	0.11	0.911	-.3231394	.3620187
KTGD	\|	-2.265093	.7929032	-2.86	0.004	-3.823142	-.7070446
TVDL	\|	-.1559955	.3776967	-0.41	0.680	-.8981664	.5861755
BGD	\|	.4507382	.2044914	2.20	0.028	.0489142	.8525621
QMCT	\|	2.16183	.9129045	2.37	0.018	.3679805	3.95568
DBTC	\|	-3.952957	2.649539	-1.49	0.136	-9.159279	1.253366
SHQT	\|	-.0009182	.0203041	-0.05	0.964	-.0408156	.0389793
SHNN	\|	.0570312	.0335097	1.70	0.089	-.008815	.1228775
ROA	\|	1.140601	2.242966	0.51	0.611	-3.266809	5.54801
CTKT	\|	-.5370606	1.234209	-0.44	0.664	-2.962272	1.888151
SGDCK	\|	0	(omitted)
_cons	\|	24.47501	24.38145	1.00	0.316	-23.43436	72.38437

-------------+----------------------------------------------------------------

sigma_u | 6.7389333

sigma_e | 3.3481244

rho | .80202558 (fraction of variance due to u_i)

------------------------------------------------------------------------------

F test that all u_i=0: F(483, 473) = 2.45 Prob > F = 0.0000

. estimates store FEM_CB5

. xttest3

Modified Wald test for groupwise heteroskedasticity in fixed effect regression model

H0: sigma(i)^2 = sigma^2 for all i chi2 (484) = 929.41

Prob>chi2 = 0.0000

. hausman FEM_CB5 REM_CB5

---- Coefficients ----

| (b) (B) (b-B) sqrt(diag(V_b-V_B))

| FEM_CB5 REM_CB5 Difference S.E.

-------------+----------------------------------------------------------------

-.331979	.5330515	-.8650305	.0350052
HDQT	\|	.0194396	.0249709	-.0055313	.1349428
KTGD	\|	-2.265093	-.5358317	-1.729261	.7105558
TVDL	\|	-.1559955	.3448013	-.5007967	.345928
BGD	\|	.4507382	.2191824	.2315558	.1855261
QMCT	\|	2.16183	.2046742	1.957156	.9012841
DBTC	\|	-3.952957	-1.033333	-2.919624	2.52764
SHQT	\|	-.0009182	.0025859	-.003504	.0185502
SHNN	\|	.0570312	.0314161	.0256151	.0314152
ROA	\|	1.140601	5.809148	-4.668548	1.512512
CTKT	\|	-.5370606	-.5646825	.0276218	1.166774