use "C:\Users\safya\Desktop\Econometrics\Econometrics slides\Final Dateset.

dta",
clear

. browse

. xtset ID YEAR
panel variable: ID (unbalanced)
time variable: YEAR, 2016 to 2020, but with a gap
delta: 1 unit

. use "C:\Users\safya\Desktop\Econometrics\Econometrics slides\Final Dateset.dta",

clear

. xtset ID YEAR
panel variable: ID (unbalanced)
time variable: YEAR, 2016 to 2020, but with a gap
delta: 1 unit

. reg COEn EP_percent_n RMn ESG_var_n

Source | SS df MS Number of obs = 1345

-------------+------------------------------ F( 3, 1341) = 319.37
Model | 75.7414092 3 25.2471364 Prob > F = 0.0000
Residual | 106.008878 1341 .079052109 R-squared = 0.4167
-------------+------------------------------ Adj R-squared = 0.4154
Total | 181.750287 1344 .135230868 Root MSE = .28116

------------------------------------------------------------------------------
COEn | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
EP_percent_n | -.2863617 .015339 -18.67 0.000 -.3164527 -.2562708
RMn | .698155 .0437082 15.97 0.000 .6124112 .7838988
ESG_var_n | .0219225 .0162361 1.35 0.177 -.0099284 .0537734
_cons | .0272388 .0083382 3.27 0.001 .0108814 .0435962
------------------------------------------------------------------------------

. correlate COEn EP_percent_n RMn ESG_var_n

(obs=1345)

| COEn EP_per~n RMn ESG_va~n

-------------+------------------------------------
COEn | 1.0000
EP_percent_n | -0.5526 1.0000
RMn | 0.5140 -0.3714 1.0000
ESG_var_n | 0.0186 0.0031 -0.0230 1.0000

. vif

Variable | VIF 1/VIF

-------------+----------------------
RMn | 1.16 0.861549
EP_percent_n | 1.16 0.861997
ESG_var_n | 1.00 0.999435
-------------+----------------------
Mean VIF | 1.11

. hettest
Breusch-Pagan / Cook-Weisberg test for heteroskedasticity
Ho: Constant variance
Variables: fitted values of COEn

chi2(1) = 1519.08
Prob > chi2 = 0.0000

. xtserial COEn EP_percent_n RMn ESG_var_n

Wooldridge test for autocorrelation in panel data

H0: no first order autocorrelation
F( 1, 286) = 1.516
Prob > F = 0.2193

. xtreg COEn EP_percent_n RMn ESG_var_n

Random-effects GLS regression Number of obs = 1345

Group variable: ID Number of groups = 479

R-sq: within = 0.4558 Obs per group: min = 1

between = 0.4075 avg = 2.8
overall = 0.4167 max = 4

Wald chi2(3) = 965.52

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

------------------------------------------------------------------------------
COEn | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
EP_percent_n | -.2855152 .0153359 -18.62 0.000 -.315573 -.2554573
RMn | .6992672 .0434253 16.10 0.000 .6141552 .7843791
ESG_var_n | .0220438 .0162417 1.36 0.175 -.0097893 .0538769
_cons | .0271119 .0084661 3.20 0.001 .0105185 .0437052
-------------+----------------------------------------------------------------
sigma_u | .03755292
sigma_e | .27686033
rho | .01806544 (fraction of variance due to u_i)
------------------------------------------------------------------------------

. xtreg COEn EP_percent_n RMn ESG_var_n, fe

Fixed-effects (within) regression Number of obs = 1345

Group variable: ID Number of groups = 479

R-sq: within = 0.4584 Obs per group: min = 1

between = 0.3946 avg = 2.8
overall = 0.4139 max = 4

F(3,863) = 243.44
corr(u_i, Xb) = 0.0698 Prob > F = 0.0000

------------------------------------------------------------------------------
COEn | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
EP_percent_n | -.2410306 .0187369 -12.86 0.000 -.2778058 -.2042553
RMn | .7452166 .0466436 15.98 0.000 .6536685 .8367647
ESG_var_n | .0304368 .0226045 1.35 0.178 -.0139294 .074803
_cons | .0218956 .0084642 2.59 0.010 .0052829 .0385084
-------------+----------------------------------------------------------------
 sigma_u | .19299032
sigma_e | .27686033
rho | .32700855 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(478, 863) = 1.09 Prob > F = 0.1455

. estimate store fe

. xtreg COEn EP_percent_n RMn ESG_var_n, re

Random-effects GLS regression Number of obs = 1345

Group variable: ID Number of groups = 479

R-sq: within = 0.4558 Obs per group: min = 1

between = 0.4075 avg = 2.8
overall = 0.4167 max = 4

Wald chi2(3) = 965.52

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

------------------------------------------------------------------------------
COEn | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
EP_percent_n | -.2855152 .0153359 -18.62 0.000 -.315573 -.2554573
RMn | .6992672 .0434253 16.10 0.000 .6141552 .7843791
ESG_var_n | .0220438 .0162417 1.36 0.175 -.0097893 .0538769
_cons | .0271119 .0084661 3.20 0.001 .0105185 .0437052
-------------+----------------------------------------------------------------
sigma_u | .03755292
sigma_e | .27686033
rho | .01806544 (fraction of variance due to u_i)
------------------------------------------------------------------------------

. estimate store re

. hausman fe re

---- Coefficients ----

| (b) (B) (b-B) sqrt(diag(V_b-V_B))
| fe re Difference S.E.
-------------+----------------------------------------------------------------
EP_percent_n | -.2410306 -.2855152 .0444846 .0107648
RMn | .7452166 .6992672 .0459494 .0170255
ESG_var_n | .0304368 .0220438 .008393 .0157217
------------------------------------------------------------------------------
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(3) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 17.35
Prob>chi2 = 0.0006

. xttest3
unrecognized command: xttest3
r(199);

. ssc install xttest3

checking xttest3 consistency and verifying not already installed...
installing into c:\ado\plus\...
installation complete.

. xttest3
last estimates not xtreg, fe
r(301);

. xtreg COEn EP_percent_n RMn ESG_var_n, fe

Fixed-effects (within) regression Number of obs = 1345

Group variable: ID Number of groups = 479

R-sq: within = 0.4584 Obs per group: min = 1

between = 0.3946 avg = 2.8
overall = 0.4139 max = 4

F(3,863) = 243.44
corr(u_i, Xb) = 0.0698 Prob > F = 0.0000

------------------------------------------------------------------------------
COEn | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
EP_percent_n | -.2410306 .0187369 -12.86 0.000 -.2778058 -.2042553
RMn | .7452166 .0466436 15.98 0.000 .6536685 .8367647
ESG_var_n | .0304368 .0226045 1.35 0.178 -.0139294 .074803
_cons | .0218956 .0084642 2.59 0.010 .0052829 .0385084
-------------+----------------------------------------------------------------
sigma_u | .19299032
sigma_e | .27686033
rho | .32700855 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(478, 863) = 1.09 Prob > F = 0.1455

. xttest3

Modified Wald test for groupwise heteroskedasticity

in fixed effect regression model

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

chi2 (479) = 1.9e+35

Prob>chi2 = 0.0000

. xtreg COEn EP_percent_n RMn ESG_var_n, robust fe

Fixed-effects (within) regression Number of obs = 1345

Group variable: ID Number of groups = 479

R-sq: within = 0.4584 Obs per group: min = 1

between = 0.3946 avg = 2.8
overall = 0.4139 max = 4

F(3,478) = 223.71
corr(u_i, Xb) = 0.0698 Prob > F = 0.0000

(Std. Err. adjusted for 479 clusters in ID)

------------------------------------------------------------------------------
 | Robust
COEn | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
EP_percent_n | -.2410306 .1733512 -1.39 0.165 -.5816551 .099594
RMn | .7452166 .2056648 3.62 0.000 .3410978 1.149335
ESG_var_n | .0304368 .0103512 2.94 0.003 .0100974 .0507762
_cons | .0218956 .0192612 1.14 0.256 -.0159514 .0597427
-------------+----------------------------------------------------------------
sigma_u | .19299032
sigma_e | .27686033
rho | .32700855 (fraction of variance due to u_i)
------------------------------------------------------------------------------

. xttest3

Modified Wald test for groupwise heteroskedasticity

in fixed effect regression model

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

chi2 (479) = 1.9e+35

Prob>chi2 = 0.0000

. xtreg COEn EP_percent_n RMn ESG_var_n, robust fe

Fixed-effects (within) regression Number of obs = 1345

Group variable: ID Number of groups = 479

R-sq: within = 0.4584 Obs per group: min = 1

between = 0.3946 avg = 2.8
overall = 0.4139 max = 4

F(3,478) = 223.71
corr(u_i, Xb) = 0.0698 Prob > F = 0.0000

(Std. Err. adjusted for 479 clusters in ID)

------------------------------------------------------------------------------
| Robust
COEn | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
EP_percent_n | -.2410306 .1733512 -1.39 0.165 -.5816551 .099594
RMn | .7452166 .2056648 3.62 0.000 .3410978 1.149335
ESG_var_n | .0304368 .0103512 2.94 0.003 .0100974 .0507762
_cons | .0218956 .0192612 1.14 0.256 -.0159514 .0597427
-------------+----------------------------------------------------------------
sigma_u | .19299032
sigma_e | .27686033
rho | .32700855 (fraction of variance due to u_i)
------------------------------------------------------------------------------

. xtreg COEn EP_percent_n RMn ESG_var_n, robust fe

Fixed-effects (within) regression Number of obs = 1345

Group variable: ID Number of groups = 479

R-sq: within = 0.4584 Obs per group: min = 1

between = 0.3946 avg = 2.8
overall = 0.4139 max = 4
 F(3,478) = 223.71
corr(u_i, Xb) = 0.0698 Prob > F = 0.0000

(Std. Err. adjusted for 479 clusters in ID)

------------------------------------------------------------------------------
| Robust
COEn | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
EP_percent_n | -.2410306 .1733512 -1.39 0.165 -.5816551 .099594
RMn | .7452166 .2056648 3.62 0.000 .3410978 1.149335
ESG_var_n | .0304368 .0103512 2.94 0.003 .0100974 .0507762
_cons | .0218956 .0192612 1.14 0.256 -.0159514 .0597427
-------------+----------------------------------------------------------------
sigma_u | .19299032
sigma_e | .27686033
rho | .32700855 (fraction of variance due to u_i)
------------------------------------------------------------------------------