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Stata Result Ebaf

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Rija Dawood

The document contains output from Stata code analyzing a panel dataset with COEn as the dependent variable and EP_percent_n, RMn, and ESG_var_n as independent variables. It estimates fixed effects and random effects models and tests for heteroskedasticity and autocorrelation. The fixed effects model is preferred according to the Hausman test. Robust standard errors are used due to evidence of heteroskedasticity.

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Stata Result Ebaf

Uploaded by

Rija Dawood
11 views6 pages
The document contains output from Stata code analyzing a panel dataset with COEn as the dependent variable and EP_percent_n, RMn, and ESG_var_n as independent variables. It estimates fixed effects and random effects models and tests for heteroskedasticity and autocorrelation. The fixed effects model is preferred according to the Hausman test. Robust standard errors are used due to evidence of heteroskedasticity.

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This all about stata technique that how econometrics technique are resolved in stata

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stata result ebaf

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The document contains output from Stata code analyzing a panel dataset with COEn as the dependent variable and EP_percent_n, RMn, and ESG_var_n as independent variables. It estimates fixed effects and random effects models and tests for heteroskedasticity and autocorrelation. The fixed effects model is preferred according to the Hausman test. Robust standard errors are used due to evidence of heteroskedasticity.

Copyright:

© All Rights Reserved
Download as TXT, PDF, TXT or read online from Scribd
Download as txt, pdf, or txt
11 views6 pages

Stata Result Ebaf

Uploaded by

Rija Dawood
The document contains output from Stata code analyzing a panel dataset with COEn as the dependent variable and EP_percent_n, RMn, and ESG_var_n as independent variables. It estimates fixed effects and random effects models and tests for heteroskedasticity and autocorrelation. The fixed effects model is preferred according to the Hausman test. Robust standard errors are used due to evidence of heteroskedasticity.

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You are on page 1/ 6

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)
------------------------------------------------------------------------------

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