stata上市公司面板数据内生性检验xtivreg2结果如何解读 - Stata专版

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languang0606

发表于 2023-8-31 22:49:55 |只看作者 |坛友微信交流群|倒序 |AI写论文

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命令为  xi:xtivreg2 AB  (lnLi= l.lnLi l2.lnLi) lnTotalAssets1 lnCash1 lnTop3Salary1 ROA TDR Shrcr1 Outdir Both1 i.Year i.ind if Stock type1==1 ,fe robust endog(lnLi)

其中AB是被解释变量  lnLi是核心解释变量，Endogeneity test检验结果 P=0.4586 不显著，所以不存在内生性。但是本回归中核心解释变量lnLi的系数回归结果不显著，这种结果能用吗？  这种情况可以认为不存在内生性，然后进行下一步实证研究操作吗？

Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity

                                                   Number of obs =    2404
                                                   F( 10,  1192) = 22.04
                                                   Prob > F    = 0.0000
Total (centered) SS    = 46.3008953             Centered R2 = 0.3421
Total (uncentered) SS = 46.3008953             Uncentered R2 = 0.3421
Residual SS          =  30.46194136             Root MSE    = .1592

--------------------------------------------------------------------------------
            |             Robust
   AB | Coefficient  std. err.    z P>|z|    [95% conf. interval]
---------------+----------------------------------------------------------------
      lnLi | .2972997 .5390838    0.55 0.581 -.7592852 1.353885
lnTotalAssets1 | .6085523 .0609942    9.98 0.000    .4890059 .7280986
   lnCash1 | .0095059 .0184997    0.51 0.607 -.0267529 .0457646
lnTop3Salary1 | .1285047 .0265334    4.84 0.000    .0765003 .1805092
         ROA | .753135 .1947199    3.87 0.000    .3714909 1.134779
         TDR |  -.1101093 .1535002 -0.72 0.473 -.4109642 .1907457
      Shrcr1 |  -.0039142 .0036537 -1.07 0.284 -.0110754    .003247
      Outdir | .2334537 .2351206    0.99 0.321 -.2273743 .6942817
      Both1 | .0078852 .0300483    0.26 0.793 -.0510083 .0667787
_IYear_2021 | .0441083 .0173913    2.54 0.011    .010022 .0781946
--------------------------------------------------------------------------------
Underidentification test (Kleibergen-Paap rk LM statistic):          41.731
                                                Chi-sq(2) P-val = 0.0000
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic):             18.259
                     (Kleibergen-Paap rk Wald F statistic):       5.084
Stock-Yogo weak ID test critical values: 10% maximal IV size          19.93
                                       15% maximal IV size          11.59
                                       20% maximal IV size             8.75
                                       25% maximal IV size             7.25
Source: Stock-Yogo (2005).  Reproduced by permission.
NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors.
------------------------------------------------------------------------------
Hansen J statistic (overidentification test of all instruments):       0.003
                                                Chi-sq(1) P-val = 0.9567
-endog- option:
Endogeneity test of endogenous regressors:                            0.549
                                                Chi-sq(1) P-val = 0.4586
Regressors tested: lnLi
------------------------------------------------------------------------------
Instrumented:       lnLi
Included instruments: lnTotalAssets1 lnCash1 lnTop3Salary1 ROA TDR Shrcr1 Outdir
                  Both1 _IYear_2021
Excluded instruments: L.lnLi L2.lnLi
Dropped collinear: _IYear_2020 _IYear_2022 _Iind_2 _Iind_3 _Iind_4 _Iind_5
                  _Iind_6 _Iind_7 _Iind_8 _Iind_9 _Iind_10 _Iind_11 _Iind_12
                  _Iind_13 _Iind_14 _Iind_15 _Iind_16 _Iind_17 _Iind_18
                  _Iind_19 _Iind_20 _Iind_21
------------------------------------------------------------------------------