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如题所示，有两个问题，heckman第二阶段代码是否需要考虑更多控制变量，加入了控制变量后的回归分析不显著，查了网上的资料有的说需要有更多控制变量，有的说不需要。若只有regress D lnDT imr i.industry1 i.year if above==1,vce(robust)则显著。第二个问题是加入了if above==1后，数据量降了很多，F值不显示。
请大佬帮忙解答。
我的代码如下：
probit above Size Lev ROA Growth Loss Board Indep Dual Top1 Balance2 SOE ListAge Mshare Big4
Iteration 0: Log likelihood = -20476.378
Iteration 1: Log likelihood = -20093.481
Iteration 2: Log likelihood = -20093.277
Iteration 3: Log likelihood = -20093.277
Probit regression Number of obs = 29,804
LR chi2(14) = 766.20
Prob > chi2 = 0.0000
Log likelihood = -20093.277 Pseudo R2 = 0.0187
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above | Coefficient Std. err. z P>|z| [95% conf. interval]
-------------+----------------------------------------------------------------
Size | .1534714 .0082336 18.64 0.000 .1373338 .169609
Lev | -.2512125 .0474979 -5.29 0.000 -.3443066 -.1581184
ROA | -.8091573 .160599 -5.04 0.000 -1.123926 -.494389
Growth | -.0110705 .0197513 -0.56 0.575 -.0497824 .0276414
Loss | .0096957 .0303471 0.32 0.749 -.0497835 .069175
Board | -.1243958 .0496048 -2.51 0.012 -.2216194 -.0271722
Indep | .0066614 .0017207 3.87 0.000 .0032888 .010034
Dual | .1457149 .0171688 8.49 0.000 .1120647 .179365
Top1 | -.346328 .0784416 -4.42 0.000 -.5000707 -.1925853
Balance2 | .0419674 .0182369 2.30 0.021 .0062238 .0777111
SOE | -.1834005 .0188455 -9.73 0.000 -.2203369 -.146464
ListAge | -.0412506 .0110507 -3.73 0.000 -.0629096 -.0195916
Mshare | .001228 .0004686 2.62 0.009 .0003096 .0021464
Big4 | .0155469 .033498 0.46 0.643 -.050108 .0812018
_cons | -2.958928 .202199 -14.63 0.000 -3.355231 -2.562625
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. est store probit
. predict y_hat,xb
. gen pdf=normalden(y_hat)
. gen cdf=normal(y_hat)
. gen imr=pdf/cdf
. regress D Size Lev ROA Growth Loss Board Indep Dual Top1 Balance2 SOE ListAge Mshare Big4 ln词频 imr i.industry1 i.year if above==1,vce(robust)
Linear regression Number of obs = 16,548
F(99, 16447) = .
Prob > F = .
R-squared = 0.2081
Root MSE = .9131
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| Robust
D | Coefficient std. err. t P>|t| [95% conf. interval]
-------------+----------------------------------------------------------------
Size | .312391 .0958865 3.26 0.001 .1244431 .5003388
Lev | -.9196164 .1643788 -5.59 0.000 -1.241817 -.5974161
ROA | 1.739533 .5302707 3.28 0.001 .7001449 2.778921
Growth | -.1393666 .0225998 -6.17 0.000 -.1836646 -.0950686
Loss | -.0596704 .0311043 -1.92 0.055 -.1206382 .0012974
Board | .1264328 .0916966 1.38 0.168 -.0533024 .306168
Indep | .0158156 .0044368 3.56 0.000 .0071189 .0245122
Dual | .0198141 .0906533 0.22 0.827 -.1578762 .1975044
Top1 | -.0452597 .2330622 -0.19 0.846 -.5020867 .4115674
Balance2 | -.0101361 .0309194 -0.33 0.743 -.0707415 .0504693
SOE | .0741843 .1201627 0.62 0.537 -.1613475 .3097161
ListAge | -.160277 .0285379 -5.62 0.000 -.2162144 -.1043396
Mshare | .0034211 .0008943 3.83 0.000 .0016682 .005174
Big4 | .1773501 .0309168 5.74 0.000 .1167498 .2379505
ln词频 | .039329 .008967 4.39 0.000 .0217526 .0569053
imr | .4449258 1.046528 0.43 0.671 -1.606383 2.496235
|
industry1 |
A02 | 1.290154 .3559019 3.63 0.000 .5925475 1.98776
A03 | .4614078 .1571422 2.94 0.003 .153392 .7694236
A04 | .0630516 .2348944 0.27 0.788 -.3973668 .52347
A05 | 1.047717 .1341875 7.81 0.000 .7846948 1.310739
B06 | .0435229 .1978031 0.22 0.826 -.3441926 .4312383
B07 | -.3433582 .3668653 -0.94 0.349 -1.062454 .3757375
B08 | .3513155 .3358829 1.05 0.296 -.3070514 1.009682
B09 | .4668168 .2398746 1.95 0.052 -.0033634 .9369969
B11 | .6514301 .1694147 3.85 0.000 .319359 .9835013
C13 | .585939 .131626 4.45 0.000 .3279377 .8439402
C14 | .5360581 .1303528 4.11 0.000 .2805525 .7915637
C15 | .8430271 .1324938 6.36 0.000 .5833249 1.102729
C17 | .8253669 .142249 5.80 0.000 .5465435 1.10419
C18 | .4941037 .1355861 3.64 0.000 .2283404 .7598671
C19 | .6980767 .1545379 4.52 0.000 .3951656 1.000988
C20 | .8437064 .1869499 4.51 0.000 .4772643 1.210149
C21 | 1.140211 .1414621 8.06 0.000 .8629296 1.417492
C22 | .9570578 .1512961 6.33 0.000 .660501 1.253615
C23 | 1.202023 .209178 5.75 0.000 .7920112 1.612034
C24 | .9051972 .144808 6.25 0.000 .6213578 1.189037
C25 | .3501591 .2210618 1.58 0.113 -.0831459 .7834641
C26 | .5881494 .1251387 4.70 0.000 .3428639 .8334349
C27 | .6596366 .1245496 5.30 0.000 .415506 .9037672
C28 | .0714722 .161073 0.44 0.657 -.2442484 .3871928
C29 | .8032856 .1311941 6.12 0.000 .5461309 1.06044
C30 | .7245581 .1353043 5.36 0.000 .4593471 .9897691
C31 | .3869494 .1555118 2.49 0.013 .0821294 .6917695
C32 | .5155648 .143184 3.60 0.000 .2349086 .796221
C33 | .5504664 .1330248 4.14 0.000 .2897235 .8112093
C34 | .706441 .1243668 5.68 0.000 .4626686 .9502134
C35 | .6529414 .1212715 5.38 0.000 .4152361 .8906467
C36 | .7040385 .1244073 5.66 0.000 .4601867 .9478902
C37 | .7575936 .1352337 5.60 0.000 .4925208 1.022666
C38 | .8403867 .1214505 6.92 0.000 .6023307 1.078443
C39 | .7627672 .1200904 6.35 0.000 .5273771 .9981574
C40 | 1.082806 .1249248 8.67 0.000 .83794 1.327672
C41 | .48064 .1575628 3.05 0.002 .1717998 .7894802
C42 | .944497 .2861433 3.30 0.001 .3836251 1.505369
D44 | .5285936 .1352869 3.91 0.000 .2634167 .7937704
D45 | .5202756 .1560793 3.33 0.001 .2143434 .8262078
D46 | .6092583 .2009973 3.03 0.002 .2152818 1.003235
E47 | -.1501064 .3145789 -0.48 0.633 -.7667151 .4665023
E48 | .6169281 .1370267 4.50 0.000 .3483409 .8855153
E49 | .7845908 .2065624 3.80 0.000 .3797062 1.189475
E50 | .3512524 .1489928 2.36 0.018 .0592104 .6432944
F51 | .876203 .1274489 6.87 0.000 .6263893 1.126017
F52 | .8870394 .1232376 7.20 0.000 .6454803 1.128598
G53 | -.190669 .2803525 -0.68 0.496 -.7401903 .3588523
G54 | .2320083 .1345727 1.72 0.085 -.0317687 .4957854
G55 | -.1437632 .1484919 -0.97 0.333 -.4348234 .147297
G56 | .4192053 .1502697 2.79 0.005 .1246604 .7137503
G58 | .0570045 .1986759 0.29 0.774 -.3324218 .4464308
G59 | .355913 .159763 2.23 0.026 .0427603 .6690657
G60 | .0089114 .2336563 0.04 0.970 -.4490802 .4669029
H61 | 1.002839 .2158064 4.65 0.000 .5798348 1.425843
H62 | 1.196506 .2557409 4.68 0.000 .6952261 1.697786
I63 | .7147676 .1352307 5.29 0.000 .4497008 .9798344
I64 | .5673314 .13021 4.36 0.000 .3121057 .822557
I65 | .9536726 .122128 7.81 0.000 .7142884 1.193057
K70 | 1.265187 .1267996 9.98 0.000 1.016646 1.513727
L71 | -.6383948 .3033386 -2.10 0.035 -1.232971 -.0438183
L72 | .4217497 .1281961 3.29 0.001 .1704715 .673028
M73 | .8282769 .2296245 3.61 0.000 .378188 1.278366
M74 | .820354 .1327624 6.18 0.000 .5601253 1.080583
M75 | .6288243 .4157758 1.51 0.130 -.1861412 1.44379
N77 | .5051454 .1457557 3.47 0.001 .2194484 .7908425
N78 | .5564221 .1461966 3.81 0.000 .269861 .8429832
O80 | .7112624 .2165361 3.28 0.001 .2868282 1.135697
P82 | .9390309 .2169953 4.33 0.000 .5136967 1.364365
Q83 | .0050295 .1913428 0.03 0.979 -.370023 .3800821
R85 | 1.506544 .1401556 10.75 0.000 1.231824 1.781265
R86 | .6408031 .1547738 4.14 0.000 .3374297 .9441766
R87 | .5714701 .2237293 2.55 0.011 .1329364 1.010004
R88 | 1.502674 .3449487 4.36 0.000 .8265374 2.178811
S90 | .4142195 .1571247 2.64 0.008 .1062382 .7222009
|
year |
2015 | -.1276623 .0425645 -3.00 0.003 -.2110932 -.0442313
2016 | -.1760497 .0425496 -4.14 0.000 -.2594515 -.0926478
2017 | -.0874256 .0406867 -2.15 0.032 -.167176 -.0076753
2018 | .0613643 .0407461 1.51 0.132 -.0185025 .1412311
2019 | -.0184719 .0416907 -0.44 0.658 -.1001901 .0632463
2020 | -.0020111 .0399232 -0.05 0.960 -.0802649 .0762427
2021 | .0656209 .0349079 1.88 0.060 -.0028024 .1340441
2022 | .0904115 .0349036 2.59 0.010 .0219966 .1588264
2023 | .3131493 .0388362 8.06 0.000 .2370262 .3892725
|
_cons | -4.184714 2.680819 -1.56 0.119 -9.439409 1.069982
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