gen linn = l.inn
gen linn2 = (linn)^2
xtabond2 inn linn linn2 fah1 cfo debt grow size ebd year2-year12,gmm(linn linn2,collapse) iv(year2-year12) robust
(2)滞后变量在模型中设定,滞后变量的平方项使用生成的序列
xtabond2 inn l.inn linn2 fah1 cfo debt grow size ebd year2-year12,gmm(l.inn linn2,collapse) iv(year2-year12) robust
(3)全部在模型中生成
xtabond2 inn c.(l.inn)##c.(l.inn) fah1 cfo debt grow size ebd year2-year12,gmm(c.(l.inn)##c.(l.inn),collapse) iv(year2-year12) robust
模型:
结果:(1)~(3)对应上述三种方式(结果不显著可能是内生变量和工具变量没设定好)
(4)~(6)是为了对照,使用相同的变量但利用混合OLS回归。可以看到 (5)l.inn linn2和(6)c.(l.inn)##c.(l.inn)结果相同。
请问哪种才是正确的???
(4)reg inn linn linn2 fah1 cfo debt grow size ebd i.year,r
(5)reg inn l.inn linn2 fah1 cfo debt grow size ebd i.year,r
(6)reg inn c.(l.inn)##c.(l.inn) fah1 cfo debt grow size ebd i.year,r