GLOBE RIVISITED

. estimates store fixed_effects

F test that all u_i=0: F(413, 792) = 33.75 Prob > F = 0.0000

rho .93388296 (fraction of variance due to u_i)
sigma_e 5.2871602
sigma_u 19.870647

_cons -83.42246 20.84099 -4.00 0.000 -124.3326 -42.51235
GPERFOR 0 (omitted)
GINSTCOL 0 (omitted)
GINGRCOL 0 (omitted)
GUA 0 (omitted)
GPDI 0 (omitted)
lnTA 6.838795 1.028321 6.65 0.000 4.820238 8.857353
NetFATA -.0587427 .0288359 -2.04 0.042 -.1153465 -.0021389
EBITDATA -.1406151 .0143843 -9.78 0.000 -.168851 -.1123793
DepTA .0525364 .1418095 0.37 0.711 -.2258305 .3309032
PBY 1.650059 .1276825 12.92 0.000 1.399423 1.900695

TDTA Coef. Std. Err. t P>|t| [95% Conf. Interval]

corr(u_i, Xb) = -0.3352 Prob > F = 0.0000
F(5,792) = 53.80
overall = 0.1077 max = 3
between = 0.0981 avg = 2.9
R-sq: within = 0.2535 Obs per group: min = 1
Group variable: Company Number of groups = 414
Fixed-effects (within) regression Number of obs = 1211
note: GPERFOR omitted because of collinearity
note: GINSTCOL omitted because of collinearity
note: GINGRCOL omitted because of collinearity
note: GUA omitted because of collinearity
note: GPDI omitted because of collinearity
. xtreg TDTA PBY DepTA EBITDATA NetFATA lnTA GPDI GUA GINGRCOL GINSTCOL GPERFOR , fe
. estimates store random_effects

rho .91613996 (fraction of variance due to u_i)
sigma_e 5.2871602
sigma_u 17.475349

_cons -63.03251 19.62433 -3.21 0.001 -101.4955 -24.56953
GPERFOR -12.06191 3.214253 -3.75 0.000 -18.36173 -5.762084
GINSTCOL 4.987609 2.562408 1.95 0.052 -.0346181 10.00984
GINGRCOL -3.912067 1.988548 -1.97 0.049 -7.809551 -.0145839
GUA 8.859851 2.998486 2.95 0.003 2.982926 14.73678
GPDI 16.65408 8.399448 1.98 0.047 .1914615 33.11669
lnTA 4.71762 .4908476 9.61 0.000 3.755577 5.679664
NetFATA -.0865739 .0235349 -3.68 0.000 -.1327015 -.0404464
EBITDATA -.1314064 .0136779 -9.61 0.000 -.1582145 -.1045983
DepTA .0023313 .0064022 0.36 0.716 -.0102168 .0148795
PBY 1.591176 .1201959 13.24 0.000 1.355597 1.826756

TDTA Coef. Std. Err. z P>|z| [95% Conf. Interval]

corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
Wald chi2(10) = 350.55
overall = 0.1810 max = 3
between = 0.1783 avg = 2.9
R-sq: within = 0.2489 Obs per group: min = 1
Group variable: Company Number of groups = 414
Random-effects GLS regression Number of obs = 1211
. xtreg TDTA PBY DepTA EBITDATA NetFATA lnTA GPDI GUA GINGRCOL GINSTCOL GPERFOR , re


rho .91613996 (fraction of variance due to u_i)
sigma_e 5.2871602
sigma_u 17.475349

_cons -63.03251 19.62433 -3.21 0.001 -101.4955 -24.56953
GPERFOR -12.06191 3.214253 -3.75 0.000 -18.36173 -5.762084
GINSTCOL 4.987609 2.562408 1.95 0.052 -.0346181 10.00984
GINGRCOL -3.912067 1.988548 -1.97 0.049 -7.809551 -.0145839
GUA 8.859851 2.998486 2.95 0.003 2.982926 14.73678
GPDI 16.65408 8.399448 1.98 0.047 .1914615 33.11669
lnTA 4.71762 .4908476 9.61 0.000 3.755577 5.679664
NetFATA -.0865739 .0235349 -3.68 0.000 -.1327015 -.0404464
EBITDATA -.1314064 .0136779 -9.61 0.000 -.1582145 -.1045983
DepTA .0023313 .0064022 0.36 0.716 -.0102168 .0148795
PBY 1.591176 .1201959 13.24 0.000 1.355597 1.826756

TDTA Coef. Std. Err. z P>|z| [95% Conf. Interval]

corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
Wald chi2(10) = 350.55
overall = 0.1810 max = 3
between = 0.1783 avg = 2.9
R-sq: within = 0.2489 Obs per group: min = 1
Group variable: Company Number of groups = 414
Random-effects GLS regression Number of obs = 1211
. xtreg TDTA PBY DepTA EBITDATA NetFATA lnTA GPDI GUA GINGRCOL GINSTCOL GPERFOR , re
Prob>chi2 = 0.1501
= 8.11
chi2(5) = (b-B)'[(V_b-V_B)^(-1)](b-B)
Test: Ho: difference in coefficients not systematic
B = inconsistent under Ha, efficient under Ho; obtained from xtreg
b = consistent under Ho and Ha; obtained from xtreg

lnTA 6.838795 4.71762 2.121175 .9036112
NetFATA -.0587427 -.0865739 .0278313 .0166618
EBITDATA -.1406151 -.1314064 -.0092087 .0044525
DepTA .0525364 .0023313 .050205 .1416649
PBY 1.650059 1.591176 .0588829 .0430786

fixed_effe~s random_eff~s Difference S.E.
(b) (B) (b-B) sqrt(diag(V_b-V_B))
Coefficients
. hausman fixed_effects random_effects


rho .78360261 (fraction of variance due to u_i)
sigma_e 223.4841
sigma_u 425.27373

_cons 489.9426 100.9485 4.85 0.000 292.0871 687.798
uhat -3.020435 1.829347 -1.65 0.099 -6.60589 .5650193

Residuals2 Coef. Std. Err. z P>|z| [95% Conf. Interval]

corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0987
Wald chi2(1) = 2.73
overall = 0.0133 max = 3
between = 0.0168 avg = 2.9
R-sq: within = 0.0002 Obs per group: min = 1
Group variable: Company Number of groups = 414
Random-effects GLS regression Number of obs = 1211
. xtreg Residuals2 uhat, re
(16 missing values generated)
. gen Residuals2 = Residuals^2
(16 missing values generated)
. predict Residuals, ue
(16 missing values generated)
. predict uhat, xb

rho .91613996 (fraction of variance due to u_i)
sigma_e 5.2871602
sigma_u 17.475349

_cons -63.03251 19.62433 -3.21 0.001 -101.4955 -24.56953
GPERFOR -12.06191 3.214253 -3.75 0.000 -18.36173 -5.762084
GINSTCOL 4.987609 2.562408 1.95 0.052 -.0346181 10.00984
GINGRCOL -3.912067 1.988548 -1.97 0.049 -7.809551 -.0145839
GUA 8.859851 2.998486 2.95 0.003 2.982926 14.73678
GPDI 16.65408 8.399448 1.98 0.047 .1914615 33.11669
lnTA 4.71762 .4908476 9.61 0.000 3.755577 5.679664
NetFATA -.0865739 .0235349 -3.68 0.000 -.1327015 -.0404464
EBITDATA -.1314064 .0136779 -9.61 0.000 -.1582145 -.1045983
DepTA .0023313 .0064022 0.36 0.716 -.0102168 .0148795
PBY 1.591176 .1201959 13.24 0.000 1.355597 1.826756

TDTA Coef. Std. Err. z P>|z| [95% Conf. Interval]

corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
Wald chi2(10) = 350.55
overall = 0.1810 max = 3
between = 0.1783 avg = 2.9
R-sq: within = 0.2489 Obs per group: min = 1
Group variable: Company Number of groups = 414
Random-effects GLS regression Number of obs = 1211
. xtreg TDTA PBY DepTA EBITDATA NetFATA lnTA GPDI GUA GINGRCOL GINSTCOL GPERFOR , re
Prob > chibar2 = 0.0000
chibar2(01) = 972.00
Test: Var(u) = 0
u 305.3878 17.47535
e 27.95406 5.28716
TDTA 398.3061 19.95761

Var sd = sqrt(Var)
Estimated results:
TDTA[Company,t] = Xb + u[Company] + e[Company,t]
Breusch and Pagan Lagrangian multiplier test for random effects
. xttest0


rho_fov .90572692 (fraction of variance due to u_i)
sigma_e 5.5258175
sigma_u 17.12779
rho_ar .16186005 (estimated autocorrelation coefficient)

_cons -62.6208 19.42272 -3.22 0.001 -100.6886 -24.55297
GPERFOR -12.05459 3.174835 -3.80 0.000 -18.27715 -5.832024
GINSTCOL 4.988873 2.530933 1.97 0.049 .0283361 9.94941
GINGRCOL -3.938521 1.96381 -2.01 0.045 -7.787518 -.0895233
GUA 8.81108 2.961216 2.98 0.003 3.007204 14.61496
GPDI 16.60367 8.295481 2.00 0.045 .344823 32.86251
lnTA 4.709436 .4885377 9.64 0.000 3.75192 5.666952
NetFATA -.085432 .0236822 -3.61 0.000 -.1318482 -.0390159
EBITDATA -.1300946 .01395 -9.33 0.000 -.157436 -.1027531
DepTA .0023737 .0063314 0.37 0.708 -.0100355 .014783
PBY 1.583296 .1181304 13.40 0.000 1.351765 1.814828

TDTA Coef. Std. Err. z P>|z| [95% Conf. Interval]

0.6893 0.7953 0.7953 0.7953 0.7953
min 5% median 95% max
theta
corr(u_i, Xb) = 0 (assumed) Prob > chi2 = 0.0000
Wald chi2(11) = 350.25
overall = 0.1809 max = 3
between = 0.1782 avg = 2.9
R-sq: within = 0.2490 Obs per group: min = 1
Group variable: Company Number of groups = 414
RE GLS regression with AR(1) disturbances Number of obs = 1211
. xtregar TDTA PBY DepTA EBITDATA NetFATA lnTA GPDI GUA GINGRCOL GINSTCOL GPERFOR , re
Prob > F = 0.0000
F( 1, 386) = 48.403
H0: no first-order autocorrelation
Wooldridge test for autocorrelation in panel data
. xtserial TDTA PBY DepTA EBITDATA NetFATA lnTA GPDI GUA GINGRCOL GINSTCOL GPERFOR
GINGRCOL -0.0471 0.0335 -0.0594 0.0323 -0.2177 -0.7172 0.3891 -0.4952 0.1332 1.0000
GINSTCOL -0.0043 -0.0517 -0.0109 0.0716 -0.1261 0.1503 -0.4234 0.3160 1.0000
GPERFOR 0.0080 -0.0643 0.0458 0.0461 0.2663 0.6383 0.0669 1.0000
GPDI -0.0125 0.0107 0.0226 0.0464 0.1215 -0.4813 1.0000
GUA 0.0253 -0.0529 0.0462 -0.0060 0.1568 1.0000
lnTA -0.1871 -0.2006 0.0664 0.1058 1.0000
NetFATA -0.0390 0.0330 0.1231 1.0000
EBITDATA 0.0536 0.0154 1.0000
DepTA 0.4998 1.0000
PBY 1.0000

PBY DepTA EBITDATA NetFATA lnTA GUA GPDI GPERFOR GINSTCOL GINGRCOL
(obs=1211)
. correlate PBY DepTA EBITDATA NetFATA lnTA GUA GPDI GPERFOR GINSTCOL GINGRCOL