. hausman FE RE, constant sigmamore
---- Coefficients ----
| (b) (B) (b-B) sqrt(diag(V_b-V_B))
| FE RE Difference S.E.
-------------+----------------------------------------------------------------
Escore | -.035016 -.1463142 .1112983 .0523231
Sscore | -.0818201 -.1024889 .0206688 .0304015
Gscore | .132224 .0253786 .1068454 .0242963
_cons | 1.864511 2.748634 -.8841227 .1916242
------------------------------------------------------------------------------
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(4) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 24.21
Prob>chi2 = 0.0001 //选用固定效应模型
(V_b-V_B is not positive definite)
*进行固定效应回归,控制到个体层面
reghdfe TobinQA Escore Sscore Gscore , absorb(year stkcd) vce(cluster stkcd)
(dropped 652 singleton observations)
(MWFE estimator converged in 8 iterations)
HDFE Linear regression Number of obs = 18,635
Absorbing 2 HDFE groups F( 3, 3685) = 3.54
Statistics robust to heteroskedasticity Prob > F = 0.0141
R-squared = 0.3082
【ESG】初步回归结果(Hausman检验+固定效应)
最新推荐文章于 2023-02-25 10:39:41 发布
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