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Waccsplit 2

The document details the results of using a two-step system GMM estimation to analyze the relationship between a firm's weighted average cost of capital and various independent variables. The model found the lagged weighted average cost of capital to be highly significant, and found several other variables like growth opportunities and family ownership to be significantly related to the dependent variable. Diagnostic tests did not reveal issues with the model specification.

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sajid gul
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43 views2 pages

Waccsplit 2

The document details the results of using a two-step system GMM estimation to analyze the relationship between a firm's weighted average cost of capital and various independent variables. The model found the lagged weighted average cost of capital to be highly significant, and found several other variables like growth opportunities and family ownership to be significantly related to the dependent variable. Diagnostic tests did not reveal issues with the model specification.

Uploaded by

sajid gul
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Tuesday November 1 13:24:11 2016 Page 1

Statistics/Data Analysis

name: <unnamed>
log: D:\Stata-12\Stata-12\waccsplit2.smcl
log type: smcl
opened on: 1 Nov 2016, 13:23:59

1 . xtabond2 WACC l.WACC brdscr audscr dscscr debtrat age grta szta insdown roe family
> if threetoeight, gmm(l.WACC, lag(2 8)) iv (l.lncap spltrol brdscr hl l.fmb l.debtra
> t l.age roe cgs) twostep small
Favoring speed over space. To switch, type or click on mata: mata set matafavor space,
> perm.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estim
> ation.
Difference-in-Sargan/Hansen statistics may be negative.

Dynamic panel-data estimation, two-step system GMM

Group variable: id Number of obs = 532


Time variable : year Number of groups = 146
Number of instruments = 19 Obs per group: min = 1
F(11, 145) = 60.37 avg = 3.64
Prob > F = 0.000 max = 5

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

WACC
L1. .7089169 .1417139 5.00 0.000 .4288252 .9890087

brdscr -.014308 .0437746 -0.33 0.744 -.1008268 .0722108


audscr .2256418 .1452148 1.55 0.122 -.0613695 .512653
dscscr -.0991698 .0553977 -1.79 0.076 -.208661 .0103214
debtrat -.0104274 .0145514 -0.72 0.475 -.0391876 .0183328
age -.0005283 .0004939 -1.07 0.286 -.0015044 .0004478
grta -.1260129 .0476776 -2.64 0.009 -.2202458 -.03178
szta .0032522 .0073133 0.44 0.657 -.0112023 .0177068
insdown -.0005291 .0007404 -0.71 0.476 -.0019925 .0009342
roe -.0001641 .0000715 -2.30 0.023 -.0003054 -.0000228
family .1005815 .0498635 2.02 0.046 .0020284 .1991346
_cons -.117755 .1389812 -0.85 0.398 -.3924457 .1569357

Warning: Uncorrected two-step standard errors are unreliable.

Instruments for first differences equation


Standard
D.(L.lncap spltrol brdscr hl L.fmb L.debtrat L.age roe cgs)
GMM-type (missing=0, separate instruments for each period unless collapsed)
L(2/8).L.WACC
Instruments for levels equation
Standard
L.lncap spltrol brdscr hl L.fmb L.debtrat L.age roe cgs
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL.L.WACC

Arellano-Bond test for AR(1) in first differences: z = -3.22 Pr > z = 0.001


Arellano-Bond test for AR(2) in first differences: z = -1.37 Pr > z = 0.170

Sargan test of overid. restrictions: chi2(7) = 2.03 Prob > chi2 = 0.958
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(7) = 2.38 Prob > chi2 = 0.936
(Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:


GMM instruments for levels
Hansen test excluding group: chi2(4) = 1.68 Prob > chi2 = 0.794
Difference (null H = exogenous): chi2(3) = 0.70 Prob > chi2 = 0.874
Tuesday November 1 13:24:11 2016 Page 2

2 . log close
name: <unnamed>
log: D:\Stata-12\Stata-12\waccsplit2.smcl
log type: smcl
closed on: 1 Nov 2016, 13:24:04

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