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Statistics/Data Analysis

___ ____ ____ ____ ____ (R)

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___/ / /___/ / /___/ 14.2 Copyright 1985-2015 StataCorp LLC
Statistics/Data Analysis StataCorp
4905 Lakeway Drive
College Station, Texas 77845 USA
800-STATA-PC http://www.stata.com
979-696-4600 [email protected]
979-696-4601 (fax)

Single-user Stata perpetual license:

Serial number: 10699393
Licensed to: Andrey

Notes:
1. Unicode is supported; see help unicode_advice.

1 . import excel "C:\Users\agamr\Downloads\Copy of FYP Data (Agam, Alizain, Saad)(1).xlsx", sheet

2 . regress SP NPM ROE DER FS

Source SS df MS Number of obs = 1,386

F(4, 1381) = 45.42
Model 9141677.57 4 2285419.39 Prob > F = 0.0000
Residual 69488422.3 1,381 50317.4673 R-squared = 0.1163
Adj R-squared = 0.1137
Total 78630099.9 1,385 56772.6353 Root MSE = 224.32

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

NPM -.8659429 .3338108 -2.59 0.010 -1.520774 -.2111118

ROE 1.421532 .3653625 3.89 0.000 .7048063 2.138257
DER -.2969472 .0642371 -4.62 0.000 -.42296 -.1709343
FS 45.68049 4.150986 11.00 0.000 37.53757 53.82341
_cons -587.8668 67.53487 -8.70 0.000 -720.3489 -455.3848

3 . predict residuals
(option xb assumed; fitted values)

4 . jb residual
Jarque-Bera normality test: 406.4 Chi(2) 5.6e-89
Jarque-Bera test for Ho: normality:

5 . vif

Variable VIF 1/VIF

ROE 1.25 0.798750

NPM 1.22 0.819705
DER 1.11 0.903914
FS 1.06 0.944878

Mean VIF 1.16

6 . imtest, white

White's test for Ho: homoskedasticity

against Ha: unrestricted heteroskedasticity

chi2(14) = 79.09
Prob > chi2 = 0.0000

Cameron & Trivedi's decomposition of IM-test

 Tuesday April 2 03:48:41 2024 Page 2

Source chi2 df p

Heteroskedasticity 79.09 14 0.0000

Skewness 73.10 4 0.0000
Kurtosis 20.19 1 0.0000

Total 172.38 19 0.0000

7 . xtset CompanyName Year

panel variable: CompanyName (strongly balanced)
time variable: Year, 2010 to 2023
delta: 1 unit

8 . xtreg SP NPM ROE DER FS, fe

Fixed-effects (within) regression Number of obs = 1,386

Group variable: CompanyName Number of groups = 99

R-sq: Obs per group:

within = 0.1799 min = 14
between = 0.0777 avg = 14.0
overall = 0.0892 max = 14

F(4,1283) = 70.36
corr(u_i, Xb) = -0.4812 Prob > F = 0.0000

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

NPM .0840404 .2569461 0.33 0.744 -.4200402 .588121

ROE 1.111047 .2779143 4.00 0.000 .5658308 1.656263
DER .0814048 .0557151 1.46 0.144 -.0278979 .1907075
FS 112.4137 6.866258 16.37 0.000 98.9434 125.884
_cons -1716.308 112.9881 -15.19 0.000 -1937.97 -1494.646

sigma_u 212.37169
sigma_e 136.94332
rho .70631254 (fraction of variance due to u_i)

F test that all u_i=0: F(98, 1283) = 24.72 Prob > F = 0.0000

9 . estimates store fixed

10 . xtreg SP NPM ROE DER FS, re

Random-effects GLS regression Number of obs = 1,386

Group variable: CompanyName Number of groups = 99

R-sq: Obs per group:

within = 0.1795 min = 14
between = 0.0800 avg = 14.0
overall = 0.0911 max = 14

Wald chi2(4) = 254.23

corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000

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

NPM -.0040336 .2569406 -0.02 0.987 -.507628 .4995608

ROE 1.047594 .2777918 3.77 0.000 .5031319 1.592056
DER .050167 .0552228 0.91 0.364 -.0580677 .1584018
FS 94.60359 6.10606 15.49 0.000 82.63593 106.5712
_cons -1420.028 101.9002 -13.94 0.000 -1619.748 -1220.307

sigma_u 170.54511
sigma_e 136.94332
rho .60798865 (fraction of variance due to u_i)
 Tuesday April 2 03:48:41 2024 Page 3

11 . estimates store random

12 . hausman fixed .

Coefficients
(b) (B) (b-B) sqrt(diag(V_b-V_B))
fixed random Difference S.E.

NPM .0840404 -.0040336 .088074 .0016703

ROE 1.111047 1.047594 .0634533 .0082502
DER .0814048 .050167 .0312378 .0073901
FS 112.4137 94.60359 17.81013 3.140306

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)
= 1.12
Prob>chi2 = 0.8913
(V_b-V_B is not positive definite)

13 . hausman random .
the two models need to be different
r(198);

14 . ssc install asdoc

checking asdoc consistency and verifying not already installed...
installing into c:\ado\plus\...
installation complete.

15 . asdoc xtreg SP NPM ROE DER FS, fe

Fixed-effects (within) regression Number of obs = 1,386

Group variable: CompanyName Number of groups = 99

R-sq: Obs per group:

within = 0.1799 min = 14
between = 0.0777 avg = 14.0
overall = 0.0892 max = 14

F(4,1283) = 70.36
corr(u_i, Xb) = -0.4812 Prob > F = 0.0000

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

NPM .0840404 .2569461 0.33 0.744 -.4200402 .588121

ROE 1.111047 .2779143 4.00 0.000 .5658308 1.656263
DER .0814048 .0557151 1.46 0.144 -.0278979 .1907075
FS 112.4137 6.866258 16.37 0.000 98.9434 125.884
_cons -1716.308 112.9881 -15.19 0.000 -1937.97 -1494.646

sigma_u 212.37169
sigma_e 136.94332
rho .70631254 (fraction of variance due to u_i)

F test that all u_i=0: F(98, 1283) = 24.72 Prob > F = 0.0000
(note: file Myfile.doc not found)
Click to Open File: Myfile.doc
 Tuesday April 2 03:48:42 2024 Page 4

16 . summarize

Variable Obs Mean Std. Dev. Min Max

CompanyName 1,386 50 28.5877 1 99

Year 1,386 2016.5 4.032584 2010 2023
SP 1,386 150.7298 238.2701 .97 1771.8
NPM 1,386 8.537835 19.94368 -213.57 378.08
ROE 1,386 14.47964 18.45887 -119.69 153.59

ROA 1,386 9.422013 7.776309 -35.32 49.7

DER 1,386 80.15918 98.69272 0 1221.08
TA 1,386 4.25e+07 1.04e+08 78104 1.42e+09
FS 1,386 16.40109 1.49381 11.2658 21.07678
residuals 1,386 150.7298 81.24339 -322.237 400.7452

_est_fixed 1,386 1 0 1 1
_est_random 1,386 1 0 1 1

17 . summarize SP NPM ROE DER FS

Variable Obs Mean Std. Dev. Min Max

SP 1,386 150.7298 238.2701 .97 1771.8

NPM 1,386 8.537835 19.94368 -213.57 378.08
ROE 1,386 14.47964 18.45887 -119.69 153.59
DER 1,386 80.15918 98.69272 0 1221.08
FS 1,386 16.40109 1.49381 11.2658 21.07678

18 . regress SP NPM ROE DER FS

Source SS df MS Number of obs = 1,386

F(4, 1381) = 45.42
Model 9141677.57 4 2285419.39 Prob > F = 0.0000
Residual 69488422.3 1,381 50317.4673 R-squared = 0.1163
Adj R-squared = 0.1137
Total 78630099.9 1,385 56772.6353 Root MSE = 224.32

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

NPM -.8659429 .3338108 -2.59 0.010 -1.520774 -.2111118

ROE 1.421532 .3653625 3.89 0.000 .7048063 2.138257
DER -.2969472 .0642371 -4.62 0.000 -.42296 -.1709343
FS 45.68049 4.150986 11.00 0.000 37.53757 53.82341
_cons -587.8668 67.53487 -8.70 0.000 -720.3489 -455.3848

19 . correlate SP NPM ROE DER FS

(obs=1,386)

SP NPM ROE DER FS

SP 1.0000
NPM 0.0547 1.0000
ROE 0.1675 0.3846 1.0000
DER -0.1444 -0.2151 -0.2839 1.0000
FS 0.2934 0.2040 0.1757 -0.0199 1.0000