Hi,
In the following system GMM model based on a panel dataset of 1696 firms across 16 years, I am interested in calculating the ultimate coefficient for lagged cash holdings (CashHoldings1) and promoter.ownership (WPromoterS).
Below is the output of this model.
Below are my questions.
1. I am aware that calculation of coefficient of promoter ownership can be calculated for a certain level of lagged cash holdings (say, 0.04) in this way: .0359299 -.9789452*(0.04) = -0.003227908. However, I would like to know a convenient and short way of calculating the t-statistic for this calculated coefficient (specially considering that this is a system GMM regression on an unbalanced panel dataset).
2. Following general practice, I plug in the mean value of lagged cash holdings (i.e. 0.04) in the above calculation. I would like to know if there is another standard practice regarding this. Is there any other alternative than the mean value?
Thanks!
In the following system GMM model based on a panel dataset of 1696 firms across 16 years, I am interested in calculating the ultimate coefficient for lagged cash holdings (CashHoldings1) and promoter.ownership (WPromoterS).
Code:
xtdpdgmm CashHoldings1 L.CashHoldings1 Size1 Leverage1 WPromoterS c.WPromoterS#c.L.CashHoldings1, gmmiv(L.CashHoldings1, lag(1 4) model(fodev)) gmmiv(Leverage1 c.WPromoterS#c.L.CashHoldings1, lag(1 7) collapse model(fodev)) iv(Size1 WPromoterS, model(level)) teffects twostep vce(cluster CompanyID) nofootnote
Code:
Generalized method of moments estimation
Fitting full model:
Step 1 f(b) = .00033582
Step 2 f(b) = .06917731
Group variable: CompanyID Number of obs = 21705
Time variable: Year Number of groups = 1676
Moment conditions: linear = 77 Obs per group: min = 1
nonlinear = 0 avg = 12.95048
total = 77 max = 15
(Std. Err. adjusted for 1,676 clusters in CompanyID)
---------------------------------------------------------------------------------------
| WC-Robust
CashHoldings1 | Coef. Std. Err. z P>|z| [95% Conf. Interval]
----------------------+----------------------------------------------------------------
CashHoldings1 |
L1. | .970056 .2444395 3.97 0.000 .4909633 1.449149
|
Size1 | -.000663 .0003608 -1.84 0.066 -.0013701 .0000442
Leverage1 | -.029561 .0094004 -3.14 0.002 -.0479854 -.0111365
WPromoterSharesin1 | .0359299 .0162391 2.21 0.027 .0041019 .067758
|
c.WPromoterSharesin1#|
cL.CashHoldings1 | -.9789452 .4334874 -2.26 0.024 -1.828565 -.1293254
|
1. I am aware that calculation of coefficient of promoter ownership can be calculated for a certain level of lagged cash holdings (say, 0.04) in this way: .0359299 -.9789452*(0.04) = -0.003227908. However, I would like to know a convenient and short way of calculating the t-statistic for this calculated coefficient (specially considering that this is a system GMM regression on an unbalanced panel dataset).
2. Following general practice, I plug in the mean value of lagged cash holdings (i.e. 0.04) in the above calculation. I would like to know if there is another standard practice regarding this. Is there any other alternative than the mean value?
Thanks!