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AdvancedEconometrics.do
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AdvancedEconometrics.do
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********************************************************************************************************
* Fixed Effect regression
********************************************************************************************************
xtreg ROA LnTA GenderIndex NationalityIndex AgeIndex SkillsIndex BoardSize pFemale dFemale, fe
xtreg TobinsQ LnTA GenderIndex NationalityIndex AgeIndex SkillsIndex BoardSize pFemale dFemale, fe
* storing estimates
estimates store fixed
********************************************************************************************************
* Random Effect regression
********************************************************************************************************
xtreg ROA LnTA GenderIndex NationalityIndex AgeIndex SkillsIndex BoardSize pFemale dFemale, re
xtreg TobinsQ LnTA GenderIndex NationalityIndex AgeIndex SkillsIndex BoardSize pFemale dFemale, re
* storing estimates
estimates store random
********************************************************************************************************
* Hausman WU test to compare RE and FE
********************************************************************************************************
hausman fixed random
********************************************************************************************************
* Plotting the results
********************************************************************************************************
*residual plot
rvfplot, yline(0)
********************************************************************************************************
* Breush pegan test for detecting heteroskedasticity
********************************************************************************************************
*H0: there is no heterskedasticity
estat hettest
********************************************************************************************************
* Heckman 2-Step for solving selection bias
********************************************************************************************************
heckman ROA (LnTA GenderIndex NationalityIndex AgeIndex SkillsIndex BoardSize pFemale dFemale), select (dy = (LnTA GenderIndex NationalityIndex AgeIndex SkillsIndex BoardSize pFemale dFemale)) twostep
margins, dydx(x) atmeans predict(e(0,.))