I am a business student currently writing a thesis about the impact of global cities (dummy variable 0/1 compared to non-global cities) on the financial performance of a firm (return on sales/ROS). This forum has helped me a lot to get to know Stata, however I am currently still encountering some issues. I hope that somebody will be able to help me.
I am using Stata 13.0.
Firstly, I run an xtreg random effect analysis because my independent variable is a constant factor (it always remains 0 or 1), and therefore a fixed effects analysis will leave this variable out of the equation. I also am using some control variables such as industry and country dummies. However when adding these I am experiencing some problems.
When running an xtreg with only my IV and DV I get the following. This looks fine as the model is significant and global cities have a positive impact on ROS.
Code:
xtreg ROS GlobalCity, re
Random-effects GLS regression Number of obs = 1455
Group variable: idc Number of groups = 291
R-sq: within = . Obs per group: min = 5
between = 0.0173 avg = 5.0
overall = 0.0149 max = 5
Wald chi2(1) = 5.09
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0241
------------------------------------------------------------------------------
ROS | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
GlobalCity | 1.100776 .4880058 2.26 0.024 .1443017 2.057249
_cons | .1387871 .2758799 0.50 0.615 -.4019275 .6795017
-------------+----------------------------------------------------------------
sigma_u | 3.8025866
sigma_e | 1.7465031
rho | .8257976 (fraction of variance due to u_i)
------------------------------------------------------------------------------
Code:
tabulate Country_Factor, generate (Country_Dummy)
Country_Fac |
tor | Freq. Percent Cum.
------------+-----------------------------------
1 | 115 7.90 7.90
2 | 155 10.65 18.56
3 | 105 7.22 25.77
4 | 755 51.89 77.66
5 | 5 0.34 78.01
6 | 15 1.03 79.04
7 | 200 13.75 92.78
8 | 20 1.37 94.16
9 | 15 1.03 95.19
10 | 10 0.69 95.88
11 | 10 0.69 96.56
12 | 50 3.44 100.00
------------+-----------------------------------
Total | 1,455 100.00
. tabulate Industry_Factor, generate (Industry_Dummy)
Industry | Freq. Percent Cum.
------------+-----------------------------------
111 | 5 0.34 0.34
1051 | 5 0.34 0.69
1061 | 5 0.34 1.03
1083 | 5 0.34 1.38
1089 | 10 0.69 2.07
1105 | 5 0.34 2.41
1106 | 15 1.03 3.45
1200 | 5 0.34 3.79
1729 | 5 0.34 4.14
2016 | 5 0.34 4.48
2020 | 5 0.34 4.83
2041 | 15 1.03 5.86
2059 | 5 0.34 6.21
2120 | 5 0.34 6.55
2229 | 5 0.34 6.90
2311 | 5 0.34 7.24
2351 | 15 1.03 8.28
2410 | 5 0.34 8.62
2711 | 5 0.34 8.97
2720 | 5 0.34 9.31
2790 | 10 0.69 10.00
2910 | 10 0.69 10.69
2931 | 5 0.34 11.03
3091 | 5 0.34 11.38
3299 | 5 0.34 11.72
3312 | 10 0.69 12.41
3511 | 20 1.38 13.79
3522 | 5 0.34 14.14
3600 | 5 0.34 14.48
4120 | 5 0.34 14.83
4211 | 5 0.34 15.17
4321 | 5 0.34 15.52
4329 | 10 0.69 16.21
4399 | 5 0.34 16.55
4511 | 15 1.03 17.59
4531 | 10 0.69 18.28
4619 | 10 0.69 18.97
4631 | 10 0.69 19.66
4643 | 5 0.34 20.00
4645 | 70 4.83 24.83
4651 | 15 1.03 25.86
4652 | 5 0.34 26.21
4669 | 10 0.69 26.90
4671 | 5 0.34 27.24
4690 | 45 3.10 30.34
4719 | 5 0.34 30.69
5110 | 5 0.34 31.03
5210 | 5 0.34 31.38
5229 | 35 2.41 33.79
5610 | 5 0.34 34.14
5629 | 5 0.34 34.48
5911 | 5 0.34 34.83
6110 | 10 0.69 35.52
6130 | 5 0.34 35.86
6190 | 15 1.03 36.90
6201 | 5 0.34 37.24
6202 | 30 2.07 39.31
6209 | 5 0.34 39.66
6311 | 5 0.34 40.00
6419 | 230 15.86 55.86
6420 | 15 1.03 56.90
6430 | 20 1.38 58.28
6492 | 85 5.86 64.14
6500 | 360 24.83 88.97
6612 | 10 0.69 89.66
6619 | 20 1.38 91.03
6622 | 5 0.34 91.38
6630 | 5 0.34 91.72
7010 | 10 0.69 92.41
7022 | 20 1.38 93.79
7111 | 15 1.03 94.83
7311 | 5 0.34 95.17
7490 | 10 0.69 95.86
7820 | 5 0.34 96.21
8220 | 5 0.34 96.55
8299 | 40 2.76 99.31
9609 | 10 0.69 100.00
------------+-----------------------------------
Total | 1,450 100.00
Code:
xtreg ROS GlobalCity Country_Dummy* Industry_Dummy*, re
note: Country_Dummy12 omitted because of collinearity
note: Industry_Dummy77 omitted because of collinearity
Random-effects GLS regression Number of obs = 1450
Group variable: idc Number of groups = 290
R-sq: within = 0.0000 Obs per group: min = 5
between = 0.0617 avg = 5.0
overall = 0.0532 max = 5
Wald chi2(88) = 13.22
corr(u_i, X) = 0 (assumed) Prob > chi2 = 1.0000
----------------------------------------------------------------------------------
ROS | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-----------------+----------------------------------------------------------------
GlobalCity | .3391345 1.282229 0.26 0.791 -2.173989 2.852258
Country_Dummy1 | 1.562019 2.184051 0.72 0.474 -2.718641 5.84268
Country_Dummy2 | -1.245224 1.972746 -0.63 0.528 -5.111736 2.621287
Country_Dummy3 | -1.344219 2.261727 -0.59 0.552 -5.777123 3.088685
Country_Dummy4 | -1.130046 1.928725 -0.59 0.558 -4.910278 2.650186
Country_Dummy5 | .3966315 5.870611 0.07 0.946 -11.10955 11.90282
Country_Dummy6 | -1.752893 3.669634 -0.48 0.633 -8.945244 5.439458
Country_Dummy7 | .1209821 2.049069 0.06 0.953 -3.89512 4.137084
Country_Dummy8 | .1797224 2.735588 0.07 0.948 -5.181932 5.541376
Country_Dummy9 | -.0008228 3.065887 -0.00 1.000 -6.009851 6.008205
Country_Dummy10 | .3278383 3.584361 0.09 0.927 -6.69738 7.353057
Country_Dummy11 | -.012992 3.562844 -0.00 0.997 -6.996039 6.970055
Country_Dummy12 | 0 (omitted)
Industry_Dummy1 | -.6098202 5.746399 -0.11 0.915 -11.87256 10.65292
Industry_Dummy2 | -.1529797 5.570622 -0.03 0.978 -11.0712 10.76524
Industry_Dummy3 | -.2127137 5.570622 -0.04 0.970 -11.13093 10.70551
Industry_Dummy4 | -.1667448 5.570622 -0.03 0.976 -11.08496 10.75147
Industry_Dummy5 | -.1394581 4.548394 -0.03 0.976 -9.054147 8.77523
Industry_Dummy6 | -.1183433 5.746399 -0.02 0.984 -11.38108 11.14439
Industry_Dummy7 | .0889443 4.152097 0.02 0.983 -8.049016 8.226904
Industry_Dummy8 | -.1722452 5.570622 -0.03 0.975 -11.09046 10.74597
Industry_Dummy9 | -.158284 5.570622 -0.03 0.977 -11.0765 10.75993
Industry_Dummy10 | -.2142297 5.570622 -0.04 0.969 -11.13245 10.70399
Industry_Dummy11 | -.1148881 5.570622 -0.02 0.984 -11.03311 10.80333
Industry_Dummy12 | -.0897403 4.152097 -0.02 0.983 -8.2277 8.04822
Industry_Dummy13 | -.2978806 5.570622 -0.05 0.957 -11.2161 10.62034
Industry_Dummy14 | -.0188759 5.570622 -0.00 0.997 -10.93709 10.89934
Industry_Dummy15 | .0301024 5.570622 0.01 0.996 -10.88812 10.94832
Industry_Dummy16 | -.263337 5.570622 -0.05 0.962 -11.18156 10.65488
Industry_Dummy17 | -1.430459 4.636882 -0.31 0.758 -10.51858 7.657663
Industry_Dummy18 | -.8555878 5.570622 -0.15 0.878 -11.77381 10.06263
Industry_Dummy19 | -.1962719 5.570622 -0.04 0.972 -11.11449 10.72195
Industry_Dummy20 | -.0506228 5.570622 -0.01 0.993 -10.96884 10.8676
Industry_Dummy21 | -.2127382 4.548394 -0.05 0.963 -9.127427 8.70195
Industry_Dummy22 | -.1791014 4.548394 -0.04 0.969 -9.09379 8.735587
Industry_Dummy23 | -.1372209 5.570622 -0.02 0.980 -11.05544 10.781
Industry_Dummy24 | -.1514464 5.570622 -0.03 0.978 -11.06967 10.76677
Industry_Dummy25 | .4825144 6.516916 0.07 0.941 -12.29041 13.25543
Industry_Dummy26 | -.1363298 4.548394 -0.03 0.976 -9.051018 8.778359
Industry_Dummy27 | -.0946659 4.147926 -0.02 0.982 -8.224452 8.03512
Industry_Dummy28 | -1.60991 5.723206 -0.28 0.778 -12.82719 9.607367
Industry_Dummy29 | .1384163 5.880819 0.02 0.981 -11.38778 11.66461
Industry_Dummy30 | -3.22646 5.744805 -0.56 0.574 -14.48607 8.03315
Industry_Dummy31 | -1.470912 5.818279 -0.25 0.800 -12.87453 9.932706
Industry_Dummy32 | -.2251125 5.570622 -0.04 0.968 -11.14333 10.69311
Industry_Dummy33 | -.1444849 4.548394 -0.03 0.975 -9.059173 8.770204
Industry_Dummy34 | -.1917948 5.570622 -0.03 0.973 -11.11001 10.72642
Industry_Dummy35 | -.189695 4.152097 -0.05 0.964 -8.327655 7.948265
Industry_Dummy36 | -.1832801 4.548394 -0.04 0.968 -9.097969 8.731408
Industry_Dummy37 | -.0977158 4.548394 -0.02 0.983 -9.012404 8.816973
Industry_Dummy38 | -.2629284 4.548394 -0.06 0.954 -9.177617 8.65176
Industry_Dummy39 | -.2186096 5.570622 -0.04 0.969 -11.13683 10.69961
Industry_Dummy40 | -.1766929 3.438263 -0.05 0.959 -6.915564 6.562178
Industry_Dummy41 | -.1798694 4.152097 -0.04 0.965 -8.317829 7.958091
Industry_Dummy42 | -.1562076 5.570622 -0.03 0.978 -11.07443 10.76201
Industry_Dummy43 | -.1385153 4.548394 -0.03 0.976 -9.053204 8.776173
Industry_Dummy44 | -.2096007 5.570622 -0.04 0.970 -11.12782 10.70862
Industry_Dummy45 | -.182441 3.555643 -0.05 0.959 -7.151374 6.786492
Industry_Dummy46 | -1.735188 5.723206 -0.30 0.762 -12.95247 9.482089
Industry_Dummy47 | -1.785664 5.723206 -0.31 0.755 -13.00294 9.431613
Industry_Dummy48 | -.2227656 5.570622 -0.04 0.968 -11.14098 10.69545
Industry_Dummy49 | -.1816429 3.646828 -0.05 0.960 -7.329295 6.966009
Industry_Dummy50 | -.2129014 5.570622 -0.04 0.970 -11.13112 10.70532
Industry_Dummy51 | -1.511986 5.818279 -0.26 0.795 -12.9156 9.891632
Industry_Dummy52 | -.1250469 5.570622 -0.02 0.982 -11.04327 10.79317
Industry_Dummy53 | -.156278 4.548394 -0.03 0.973 -9.070966 8.75841
Industry_Dummy54 | -.2354837 5.570622 -0.04 0.966 -11.1537 10.68274
Industry_Dummy55 | -.0929688 4.182443 -0.02 0.982 -8.290406 8.104468
Industry_Dummy56 | -.1025349 5.570622 -0.02 0.985 -11.02075 10.81568
Industry_Dummy57 | -.0560073 3.713748 -0.02 0.988 -7.33482 7.222805
Industry_Dummy58 | -.3288409 5.570622 -0.06 0.953 -11.24706 10.58938
Industry_Dummy59 | -.1872737 5.570622 -0.03 0.973 -11.10549 10.73095
Industry_Dummy60 | -1.256073 3.452591 -0.36 0.716 -8.023027 5.510881
Industry_Dummy61 | -1.601539 4.354671 -0.37 0.713 -10.13654 6.933459
Industry_Dummy62 | .3996769 3.939025 0.10 0.919 -7.32067 8.120024
Industry_Dummy63 | -.962859 3.561646 -0.27 0.787 -7.943557 6.017839
Industry_Dummy64 | .4252307 3.382064 0.13 0.900 -6.203493 7.053955
Industry_Dummy65 | -.7119034 4.595509 -0.15 0.877 -9.718935 8.295128
Industry_Dummy66 | .1691161 3.955914 0.04 0.966 -7.584333 7.922565
Industry_Dummy67 | -.0209469 5.570622 -0.00 0.997 -10.93917 10.89727
Industry_Dummy68 | .1740366 5.570622 0.03 0.975 -10.74418 11.09226
Industry_Dummy69 | -.1546994 4.548394 -0.03 0.973 -9.069388 8.759989
Industry_Dummy70 | -.1687401 3.939025 -0.04 0.966 -7.889087 7.551607
Industry_Dummy71 | -.1802139 4.152097 -0.04 0.965 -8.318174 7.957746
Industry_Dummy72 | -.1175211 5.570622 -0.02 0.983 -11.03574 10.8007
Industry_Dummy73 | -.1624274 4.548394 -0.04 0.972 -9.077116 8.752261
Industry_Dummy74 | -.2068212 5.570622 -0.04 0.970 -11.12504 10.7114
Industry_Dummy75 | -.1991742 5.570622 -0.04 0.971 -11.11739 10.71904
Industry_Dummy76 | .1478236 3.595821 0.04 0.967 -6.899856 7.195504
Industry_Dummy77 | 0 (omitted)
_cons | 1.349589 3.75019 0.36 0.719 -6.000649 8.699826
-----------------+----------------------------------------------------------------
sigma_u | 4.4805976
sigma_e | 1.7494758
rho | .86771223 (fraction of variance due to u_i)
----------------------------------------------------------------------------------
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