I have a panel data set with 77 variables and about 68,184 observations for the years 2014 - 2018. I use dummy variables for the independent variables firm size (kleine_KapG große_KapG) and industry sector (LuF BB, etc.). With these, I want to run a regression to find the effect on the tax burden (ETR) of the firms. For the dummy variables, I have set 3rd industry and medium firms as the base variable. I use xtreg in Stata 15.1.
My question is, how can I determine if industry or company size has a significant impact on ETR?
Can I only assess siginficance on dummy variables by looking at the p-values of the individual coefficients? When I do this, I can see that 9 of the 18 industry sectors are statistically significant at the 5% level. So does this mean that overall we cannot find a clear significant impact of industry sectors on ETR?
Regarding firm size, the dummy "kleine_KapG" seems to be insignificant. Does this mean that I cannot say with certainty here that the small size group exerts a significant influence on the tax ratio (ETR)?
And how can I interpret Prob > chi2 = 0.0000 in this context? As far as I know, the Wald test is not possible with dummy variables (if that is what I think it is)
Below is my regression output:
Code:
xtreg ETR i.industry i.size, re
Random-effects GLS regression Number of obs = 68,184
Group variable: ID Number of groups = 17,613
R-sq: Obs per group:
within = 0.0000 min = 1
between = 0.0920 avg = 3.9
overall = 0.0593 max = 5
Wald chi2(20) = 1698.32
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
----------------------------------------------------------------------------------------------------------------------------------------------------------------
ETR | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-----------------------------------------------------------------------------------------------+----------------------------------------------------------------
industry |
1. Land- und Forstwirtschaft, Fischerei | -2.256599 1.561742 -1.44 0.148 -5.317557 .8043591
2. Bergbau und Gewinnung von Steinen und Erden | -.7683471 1.753351 -0.44 0.661 -4.204851 2.668157
4. Energieversorgung | -3.122808 .4740867 -6.59 0.000 -4.052001 -2.193615
5. Wasserversorgung; Abwasser- und Abfallentsorgung und Beseitigung von Umweltverschmutzungen | .7762757 .6979841 1.11 0.266 -.5917479 2.144299
6. Baugewerbe/Bau | -.8002177 .4634916 -1.73 0.084 -1.708644 .1082091
7. Handel; Instandhaltung und Reparatur von Kraftfahrzeugen | 1.42259 .2572426 5.53 0.000 .9184044 1.926777
8. Verkehr und Lagerei | -.1100255 .4976104 -0.22 0.825 -1.085324 .865273
9. Gastgewerbe/Beherbergung und Gastronomie | 1.345142 1.065188 1.26 0.207 -.7425888 3.432872
10. Information und Kommunikation | 1.43946 .4952618 2.91 0.004 .4687649 2.410155
11. Erbringung von Finanz- und Versicherungsdienstleistungen | 1.752497 .5525703 3.17 0.002 .6694789 2.835515
12. Grundstücks- und Wohnungswesen | -8.606384 .5531698 -15.56 0.000 -9.690577 -7.522192
13. Erbringung von freiberuflichen, wissenschaftlichen und technischen Dienstleistungen | .952567 .3197291 2.98 0.003 .3259095 1.579224
14. Erbringung von sonstigen wirtschaftlichen Dienstleistungen | 1.294269 .479638 2.70 0.007 .3541957 2.234342
15. Öffentliche Verwaltung, Verteidigung; Sozialversicherung | 1.056461 2.118098 0.50 0.618 -3.094935 5.207857
16. Erziehung und Unterricht | -12.56339 1.330064 -9.45 0.000 -15.17026 -9.956509
17. Gesundheits- und Sozialwesen | -15.35155 .4831442 -31.77 0.000 -16.29849 -14.4046
18. Kunst, Unterhaltung und Erholung | 1.06332 1.146832 0.93 0.354 -1.184429 3.31107
19. Erbringung von sonstigen Dienstleistungen | -.7305772 .8222466 -0.89 0.374 -2.342151 .8809965
|
size |
1. große KapG | -.8383229 .2491426 -3.36 0.001 -1.326633 -.3500124
2. kleine KapG | .1314099 .1553299 0.85 0.398 -.1730311 .4358509
|
_cons | 29.89383 .1793779 166.65 0.000 29.54225 30.2454
-----------------------------------------------------------------------------------------------+----------------------------------------------------------------
sigma_u | 10.978087
sigma_e | 9.8806548
rho | .55246733 (fraction of variance due to u_i)
----------------------------------------------------------------------------------------------------------------------------------------------------------------Best wishes,
Can
0 Response to Dummy variables - how to determine significance
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