I am deploying a 2SLS-regression model, including an interaction term of which one of the variables is endogenous. The 'normal' firm fixed regression looks as follows:
- xtreg logtobin_w c.ESGcompensation##c.tenure femaledummy independent boardsize total stock option logsales leverage roa_w ESGscore i.year, fe vce(cluster gvkey)
Now, I want to instrument ESGcompensation by two variabels: (i) firm age and (ii) Democratic incorporation. I wrote the regression this way:
- xtivreg logtobin_w c.ESGcompensation#c.tenure tenure femaledummy independent boardsize total stock option logsales leverage roa_w ESGscore (ESGcompensation = Democratic newfirmage) i.year, fe vce(cluster gvkey)
But I am fairly sure I am doing something wrong. If I type the 2SLS without the interaction term, but just ESGcompensation and tenure separately, the SE are not all over the place like now. This is the data I use:
Code:
* Example generated by -dataex-. For more info, type help dataex
clear
input float(logtobin_w ESGcompensation tenure) double femaledummy float(independent boardsize) double total float(stock option logsales leverage roa_w) double ESGscore float(newfirmage Democratic)
1.1558828 . 8 0 .5714286 7 72.3852857142857 .6057111 .1042043 5.499428 0 .2657961 . 20 0
1.1422626 . 9 0 .5714286 7 68.07257142857144 .5851067 0 5.584323 .02556137 .19760756 . 21 0
1.0752021 . 10 0 .5714286 7 75.47514285714284 .47948804 0 5.714109 0 .29452696 . 22 0
1.5791208 . 11 0 .5714286 7 109.1454285714286 .54308146 .09639825 5.771877 0 .29452696 . 23 0
1.5791208 . 12 0 .5714286 7 137.56685714285712 .6172355 0 5.875835 0 .29452696 . 24 0
1.5791208 0 12.285714 0 .5714286 7 120.60425 .675511 0 5.882297 0 .29452696 17.150000000000002 25 0
1.5791208 0 9.428572 .14285714285714285 .8571429 7 145.77428571428572 .6818467 0 5.950583 0 .29452696 18.580000000000002 26 0
1.5791208 0 9.142858 .14285714285714285 .7142857 7 169.58271428571427 .7652187 0 6.00446 0 .29452696 18.539999999999996 27 0
1.5791208 0 10.142858 .14285714285714285 .7142857 7 204.672 .706848 0 6.072922 0 .2444313 19.960000000000004 28 0
.11830975 . 7.5 0 .8 10 149.98060000000004 .46696705 0 7.481996 .26053295 .11522503 . 39 1
-.18968147 . 7.727273 0 .8181818 11 219.32999999999996 .5876989 0 7.637475 .360874 .1014245 . 40 1
-.06206616 . 7.727273 0 .8181818 11 140.6865 .4085879 0 7.681145 .3316019 .11474566 . 41 1
-.017516488 . 8.727273 0 .8181818 11 194.15877777777777 .53255385 0 7.618251 .28824732 .11639009 . 42 1
.12475272 . 9.727273 0 .8181818 11 216.25611111111112 .566458 0 7.37419 .10165016 .05524752 . 43 1
-.016281042 . 10.727273 0 .8181818 11 227.16920000000002 .6065783 0 7.416138 .10269745 .094931 . 44 1
.1741487 0 10.75 .08333333333333333 .8333333 12 200.35781818181815 .5628625 0 7.477378 .10458081 .09853068 24.84 45 1
.3389418 0 9.583333 .08333333333333333 .8333333 12 259.40654545454544 .673653 0 7.466399 .11621959 .08296714 23.81 46 1
.08878828 0 10.583333 .08333333333333333 .8333333 12 229.38754545454546 .52313215 0 7.626473 .09339573 .10117321 22.62 47 1
.25403136 . 10.88889 .2222222222222222 .7777778 9 193.579375 .4208009 .007967662 8.159303 .090723 .10021309 . 42 1
.14002445 . 10.777778 .2222222222222222 .7777778 9 191.64550000000003 .4173591 0 8.35393 .1596086 .09434358 . 43 1
.0934423 . 11.125 .25 .75 8 172.728 .3859273 0 8.366432 .11501933 .086991 . 44 1
.25248697 . 11.625 .25 .75 8 209.17842857142858 .4302021 0 8.478303 .14857712 .08737394 . 45 1
.2312367 . 11.333333 .2222222222222222 .7777778 9 203.05887499999997 .452399 0 8.523732 .14583428 .08869533 . 46 1
.2410163 0 10.555555 .3333333333333333 .7777778 9 191.53179999999998 .52717096 0 8.496541 .07349521 .07093683 44.99 47 1
.4223332 1 8.8 .4 .9 10 221.24770000000007 .509961 0 8.545722 .11761354 .07710854 52.77999999999999 48 1
.3076631 1 5.2 .3 .9 10 211.35327272727267 .4411115 0 8.604032 .309028 .04490374 64.86 49 1
.14714135 1 6.2 .3 .9 10 216.6055454545454 .51059383 0 8.770625 .25885597 .0836113 62.92 50 1
.07419558 1 5.5 .1 .9 10 244.49409999999995 .6164427 .04347958 9.719985 .4871023 .11601787 33.63999999999999 20 0
.06643109 1 5.909091 .18181818181818182 .9090909 11 241.99258333333336 .6581218 0 9.756958 .4979375 .10996404 32.32999999999999 21 0
.07802799 1 5.909091 .18181818181818182 .9090909 11 241.38758333333328 .6837413 .012452656 9.800679 .5109491 .11322018 48.279999999999994 22 0
.14173843 1 6 .18181818181818182 .8181818 11 241.2415714285715 .6714888 0 9.673509 .520873 .10603549 46.63 23 0
.1302353 1 5.75 .16666666666666666 .8333333 12 263.4220833333334 .6856727 .019151457 9.74952 .5352872 .1068624 53.77999999999998 24 0
.08408073 1 5.3 .2 .9 10 210.902 .7036648 0 9.606832 .56464046 .1012483 55.67 25 0
.1263797 1 6.3 .2 .9 10 267.35460000000006 .6970428 0 9.516795 .56654394 .09385642 61.13000000000001 26 0
.13238694 1 6.333333 .2222222222222222 .8888889 9 263.3309 .6711769 .021848556 9.261984 .6031046 .10023557 56.25 27 0
.17884667 1 5.2 .2 .9 10 276.47060000000005 .6608428 .03797872 9.281358 .5934627 .10420959 58.79 28 0
.26515552 1 5.4 .2 0 10 272.9654 .6781358 .02747601 9.229064 .6079113 .09435925 66.46000000000001 29 0
.995069 0 1 .16666666666666666 .4166667 12 178.30518181818186 .6168469 0 7.209767 .8282158 .17114922 10.960000000000003 2 1
1.1261677 0 1.846154 .15384615384615385 .3076923 13 167.31469230769238 .6258101 0 7.372657 .8234904 .1911071 12.979999999999999 3 1
.8103512 0 2.7142856 .14285714285714285 .3571429 14 179.262 .6150885 0 7.685079 .7116417 .16222303 8.299999999999999 4 1
.8227933 0 3.4285715 .14285714285714285 .3571429 14 210.23685714285725 .6004798 0 7.855907 .6333416 .18927036 8.840000000000002 5 1
.5920174 0 4.071429 .14285714285714285 .4285714 14 203.77849999999992 .58526677 0 7.92141 .6381137 .1873952 10.389999999999999 6 1
.488306 0 5.071429 .14285714285714285 .4285714 14 226.03699999999995 .597411 0 7.939405 .621973 .1691388 11.349999999999996 7 1
.4217635 0 6.071429 .14285714285714285 .4285714 14 227.718 .6201565 0 7.996966 .5941147 .1659207 12.930000000000005 8 1
.24151987 0 6.666667 .13333333333333333 0 15 224.15514285714286 .6013603 0 8.026275 .5970024 .15614454 11.03 9 1
.14413108 . 5.714286 .2857142857142857 .8571429 7 124.90366666666668 .5311925 .11810346 6.535556 .3934799 .05836936 . 10 0
.0781733 . 6.428571 .2857142857142857 .8571429 7 155.00224999999998 .6532308 0 6.78837 .392425 .10627092 . 11 0
.51163256 . 7.428571 .2857142857142857 .8571429 7 182.63285714285715 .6799465 0 6.860612 .3070918 .12656121 . 12 0
.57345635 . 7.5 .25 .875 8 200.05199999999994 .6750845 0 6.919502 .2692162 .12898618 . 13 0
.6751149 . 8.5 .25 .875 8 202.46642857142862 .6668068 0 6.943149 .24741024 .12302981 . 14 0
.8274338 1 9.5 .25 .875 8 211.0524285714286 .6395615 0 7.288289 .2483031 .17592727 62.40999999999998 15 0
.7718683 1 10.5 .25 .875 8 216.194 .6245825 0 7.550779 .3057948 .18997523 53 16 0
.8822154 1 11.5 .25 .875 8 221.44957142857146 .6097144 0 7.595113 .25506696 .19632013 62.86000000000001 17 0
.8511686 1 12.5 .25 .875 8 219.89237499999993 .6141579 0 7.666725 .29517037 .172278 59.19 18 0
.8143271 . 4.3333335 0 .5 6 168.29366666666667 .33237535 .3299887 4.3349614 .39761975 .1388183 . 13 0
.9747368 1 4.714286 0 .5714286 7 147.43800000000002 .27530217 .28383455 4.856878 .3736651 .15612456 19.45 14 0
.874617 1 6.333333 0 .8333333 6 156.03233333333333 .2644217 .29741484 5.175257 .4889309 .1651995 20.650000000000002 15 0
.5771323 1 2.5 0 .8333333 6 164.74187499999996 .3897825 .29449782 5.306167 .4250193 .1799728 17.92 16 0
.7730674 1 3.5 0 0 6 326.47639999999996 .4289927 .3053164 5.330528 .4077112 .14628635 20.150000000000002 17 1
.8346491 0 10.88889 .1111111111111111 .8888889 9 266.013 .6654299 0 7.873188 .3177746 .1587688 27.729999999999997 26 0
.4854805 0 11.88889 .1111111111111111 .7777778 9 92.40625 0 0 8.131466 .4094066 .13831496 28.319999999999997 27 0
.5924961 0 9.75 .125 0 8 179.5953636363636 .50605476 0 8.274841 .3854627 .13928741 36.28 28 0
.2078269 0 7.916667 .3333333333333333 .9166667 12 271.63286666666664 .3442146 0 11.730292 .24644305 .1450791 63.63 27 0
.24102706 0 7.5 .16666666666666666 .9166667 12 321.26458333333323 .4279961 0 11.74976 .23952076 .1283032 67.27 28 0
.30140015 0 8.090909 .18181818181818182 .9090909 11 289.0285833333333 .4757315 0 11.755354 .2564824 .11435287 67.31999999999998 29 0
.28815067 0 7.769231 .15384615384615385 .9230769 13 301.7286428571428 .4261161 0 11.765643 .26922786 .1777405 66.65999999999998 30 0
.26238972 0 7.307693 .3076923076923077 .9230769 13 284.7932 .4213584 0 11.793938 .2802557 .10821674 63.78999999999999 31 0
.1992346 0 7.083333 .3333333333333333 .9166667 12 286.015375 .3605575 0 11.896833 .31328475 .1188188 64.98 32 0
.2938835 0 5.916667 .3333333333333333 .9166667 12 310.7201428571429 .42987695 0 12.006176 .3058608 .1242184 61.62 33 0
.19910647 0 6.461538 .3076923076923077 .9230769 13 338.1356666666666 .5027568 0 11.987848 .3700678 .11114914 61.44000000000002 34 0
.04364763 0 7.461538 .3076923076923077 .9230769 13 334.2289999999999 .5086333 0 12.048278 .3318611 .1063693 63.51999999999999 35 0
.1654939 0 7.416667 .25 0 12 334.71714285714285 .5164275 0 12.107716 .3415128 .10746662 69.52999999999999 36 0
.41490895 0 10 .14285714285714285 .7142857 7 174.0075 .52660567 0 6.12469 .13088019 .12350757 19.05 26 1
.15125683 0 11 .14285714285714285 .7142857 7 167.29083333333332 .5230412 0 6.176269 .1292231 .1232883 18.81 27 1
.3405832 0 6.625 .125 .875 8 139.92744444444443 .5836358 0 6.111926 .08216533 .112186 18.48 28 1
.17052196 0 7.428571 .14285714285714285 0 7 152.081875 .6331474 0 6.083866 .13619214 .09627973 19.03 29 1
.39829335 . 12.777778 0 .7777778 9 112.12071428571427 .3649638 .26145926 5.941878 .3971588 .15015075 . 39 0
.44917995 . 13.777778 0 .7777778 9 118.46514285714287 .4291558 .21667133 6.150842 .3708129 .1628561 . 40 0
.7661825 . 14.777778 0 .7777778 9 148.90514285714286 .4366538 .1606929 6.346678 .3035357 .18589322 . 41 0
.5856491 . 15.777778 0 .7777778 9 172.07500000000002 .4265582 .1660613 6.622368 .4255072 .15611595 . 42 0
.58729094 . 15.222222 0 .7777778 9 152.31277777777777 .5240678 .13915591 6.705256 .3605966 .15451364 . 43 0
.609428 . 13.125 0 .875 8 116.274 .57335836 0 6.805935 .3325113 .17348996 . 44 0
.7009455 0 9 .1111111111111111 .8888889 9 127.65327272727271 .5697251 0 6.755687 .27758047 .1602687 30.460000000000004 45 0
.437882 0 8.222222 .1111111111111111 .8888889 9 176.4375 .56677294 0 6.832047 .26419246 .11804661 28.639999999999993 47 0
.6258997 0 9.833333 .08333333333333333 .9166667 12 213.23014285714285 .3941281 0 10.467855 .3181561 .17932525 81.90999999999998 74 1
.7224569 1 6.8 .2 .9 10 170.91100000000003 .3966521 0 10.567495 .25572947 .19975054 83.65999999999998 75 1
.7601307 1 5.090909 .36363636363636365 .9090909 11 240.60754545454546 .4267984 0 10.593477 .3045435 .1869076 80.87 76 1
.5852639 1 6.090909 .36363636363636365 .9090909 11 262.3490000000001 .4306439 0 9.991864 .15274835 .10227458 73.87 77 1
.7529889 0 7.090909 .36363636363636365 .9090909 11 282.03319999999997 .4783586 0 9.915762 .1900666 .10841914 68.14999999999999 78 1
.736783 0 8.090909 .36363636363636365 .9090909 11 282.40439999999995 .4777404 0 9.923535 .21822193 .11743885 75.64 79 1
.5212999 0 9.090909 .36363636363636365 .9090909 11 306.43480000000005 .4894516 0 9.945253 .4178407 .09446322 79.51 80 1
.6417528 0 9.090909 .36363636363636365 .8181818 11 262.58483333333334 .475843 0 10.217934 .3662164 .09202623 77.27 81 1
.8903543 0 9.333333 .3333333333333333 .8333333 12 303.40949999999987 .5286439 0 10.328036 .29127774 .112575 72.39 82 1
1.3129683 0 1 .1111111111111111 .8888889 9 262.26912500000003 .4307026 0 9.84108 .5042469 .2470032 45.32999999999999 1 1
1.5512214 0 1.3333334 .1111111111111111 .8888889 9 293.28512499999994 .4874233 0 9.901485 .54492325 .24503575 61.57999999999999 2 1
1.0018721 0 2 .1111111111111111 .8888889 9 295.42825 .4837723 0 10.0371 .5970028 .1819604 67.5 3 1
.8914064 1 2.666667 .1111111111111111 .8888889 9 299.589 .5488497 0 10.15183 .5573761 .1692915 74.81 4 1
1.1324378 1 3.3 .2 .9 10 322.21000000000004 .57410073 0 10.247644 .527901 .17256238 78.64999999999999 5 1
1.235275 1 3.909091 .2727272727272727 .9090909 11 330.3659000000001 .57495946 0 10.39675 .6791683 .24169363 74.59000000000002 6 1
.9404257 1 4.909091 .2727272727272727 0 11 342.5230000000001 .55456716 0 10.412292 .752825 .17810693 78.80999999999999 7 1
end
0 Response to -xtivreg with interaction term
Post a Comment