we're doing an inverted u-shape analysis on the impact of CSR Score on the TOA of different firms moderated by our time invariant moderator Consistency (Kurtosis of CSR Score).
We would like to investigate if the turning point of the u-shape relationships significantly deviates with different levels of consistency. Therefore we found examples who used the nlcom code using the minimum, maximum, mean, mean +1 SD & mean - 1 SD levels of the moderating variables values.
We ran the following:
Code:
xtreg roa c.csr_score##c.csr_score##c.consistency ln_firmsize ln_adi ln_rdi slack lev_w industry_growth industry
> _concentration i.fyear, fe cluster(cusipnr)
note: consistency omitted because of collinearity.
Fixed-effects (within) regression Number of obs = 4,417
Group variable: cusipnr Number of groups = 606
R-squared: Obs per group:
Within = 0.0754 min = 3
Between = 0.0699 avg = 7.3
Overall = 0.0472 max = 16
F(26,605) = 4.38
corr(u_i, Xb) = -0.3052 Prob > F = 0.0000
(Std. err. adjusted for 606 clusters in cusipnr)
-------------------------------------------------------------------------------------------------------
| Robust
roa | Coefficient std. err. t P>|t| [95% conf. interval]
--------------------------------------+----------------------------------------------------------------
csr_score | .0017239 .0005557 3.10 0.002 .0006325 .0028154
|
c.csr_score#c.csr_score | -.000018 5.19e-06 -3.46 0.001 -.0000282 -7.77e-06
|
consistency | 0 (omitted)
|
c.csr_score#c.consistency | -.0007174 .0002731 -2.63 0.009 -.0012538 -.000181
|
c.csr_score#c.csr_score#c.consistency | 7.78e-06 2.65e-06 2.94 0.003 2.58e-06 .000013
|
ln_firmsize | -.0031383 .0062741 -0.50 0.617 -.0154599 .0091834
ln_adi | -.0052481 .0055574 -0.94 0.345 -.0161622 .005666
ln_rdi | -.0486486 .008962 -5.43 0.000 -.066249 -.0310483
slack | -.116426 .0318931 -3.65 0.000 -.1790607 -.0537912
lev_w | .0001744 .0007524 0.23 0.817 -.0013032 .001652
industry_growth | .0262122 .0120354 2.18 0.030 .002576 .0498483
industry_concentration | -.0017947 .0170669 -0.11 0.916 -.0353123 .0317229
|
fyear |
2004 | .0264904 .0091348 2.90 0.004 .0085506 .0444301
2005 | .0261167 .0113369 2.30 0.022 .0038522 .0483813
2006 | .0290126 .0124341 2.33 0.020 .0045934 .0534318
2007 | .0214981 .0125808 1.71 0.088 -.0032092 .0462054
2011 | .0261853 .0138109 1.90 0.058 -.000938 .0533085
2012 | .0136148 .0139187 0.98 0.328 -.01372 .0409495
2013 | .0172718 .0141745 1.22 0.224 -.0105654 .0451089
2014 | .0222723 .0142534 1.56 0.119 -.0057199 .0502645
2015 | .0169446 .014851 1.14 0.254 -.0122211 .0461104
2016 | .0195737 .0148799 1.32 0.189 -.0096489 .0487963
2017 | .016874 .0156194 1.08 0.280 -.0138008 .0475488
2018 | .0337998 .0159556 2.12 0.035 .0024647 .0651348
2019 | .026212 .0169868 1.54 0.123 -.0071483 .0595723
2020 | .0236843 .0181686 1.30 0.193 -.011997 .0593655
2021 | .0459652 .0183655 2.50 0.013 .0098973 .082033
|
_cons | -.1923473 .059989 -3.21 0.001 -.3101592 -.0745354
--------------------------------------+----------------------------------------------------------------
sigma_u | .13053874
sigma_e | .08199672
rho | .71707153 (fraction of variance due to u_i)
-------------------------------------------------------------------------------------------------------Code:
nlcom (_b[csr_score]*_b[c.csr_score#c.csr_score#c.consistency] - _b[c.csr_score#c.csr_score]*_b[c.csr_score#c.co > nsistency]) / 2*(_b[c.csr_score#c.csr_score]+_b[c.csr_score#c.csr_score#c.consistency]*(-5.954534))^2
Thank you for every little hint

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