Table 3 Robustness test – system GMM...

Table 3

Robustness test – system GMM (endogeneity)

Dependent variable	ESG (β)	Robust SE	p-value	Lagged DV (β)	Robust SE	Hansen J (p)	AR(2) (p)	Instruments
ROA	0.028	0.013	0.031	0.401	0.058	0.284	0.462	18
ROE	0.081	0.036	0.024	0.352	0.075	0.317	0.409	19
Tobin's Q	−0.037	0.016	0.021	0.498	0.069	0.338	0.441	17

Dependent variable	ESG (β)	Robust SE	p-value	Lagged DV (β)	Robust SE	Hansen J (p)	AR(2) (p)	Instruments
ROA	0.028	0.013	0.031	0.401	0.058	0.284	0.462	18
ROE	0.081	0.036	0.024	0.352	0.075	0.317	0.409	19
Tobin's Q	−0.037	0.016	0.021	0.498	0.069	0.338	0.441	17

Note(s): Two-step System GMM with Windmeijer-corrected robust standard errors. ESG is treated as endogenous; lags t−2 and deeper are used as instruments. Instrument count is kept below the number of groups to limit instrument proliferation. Hansen J p-values above 0.05 and insignificant AR(2) tests indicate no evidence against instrument validity or second-order serial correlation

Source(s): Authors

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