Dynamic regression model with dependent variable and quality of estimation GMM regression results predicting ROA (change and experience effects)
| Variables | Model 1 | Model 2 |
|---|---|---|
| Past ROA | 0.394*** | 0.412*** |
| (0.0775) | (0.0789) | |
| Age of firm | −0.0340** | −0.0428*** |
| (0.0158) | (0.0153) | |
| Family firms (yes) | −0.104*** | −0.104*** |
| (0.0323) | (0.0304) | |
| Size of firm (N employees) | −0.0152 | 0.00159 |
| (0.0145) | (0.0140) | |
| Cluster 1 (base) | ||
| Cluster 2 | 0.0137 | |
| (0.0351) | ||
| Cluster 3 | −0.183*** | |
| (0.0430) | ||
| Variables | Model 1 | Model 2 |
|---|---|---|
| Past ROA | 0.394*** | 0.412*** |
| (0.0775) | (0.0789) | |
| Age of firm | −0.0340** | −0.0428*** |
| (0.0158) | (0.0153) | |
| Family firms (yes) | −0.104*** | −0.104*** |
| (0.0323) | (0.0304) | |
| Size of firm (N employees) | −0.0152 | 0.00159 |
| (0.0145) | (0.0140) | |
| Cluster 2 | 0.0137 | |
| (0.0351) | ||
| Cluster 3 | −0.183*** | |
| (0.0430) | ||
| Quality of estimation | Model 1 | Model 2 |
|---|---|---|
| Observations | 8,146 | 8,146 |
| Number of groups | 630 | 630 |
| Number of instruments | 38 | 40 |
| Wald χ2 | 328.95 | 546.10 |
| p-value | 0.000 | 0.000 |
| AR(1) | −3.25 | −3.24 |
| p-value | 0.001 | 0.001 |
| AR(2) | 0.92 | 0.97 |
| p-value | 0.356 | 0.330 |
| Hansen test of override (H0: The model is identified) | 27.84 | 28.73 |
| p-value | 0.145 | 0.121 |
| GMM instruments for levels | 11.19 | 11.74 |
| p-value | 0.427 | 0.383 |
| IV (Exogeneous variables) | 15.30 | 16.61 |
| p-value | 0.430 | 0.481 |
| Quality of estimation | Model 1 | Model 2 |
|---|---|---|
| Observations | 8,146 | 8,146 |
| Number of groups | 630 | 630 |
| Number of instruments | 38 | 40 |
| Wald | 328.95 | 546.10 |
| 0.000 | 0.000 | |
| AR(1) | −3.25 | −3.24 |
| 0.001 | 0.001 | |
| AR(2) | 0.92 | 0.97 |
| 0.356 | 0.330 | |
| Hansen test of override (H0: The model is identified) | 27.84 | 28.73 |
| 0.145 | 0.121 | |
| GMM instruments for levels | 11.19 | 11.74 |
| 0.427 | 0.383 | |
| IV (Exogeneous variables) | 15.30 | 16.61 |
| 0.430 | 0.481 |
Note(s): Robust standards errors in parentheses
***p < 0.01, **p < 0.05 and *p < 0.1
Variables have been standardized
Time dummies and constant are included in the models
Source(s): Authors’ own creation