Table 5 Controlling for endogeneity...

Table 5

Controlling for endogeneity

Panel A: Firm Fixed Effects Analysis
Variables	(1) IE5	(2) IE10	(3) IE5	(4) IE10	(5) IE5	(6) IE10
Fog	−0.004*	−0.004*
Fog	(0.003)	(0.002)
FK			−0.003	−0.003**
FK			(0.002)	(0.002)
SMOG					−0.007*	−0.006*
SMOG					(0.004)	(0.004)
Intercept & Controls	YES	YES	YES	YES	YES	YES
Industry Fixed Effects	NO	NO	NO	NO	NO	NO
Year Fixed Effects	YES	YES	YES	YES	YES	YES
Firm Fixed Effects	YES	YES	YES	YES	YES	YES
Audit Firm Fixed Effects	YES	YES	YES	YES	YES	YES
Observations	1,097	1,097	1,097	1,097	1,097	1,097
R-squared	0.575	0.502	0.574	0.503	0.575	0.502
Adj R-squared	0.464	0.373	0.464	0.374	0.464	0.373
F value	4.044***	2.826***	4.020***	2.853***	4.034***	2.820***

Panel A: Firm Fixed Effects Analysis
Variables	(1) IE5	(2) IE10	(3) IE5	(4) IE10	(5) IE5	(6) IE10
Fog	−0.004*	−0.004*
Fog	(0.003)	(0.002)
FK			−0.003	−0.003**
FK			(0.002)	(0.002)
SMOG					−0.007*	−0.006*
SMOG					(0.004)	(0.004)
Intercept & Controls	YES	YES	YES	YES	YES	YES
Industry Fixed Effects	NO	NO	NO	NO	NO	NO
Year Fixed Effects	YES	YES	YES	YES	YES	YES
Firm Fixed Effects	YES	YES	YES	YES	YES	YES
Audit Firm Fixed Effects	YES	YES	YES	YES	YES	YES
Observations	1,097	1,097	1,097	1,097	1,097	1,097
R-squared	0.575	0.502	0.574	0.503	0.575	0.502
Adj R-squared	0.464	0.373	0.464	0.374	0.464	0.373
F value	4.044***	2.826***	4.020***	2.853***	4.034***	2.820***

Panel B: Heckman two-stage Correction for sample selection bias
Variables	(1) IE5	(2) IE10	(3) IE5	(4) IE10	(5) IE5	(6) IE10
Fog	−0.008***	−0.007***
Fog	(0.002)	(0.002)
IMR	0.030	0.031
IMR	(0.026)	(0.023)
FK			−0.006***	−0.005***
FK			(0.001)	(0.001)
IMR			−0.006	−0.014
IMR			(0.017)	(0.015)
SMOG					−0.012***	−0.011***
SMOG					(0.003)	(0.003)
IMR					0.033	0.027
IMR					(0.027)	(0.024)
Industry Fixed Effects	YES	YES	YES	YES	YES	YES
Year Fixed Effects	YES	YES	YES	YES	YES	YES
Audit Firm Fixed Effects	YES	YES	YES	YES	YES	YES
Observations	1,030	1,030	981	981	1,029	1,029
R-squared	0.378	0.320	0.388	0.330	0.335	0.292
Adj R-squared	0.262	0.194	0.274	0.206	0.210	0.159
F value	3.264***	2.538***	3.407***	2.652***	2.683***	2.197***

Panel B: Heckman two-stage Correction for sample selection bias
Variables	(1) IE5	(2) IE10	(3) IE5	(4) IE10	(5) IE5	(6) IE10
Fog	−0.008***	−0.007***
Fog	(0.002)	(0.002)
IMR	0.030	0.031
IMR	(0.026)	(0.023)
FK			−0.006***	−0.005***
FK			(0.001)	(0.001)
IMR			−0.006	−0.014
IMR			(0.017)	(0.015)
SMOG					−0.012***	−0.011***
SMOG					(0.003)	(0.003)
IMR					0.033	0.027
IMR					(0.027)	(0.024)
Industry Fixed Effects	YES	YES	YES	YES	YES	YES
Year Fixed Effects	YES	YES	YES	YES	YES	YES
Audit Firm Fixed Effects	YES	YES	YES	YES	YES	YES
Observations	1,030	1,030	981	981	1,029	1,029
R-squared	0.378	0.320	0.388	0.330	0.335	0.292
Adj R-squared	0.262	0.194	0.274	0.206	0.210	0.159
F value	3.264***	2.538***	3.407***	2.652***	2.683***	2.197***

Note(s): Standard errors are in parentheses. p-values: ***p < 0.01, **p < 0.05, *p < 0.1. Each continuous independent variable is winsorized at the 1st and 99th percentile to reduce the influence of outliers. Variable definitions are provided in the Appendix

Source(s): Authors’ own work

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