Hi all! When I ran ivprobit, I got positive and significant coefficient for my endogenous independent variable "peer_increaratio", however when I ran margins, I got negative results. I don't know how to explain my results. Does it mean the significant relation between dependent variable "growth_increa" and endogenous independent variable "peer_increaratio" is not robust? I use two iv, that is, lagged "peer_residual" and lagged "peer_idiorisk". I also include industry fixed effect "i.industrycode_shenyin" and year fixed effect "i.year".
The commands are as follows:
the results for ivprobit are as follows:
the results for command margins are as follows:
Looking forward to your help. Thanks so much!
The commands are as follows:
Code:
#d ;
local v "growth_increa tang debtr profit sgr cashflowrisk
lnsize lnage MABA RETE l.再融资倾向 residual_year idiorisk_year
tang_peer debtr_peer profit_peer sgr_peer cashflowrisk_peer
lnsize_peer lnage_peer MABA_peer RETE_peer l.再融资倾向_peer ";
#d cr
set mat 11000
xtset id year
ivprobit `v' (peer_increaratio = l.peer_residual l.peer_idiorisk) ///
i.industrycode_shenyin i.year , vce(cluster id)
margins, dydx(*) predict(pr) nose
Code:
Fitting exogenous probit model Iteration 0: log likelihood = -7809.904 Iteration 1: log likelihood = -6780.9794 Iteration 2: log likelihood = -6554.3261 Iteration 3: log likelihood = -6527.1409 Iteration 4: log likelihood = -6527.0488 Iteration 5: log likelihood = -6527.0488 Fitting full model Iteration 0: log pseudolikelihood = -23244.447 Iteration 1: log pseudolikelihood = -23243.466 Iteration 2: log pseudolikelihood = -23243.409 Iteration 3: log pseudolikelihood = -23243.406 Iteration 4: log pseudolikelihood = -23243.406 Probit model with endogenous regressors Number of obs = 14,585 Wald chi2(214) = 4059.54 Log pseudolikelihood = -23243.406 Prob > chi2 = 0.0000 (Std. Err. adjusted for 2,260 clusters in id) Robust Coef. Std. Err. z P>z [95% Conf. Interval] peer_increaratio .9198194 .2656527 3.46 0.001 .3991497 1.440489 tang -.0032416 .0275933 -0.12 0.906 -.0573235 .0508403 debtr -.07903 .0298116 -2.65 0.008 -.1374597 -.0206003 profit .1854785 .0578136 3.21 0.001 .072166 .2987911 sgr .0450309 .0197913 2.28 0.023 .0062407 .0838212 cashflowrisk -.2878254 .0917527 -3.14 0.002 -.4676574 -.1079933 lnsize .1681124 .0539051 3.12 0.002 .0624605 .2737644 lnage -.0350117 .0174973 -2.00 0.045 -.0693058 -.0007177 MABA -.0172781 .0206744 -0.84 0.403 -.0577993 .023243 RETE .557806 .1725062 3.23 0.001 .2197001 .8959119 再融资倾向 L1. -.0109109 .0165118 -0.66 0.509 -.0432735 .0214516 residual_year .0488708 .0172317 2.84 0.005 .0150973 .0826443 idiorisk_year -.001683 .0138112 -0.12 0.903 -.0287525 .0253865 tang_peer .220294 .108169 2.04 0.042 .0082867 .4323012 debtr_peer .0769816 .0410885 1.87 0.061 -.0035504 .1575137 profit_peer -.0308808 .0216964 -1.42 0.155 -.073405 .0116434 sgr_peer .0181234 .0132019 1.37 0.170 -.0077519 .0439987 cashflowrisk_peer .0375288 .0178188 2.11 0.035 .0026046 .072453 lnsize_peer -.4246225 .1187168 -3.58 0.000 -.6573032 -.1919418 lnage_peer -.18152 .055319 -3.28 0.001 -.2899433 -.0730967 MABA_peer -.0646149 .0393472 -1.64 0.101 -.1417339 .0125041 RETE_peer -.0183471 .0128945 -1.42 0.155 -.0436199 .0069257 再融资倾向_peer L1. -.0533848 .0241693 -2.21 0.027 -.1007559 -.0060138 industrycode_shenyin 110103 .277262 .3966294 0.70 0.485 -.5001173 1.054641 110201 0 (empty) 110401 -.473136 .3279187 -1.44 0.149 -1.115845 .1695729 110504 .0242888 .2727833 0.09 0.929 -.5103567 .5589344 110601 -.1131687 .2852085 -0.40 0.692 -.672167 .4458296 110701 .1658154 .3050738 0.54 0.587 -.4321183 .7637491 110801 -1.365828 .694997 -1.97 0.049 -2.727998 -.0036592 210201 .0454351 .2056688 0.22 0.825 -.3576684 .4485385 210202 .2501027 .3362479 0.74 0.457 -.408931 .9091364 210301 .7543583 .4724655 1.60 0.110 -.1716571 1.680374 210401 -.3092825 .322616 -0.96 0.338 -.9415982 .3230332 220101 .050045 .2713545 0.18 0.854 -.4818001 .58189 220103 -.7428052 .5906488 -1.26 0.209 -1.900456 .4148452 220202 .131987 .2439451 0.54 0.588 -.3461366 .6101106 220203 -.3191041 .2906336 -1.10 0.272 -.8887354 .2505272 220204 0 (empty) 220301 -.2326161 .3295766 -0.71 0.480 -.8785745 .4133422 220302 -.0586068 .2644267 -0.22 0.825 -.5768737 .45966 220304 -.1962576 .2781968 -0.71 0.481 -.7415133 .3489981 220305 -.2177128 .5010862 -0.43 0.664 -1.199824 .7643981 220307 -.4941251 .3995806 -1.24 0.216 -1.277289 .2890385 220308 -.419772 .3924163 -1.07 0.285 -1.188894 .3493499 220309 -.2645797 .2935994 -0.90 0.368 -.8400239 .3108645 220310 .3207826 .5070212 0.63 0.527 -.6729606 1.314526 220311 -.5499776 .9073932 -0.61 0.544 -2.328436 1.22848 220312 .3299181 .7621338 0.43 0.665 -1.163837 1.823673 220313 -.4032571 .3166057 -1.27 0.203 -1.023793 .2172788 220314 -1.040191 .7180274 -1.45 0.147 -2.447499 .3671171 220401 .0732768 .255504 0.29 0.774 -.427502 .5740555 220403 .1286023 .3165749 0.41 0.685 -.4918731 .7490777 220404 -.0982452 .628975 -0.16 0.876 -1.331014 1.134523 220405 0 (empty) 220501 -.2340594 .302408 -0.77 0.439 -.8267682 .3586494 220503 -.4626811 .664485 -0.70 0.486 -1.765048 .8396855 220601 -.1258451 .2995882 -0.42 0.674 -.7130273 .4613371 220602 -.2183338 .7989606 -0.27 0.785 -1.784268 1.3476 220603 -.1775699 .4222412 -0.42 0.674 -1.005147 .6500076 230101 .500365 .2634964 1.90 0.058 -.0160784 1.016808 230102 -.1747945 .4184283 -0.42 0.676 -.9948989 .6453098 240201 -.3461543 .3405247 -1.02 0.309 -1.01357 .3212619 240202 -.1162085 .2816802 -0.41 0.680 -.6682916 .4358747 240203 .2164866 .3993752 0.54 0.588 -.5662744 .9992476 240301 .2256 .2661137 0.85 0.397 -.2959732 .7471733 240302 .5181212 .3584155 1.45 0.148 -.1843603 1.220603 240303 .2855576 .1576511 1.81 0.070 -.0234329 .5945482 240401 .3619997 .4271807 0.85 0.397 -.4752591 1.199259 240501 1.514358 .5260026 2.88 0.004 .4834121 2.545304 240502 1.224722 .6596267 1.86 0.063 -.068122 2.517567 240503 -.7468255 1.407836 -0.53 0.596 -3.506133 2.012482 270101 -.1085839 .2369679 -0.46 0.647 -.5730324 .3558646 270102 .0920985 .1935367 0.48 0.634 -.2872264 .4714234 270202 -.6198091 .4736231 -1.31 0.191 -1.548093 .3084751 270203 -.4076106 .3528096 -1.16 0.248 -1.099105 .2838834 270301 .6888158 .2391541 2.88 0.004 .2200824 1.157549 270302 .1122289 .3784621 0.30 0.767 -.6295431 .854001 270303 -.386811 .6431652 -0.60 0.548 -1.647392 .8737696 270401 -.2415033 .1721819 -1.40 0.161 -.5789737 .0959671 270502 -.1491495 .1797331 -0.83 0.407 -.50142 .2031209 280101 .6229456 .3262594 1.91 0.056 -.0165111 1.262402 280102 -.6712903 .4463014 -1.50 0.133 -1.546025 .2034443 280103 .0262581 .2390507 0.11 0.913 -.4422726 .4947888 280201 -.0190089 .1935055 -0.10 0.922 -.3982728 .3602549 280401 .4315639 .3425256 1.26 0.208 -.239774 1.102902 330101 .8822732 .2997332 2.94 0.003 .2948069 1.46974 330102 -.3607654 .3477384 -1.04 0.300 -1.04232 .3207894 330104 -.4563702 .3566276 -1.28 0.201 -1.155348 .242607 330105 .2479785 .258146 0.96 0.337 -.2579784 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450501 .4064711 .321888 1.26 0.207 -.2244178 1.03736 450502 .5055056 .408996 1.24 0.216 -.2961119 1.307123 460102 -.7752405 .4661866 -1.66 0.096 -1.688949 .1384683 460201 -.0482715 .4548443 -0.11 0.915 -.9397499 .843207 460301 -.2636785 .2490498 -1.06 0.290 -.7518072 .2244502 460501 -.1253853 .4791503 -0.26 0.794 -1.064503 .813732 490101 .8814877 1.036866 0.85 0.395 -1.150733 2.913709 490301 .4761263 .3698403 1.29 0.198 -.2487474 1.201 510101 .4356805 .2031898 2.14 0.032 .0374359 .8339252 610101 -.3191731 .3628718 -0.88 0.379 -1.030389 .3920426 610201 .0480391 .2203756 0.22 0.827 -.3838891 .4799673 610300 0 (empty) 610301 .1216441 .3228936 0.38 0.706 -.5112157 .7545038 610302 .0817722 .5238932 0.16 0.876 -.9450396 1.108584 610303 -.4707488 .2419478 -1.95 0.052 -.9449577 .0034602 620101 -.209746 .325725 -0.64 0.520 -.8481552 .4286632 620201 .5979214 .5277127 1.13 0.257 -.4363765 1.632219 620301 2.69173 .7753335 3.47 0.001 1.172105 4.211356 620303 .0207031 .3110294 0.07 0.947 -.5889034 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-.0968422 .185493 -0.52 0.602 -.4604018 .2667174 640103 -.2940252 .2975087 -0.99 0.323 -.8771316 .2890811 640104 -.4163244 .350617 -1.19 0.235 -1.103521 .2708723 640106 -.119624 .2117223 -0.57 0.572 -.534592 .295344 640201 .2923873 .2133 1.37 0.170 -.1256731 .7104477 640202 .3656222 .4457137 0.82 0.412 -.5079606 1.239205 640203 .2246162 .2402088 0.94 0.350 -.2461844 .6954168 640204 .4944443 .3601992 1.37 0.170 -.2115333 1.200422 640205 .0427327 .7254791 0.06 0.953 -1.37918 1.464646 640206 .3071039 .3070424 1.00 0.317 -.2946882 .908896 640209 -.1534123 .1760525 -0.87 0.384 -.4984688 .1916442 640301 .3655952 .2019435 1.81 0.070 -.0302069 .7613972 640401 -.1793907 .1724166 -1.04 0.298 -.517321 .1585395 640501 .4445535 .2517481 1.77 0.077 -.0488637 .9379706 650101 .1699426 .3320175 0.51 0.609 -.4807997 .8206849 650201 .3476522 .1959922 1.77 0.076 -.0364855 .73179 650301 .9066759 .4414105 2.05 0.040 .0415272 1.771825 710101 -.0793465 .179533 -0.44 0.659 -.4312247 .2725317 710201 -.0043353 .1798261 -0.02 0.981 -.356788 .3481175 710202 .187465 .1679164 1.12 0.264 -.1416452 .5165751 720102 .2639679 .1757174 1.50 0.133 -.0804319 .6083676 720103 -.2289798 .3012357 -0.76 0.447 -.819391 .3614314 720201 .5984597 .2177138 2.75 0.006 .1717485 1.025171 720301 .3065151 .4269411 0.72 0.473 -.530274 1.143304 720302 .3411674 .2307131 1.48 0.139 -.1110221 .7933569 730201 .4457992 .2185579 2.04 0.041 .0174336 .8741649 730202 .0793734 .1717776 0.46 0.644 -.2573045 .4160512 730203 .308515 .1932236 1.60 0.110 -.0701963 .6872264 year 2007 .0620988 .0862266 0.72 0.471 -.1069022 .2310999 2008 -.2072701 .1087144 -1.91 0.057 -.4203465 .0058063 2009 .09186 .1116991 0.82 0.411 -.1270662 .3107863 2010 .0466024 .1543547 0.30 0.763 -.2559272 .3491321 2011 .0160275 .1651896 0.10 0.923 -.3077383 .3397932 2012 .1283464 .1215144 1.06 0.291 -.1098175 .3665103 2013 .0942254 .1079724 0.87 0.383 -.1173965 .3058473 2014 .114694 .1401946 0.82 0.413 -.1600823 .3894703 2015 .2165357 .2288859 0.95 0.344 -.2320724 .6651439 2016 .3462696 .2249151 1.54 0.124 -.0945559 .7870951 2017 .0562785 .1311437 0.43 0.668 -.2007584 .3133155 _cons -.8652769 .2627532 -3.29 0.001 -1.380264 -.3502902 corr(e.peer_increaratio, e.growth_increa) -.7440304 .1879055 -.9451697 -.1336599 sd(e.peer_increaratio) .7612622 .0114294 .7391874 .7839962 Instrumented: peer_increaratio Instruments: tang debtr profit sgr cashflowrisk lnsize lnage MABA RETE L.再融资倾向 residual_year idiorisk_year tang_peer debtr_peer profit_peer sgr_peer cashflowrisk_peer lnsize_peer lnage_peer MABA_peer RETE_peer L.再融资倾向_peer 110103.industrycode_shenyin 110401.industrycode_shenyin 110504.industrycode_shenyin 110601.industrycode_shenyin 110701.industrycode_shenyin 110801.industrycode_shenyin 210201.industrycode_shenyin 210202.industrycode_shenyin 210301.industrycode_shenyin 210401.industrycode_shenyin 220101.industrycode_shenyin 220103.industrycode_shenyin 220202.industrycode_shenyin 220203.industrycode_shenyin 220301.industrycode_shenyin 220302.industrycode_shenyin 220304.industrycode_shenyin 220305.industrycode_shenyin 220307.industrycode_shenyin 220308.industrycode_shenyin 220309.industrycode_shenyin 220310.industrycode_shenyin 220311.industrycode_shenyin 220312.industrycode_shenyin 220313.industrycode_shenyin 220314.industrycode_shenyin 220401.industrycode_shenyin 220403.industrycode_shenyin 220404.industrycode_shenyin 220501.industrycode_shenyin 220503.industrycode_shenyin 220601.industrycode_shenyin 220602.industrycode_shenyin 220603.industrycode_shenyin 230101.industrycode_shenyin 230102.industrycode_shenyin 240201.industrycode_shenyin 240202.industrycode_shenyin 240203.industrycode_shenyin 240301.industrycode_shenyin 240302.industrycode_shenyin 240303.industrycode_shenyin 240401.industrycode_shenyin 240501.industrycode_shenyin 240502.industrycode_shenyin 240503.industrycode_shenyin 270101.industrycode_shenyin 270102.industrycode_shenyin 270202.industrycode_shenyin 270203.industrycode_shenyin 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350207.industrycode_shenyin 360101.industrycode_shenyin 360201.industrycode_shenyin 360303.industrycode_shenyin 360304.industrycode_shenyin 360305.industrycode_shenyin 370101.industrycode_shenyin 370102.industrycode_shenyin 370201.industrycode_shenyin 370301.industrycode_shenyin 370501.industrycode_shenyin 370601.industrycode_shenyin 410101.industrycode_shenyin 410102.industrycode_shenyin 410104.industrycode_shenyin 410201.industrycode_shenyin 410301.industrycode_shenyin 410401.industrycode_shenyin 420101.industrycode_shenyin 420201.industrycode_shenyin 420301.industrycode_shenyin 420401.industrycode_shenyin 420501.industrycode_shenyin 420601.industrycode_shenyin 420801.industrycode_shenyin 430101.industrycode_shenyin 430201.industrycode_shenyin 450201.industrycode_shenyin 450301.industrycode_shenyin 450302.industrycode_shenyin 450303.industrycode_shenyin 450401.industrycode_shenyin 450501.industrycode_shenyin 450502.industrycode_shenyin 460102.industrycode_shenyin 460201.industrycode_shenyin 460301.industrycode_shenyin 460501.industrycode_shenyin 490101.industrycode_shenyin 490301.industrycode_shenyin 510101.industrycode_shenyin 610101.industrycode_shenyin 610201.industrycode_shenyin 610301.industrycode_shenyin 610302.industrycode_shenyin 610303.industrycode_shenyin 620101.industrycode_shenyin 620201.industrycode_shenyin 620301.industrycode_shenyin 620303.industrycode_shenyin 620304.industrycode_shenyin 620305.industrycode_shenyin 620401.industrycode_shenyin 620402.industrycode_shenyin 620403.industrycode_shenyin 620404.industrycode_shenyin 620501.industrycode_shenyin 630101.industrycode_shenyin 630201.industrycode_shenyin 630202.industrycode_shenyin 630203.industrycode_shenyin 630301.industrycode_shenyin 630305.industrycode_shenyin 630306.industrycode_shenyin 630401.industrycode_shenyin 630402.industrycode_shenyin 630403.industrycode_shenyin 640102.industrycode_shenyin 640103.industrycode_shenyin 640104.industrycode_shenyin 640106.industrycode_shenyin 640201.industrycode_shenyin 640202.industrycode_shenyin 640203.industrycode_shenyin 640204.industrycode_shenyin 640205.industrycode_shenyin 640206.industrycode_shenyin 640209.industrycode_shenyin 640301.industrycode_shenyin 640401.industrycode_shenyin 640501.industrycode_shenyin 650101.industrycode_shenyin 650201.industrycode_shenyin 650301.industrycode_shenyin 710101.industrycode_shenyin 710201.industrycode_shenyin 710202.industrycode_shenyin 720102.industrycode_shenyin 720103.industrycode_shenyin 720201.industrycode_shenyin 720301.industrycode_shenyin 720302.industrycode_shenyin 730201.industrycode_shenyin 730202.industrycode_shenyin 730203.industrycode_shenyin 2007.year 2008.year 2009.year 2010.year 2011.year 2012.year 2013.year 2014.year 2015.year 2016.year 2017.year L.peer_residual L.peer_idiorisk Wald test of exogeneity (corr = 0): chi2(1) = 5.20 Prob > chi2 = 0.0226
Code:
dy/dx
peer_increaratio -.021598
tang -.0132397
debtr -.0286588
profit .067309
sgr .0187551
cashflowrisk -.1055414
lnsize .0610867
lnage -.0079271
MABA -.0082667
RETE .2062432
再融资倾向
L1. .0029981
residual_year .0174937
idiorisk_year -.0003497
tang_peer -.025613
debtr_peer -.0061472
profit_peer .0057157
sgr_peer -.0010417
cashflowrisk_peer .0037798
lnsize_peer -.0007171
lnage_peer -.0008735
MABA_peer .0089232
RETE_peer .0006062
再融资倾向_peer
L1. .0011064
industrycode_shenyin
110103 .0257218
110201 . (not estimable)
110401 .0995756
110504 .1511945
110601 -.0737903
110701 -.0687188
110801 .1864025
210201 -.0165388
210202 -.0528915
210301 -.0159007
210401 .0919689
220101 .0868534
220103 .1175673
220202 .0951997
220203 .0980301
220204 . (not estimable)
220301 -.022458
220302 .0565432
220304 .0994298
220305 .0733409
220307 .0977158
220308 .0210572
220309 .1262169
220310 -.101185
220311 .1396623
220312 .3347129
220313 .0817883
220314 .3111315
220401 .068411
220403 .0803743
220404 .0846679
220405 . (not estimable)
220501 .0831212
220503 -.1179342
220601 .1159127
220602 -.0023871
220603 .099821
230101 -.0034473
230102 .116727
240201 .1280857
240202 .0915261
240203 -.0789292
240301 .0368841
240302 -.06955
240303 .0489234
240401 -.0855877
240501 .0001852
240502 -.0109079
240503 .2238124
270101 .0653306
270102 .0251936
270202 .1661649
270203 .1098697
270301 .0428898
270302 .1060496
270303 .2066306
270401 .0082454
270502 -.0026505
280101 .0230163
280102 .1487082
280103 .0712953
280201 .0907443
280401 -.0681634
330101 .0667139
330102 .0586885
330104 .1085791
330105 .009004
330201 -.0037032
330202 -.1392859
340301 .0955974
340302 .1521214
340303 .0036126
340304 .1464748
340305 -.0410768
340306 -.1330754
340402 .1597827
340403 .0814829
340404 .0627331
350101 .1127401
350102 .0557285
350103 -.0106918
350104 .1391839
350106 .0368393
350202 .043929
350203 .1334952
350204 .050602
350205 .1098302
350206 -.0630588
350207 -.021706
360101 .1225038
360201 .0589378
360303 .0882432
360304 -.0189347
360305 -.0196608
370101 .0288434
370102 .0189598
370201 .0356274
370301 -.0185299
370501 .0974671
370601 -.0814004
410101 .2304796
410102 .1553744
410104 .1384625
410105 . (not estimable)
410201 .0400341
410301 -.0676645
410401 -.0062221
420101 .0896971
420201 -.0102699
420301 .0174761
420401 .0454937
420501 .2841139
420601 .0132352
420801 .1166059
430101 -.0261565
430201 .0624702
450201 .0887191
450301 .08656
450302 .040285
450303 .0299847
450401 .0542962
450501 -.0011332
450502 -.0743806
460102 .1502104
460201 .1388605
460301 .040528
460501 .1182577
490101 -.1792537
490301 -.0330057
510101 -.0084724
610101 .155504
610201 .0113155
610300 . (not estimable)
610301 -.0835989
610302 -.1256641
610303 .0078518
620101 .0461755
620201 -.1277748
620301 .1193558
620303 .1250591
620304 .295836
620305 .2298365
620401 .1106044
620402 -.1073158
620403 .0943147
620404 -.0069724
620501 -.0213636
630101 .1578485
630201 .1710131
630202 -.0622633
630203 -.0151078
630301 -.0048105
630303 . (not estimable)
630304 . (not estimable)
630305 -.0797878
630306 .0132092
630401 .0196903
630402 .0000107
630403 .0654875
640102 -.0176088
640103 .0437399
640104 .0982574
640106 -.0170193
640201 -.0172641
640202 -.0864364
640203 .0385485
640204 .1045034
640205 .0316387
640206 -.0622019
640209 -.0531812
640301 .0686665
640401 -.0172428
640501 .0647352
650101 .0662739
650201 .0640286
650301 -.0580035
710101 .0398862
710201 .0077261
710202 .0136771
720102 .0139505
720103 .0719653
720201 .0932858
720301 -.1132998
720302 .0916195
730201 -.0014056
730202 .022667
730203 .0046526
year
2007 .0072951
2008 -.0711885
2009 -.0288714
2010 -.068772
2011 -.085701
2012 -.0294396
2013 -.014839
2014 -.0442086
2015 -.0813847
2016 -.0506789
2017 -.0005054
peer_residual
L1. .0082955
peer_idiorisk
L1. -.0050281
Note: dy/dx for factor levels is the discrete change from the base level.
Comment