Dear All, Please have a look at the following results.
As you can see, the first two regressions report F statistics, along with p-values. However, in the third/last regression, they disappear when we include year and industry fixed effects. Why is this happening? Thanks.
Code:
. reg sd treat post treat_post, robust
Linear regression Number of obs = 6,400
F(3, 6396) = 499.82
Prob > F = 0.0000
R-squared = 0.2717
Root MSE = 1.0248
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| Robust
sd | Coefficient std. err. t P>|t| [95% conf. interval]
-------------+----------------------------------------------------------------
treat | 1.664214 .0441124 37.73 0.000 1.577739 1.750689
post | .0868744 .0280734 3.09 0.002 .031841 .1419077
treat_post | -1.492398 .0531056 -28.10 0.000 -1.596502 -1.388293
_cons | .4656127 .0192552 24.18 0.000 .4278661 .5033593
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. outreg2 using "T4-sd", word excel dec(4) ctitle(SD) label keep(treat post treat_post `ctr') addt(Industry FE, No, Yea
> r FE, No) replace
T4-sd.rtf
T4-sd.xml
dir : seeout
.
. reg sd treat post treat_post `ctr', robust
Linear regression Number of obs = 6,400
F(9, 6390) = 591.97
Prob > F = 0.0000
R-squared = 0.5784
Root MSE = .78005
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| Robust
sd | Coefficient std. err. t P>|t| [95% conf. interval]
-------------+----------------------------------------------------------------
treat | 1.069029 .0378699 28.23 0.000 .9947911 1.143266
post | -.0405551 .0252532 -1.61 0.108 -.0900598 .0089497
treat_post | -1.001738 .042268 -23.70 0.000 -1.084597 -.9188786
每股盈餘 | .1747787 .0140528 12.44 0.000 .1472305 .202327
ln_tobinsq | .2156896 .0287558 7.50 0.000 .1593185 .2720607
未分配盈餘 | .0529242 .1035331 0.51 0.609 -.1500354 .2558837
負債比率 | .1601669 .0220122 7.28 0.000 .1170157 .2033181
size | -.0689706 .0078979 -8.73 0.000 -.0844532 -.0534879
roaa稅後息前 | .020819 .0041889 4.97 0.000 .0126073 .0290307
_cons | .7429912 .1231466 6.03 0.000 .5015826 .9843998
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. outreg2 using "T4-sd", word excel dec(4) ctitle(SD) label keep(treat post treat_post `ctr') addt(Industry FE, No, Yea
> r FE, No) append
T4-sd.rtf
T4-sd.xml
dir : seeout
.
. reg sd treat post treat_post `ctr' i.year i.tse產業別, robust
note: 2005.year omitted because of collinearity.
Linear regression Number of obs = 6,400
F(43, 6355) = .
Prob > F = .
R-squared = 0.6090
Root MSE = .75333
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| Robust
sd | Coefficient std. err. t P>|t| [95% conf. interval]
-------------+----------------------------------------------------------------
treat | 1.022684 .0379355 26.96 0.000 .9483181 1.097051
post | -.2432362 .0524257 -4.64 0.000 -.3460083 -.140464
treat_post | -1.009957 .0413173 -24.44 0.000 -1.090952 -.9289608
每股盈餘 | .1689987 .0142208 11.88 0.000 .141121 .1968763
ln_tobinsq | .2242785 .0296199 7.57 0.000 .1662135 .2823435
未分配盈餘 | .054982 .1022562 0.54 0.591 -.1454747 .2554387
負債比率 | .174604 .0227312 7.68 0.000 .1300433 .2191648
size | -.0421634 .0084804 -4.97 0.000 -.0587878 -.025539
roaa稅後息前 | .0198311 .004138 4.79 0.000 .0117193 .027943
|
year |
1997 | .1486808 .0598138 2.49 0.013 .0314255 .2659361
1998 | .0181884 .0573692 0.32 0.751 -.0942746 .1306513
1999 | .0550143 .0557224 0.99 0.324 -.0542204 .1642491
2000 | .5925279 .0389733 15.20 0.000 .5161271 .6689287
2001 | .4347612 .0354463 12.27 0.000 .3652745 .5042479
2002 | .199033 .0317722 6.26 0.000 .1367487 .2613173
2003 | .1218885 .0319634 3.81 0.000 .0592294 .1845476
2004 | .0541393 .0331621 1.63 0.103 -.0108697 .1191482
2005 | 0 (omitted)
|
tse產業別 |
2 | -.1142197 .0533048 -2.14 0.032 -.218715 -.0097243
3 | -.1694473 .0527977 -3.21 0.001 -.2729485 -.065946
4 | -.0422994 .051733 -0.82 0.414 -.1437136 .0591149
5 | -.0536225 .060385 -0.89 0.375 -.1719974 .0647525
6 | -.0723714 .0637473 -1.14 0.256 -.1973377 .0525948
8 | -.210265 .0883945 -2.38 0.017 -.3835479 -.0369821
9 | -.0753003 .0581499 -1.29 0.195 -.1892938 .0386931
10 | -.1787503 .0544307 -3.28 0.001 -.2854527 -.0720478
11 | -.0310855 .0807959 -0.38 0.700 -.1894727 .1273017
12 | -.2172516 .0813218 -2.67 0.008 -.3766699 -.0578334
14 | .0410417 .0573519 0.72 0.474 -.0713873 .1534708
15 | -.1203769 .0588471 -2.05 0.041 -.2357372 -.0050167
16 | -.1852598 .0741202 -2.50 0.012 -.3305604 -.0399592
18 | -.1600123 .0758493 -2.11 0.035 -.3087026 -.011322
20 | -.0031017 .0584603 -0.05 0.958 -.1177035 .1115002
21 | -.1101467 .0641057 -1.72 0.086 -.2358154 .015522
22 | .000265 .0794893 0.00 0.997 -.1555609 .1560909
23 | -.2801271 .0610437 -4.59 0.000 -.3997933 -.1604608
24 | .1518715 .0612747 2.48 0.013 .0317525 .2719905
25 | .1928271 .0625309 3.08 0.002 .0702455 .3154088
26 | .1865627 .068439 2.73 0.006 .0523992 .3207261
27 | .1540455 .0755518 2.04 0.041 .0059385 .3021525
28 | .1583333 .05898 2.68 0.007 .0427125 .273954
29 | .0669756 .1023575 0.65 0.513 -.1336796 .2676309
30 | .0951633 .1319385 0.72 0.471 -.1634806 .3538072
31 | .1299115 .0735812 1.77 0.078 -.0143325 .2741554
91 | -.0791677 .0580125 -1.36 0.172 -.1928918 .0345564
|
_cons | .2658253 .1514945 1.75 0.079 -.0311549 .5628056
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