Hi Jeff,
Thanks for the clarification on logs. Regarding the interaction, part of my study is to determine whether the relationship between ESG and the cost of capital matters more for companies domiciled in countries with stronger or weaker legal environments, hence the interaction. I plan on conducting a separate regression with just ESG.
For the xtreg, my results are insignificant. I have explored multicollinearity and dropped some variables. I am new to Stata and have done extensive searching, but I cant figure out the issue - I am using the same variables as literature on the topic which consistently reports significance ( I am using a different dataset although).
Thanks for the clarification on logs. Regarding the interaction, part of my study is to determine whether the relationship between ESG and the cost of capital matters more for companies domiciled in countries with stronger or weaker legal environments, hence the interaction. I plan on conducting a separate regression with just ESG.
For the xtreg, my results are insignificant. I have explored multicollinearity and dropped some variables. I am new to Stata and have done extensive searching, but I cant figure out the issue - I am using the same variables as literature on the topic which consistently reports significance ( I am using a different dataset although).
Code:
xtreg WACC i.LEGAL#c.ESG TQ ASG CUR LEV ROA BT INFL ln_SIZE i.Q_DATE, fe vce(cluster ID)
Fixed-effects (within) regression Number of obs = 1,019
Group variable: ID Number of groups = 51
R-squared: Obs per group:
Within = 0.2217 min = 19
Between = 0.0581 avg = 20.0
Overall = 0.1204 max = 20
F(29, 50) = 17.02
corr(u_i, Xb) = -0.4157 Prob > F = 0.0000
(Std. err. adjusted for 51 clusters in ID)
------------------------------------------------------------------------------
| Robust
WACC | Coefficient std. err. t P>|t| [95% conf. interval]
-------------+----------------------------------------------------------------
LEGAL#c.ESG |
0 | .117814 .0772885 1.52 0.134 -.0374245 .2730525
1 | .0234984 .0592518 0.40 0.693 -.0955122 .1425091
|
TQ | .1236057 .1094523 1.13 0.264 -.0962357 .3434471
ASG | -.0031606 .0021316 -1.48 0.144 -.0074421 .0011208
CUR | -.6016558 .6505541 -0.92 0.359 -1.908332 .7050205
LEV | -.2120949 .1508573 -1.41 0.166 -.5151007 .0909108
ROA | -.0882799 .0925487 -0.95 0.345 -.2741694 .0976096
BT | 1.324192 .7911091 1.67 0.100 -.2647978 2.913181
INFL | -.0378087 .0685163 -0.55 0.584 -.1754277 .0998103
ln_SIZE | -.3366782 1.212594 -0.28 0.782 -2.772245 2.098888
|
Q_DATE |
233 | -.2643647 .6454358 -0.41 0.684 -1.560761 1.032031
234 | -.3462174 .3578227 -0.97 0.338 -1.064925 .3724906
235 | -.0527402 .6747097 -0.08 0.938 -1.407934 1.302454
236 | -1.263111 .3236721 -3.90 0.000 -1.913226 -.6129967
237 | -.9502819 .41123 -2.31 0.025 -1.776262 -.1243022
238 | -.7070823 .4532081 -1.56 0.125 -1.617378 .2032129
239 | -.5344184 .4771554 -1.12 0.268 -1.492813 .4239764
240 | -1.258724 .5301932 -2.37 0.021 -2.323648 -.1937994
241 | 1.133952 1.014136 1.12 0.269 -.9029992 3.170903
242 | 1.815448 1.08304 1.68 0.100 -.3599018 3.990797
243 | -.4841026 .7798078 -0.62 0.538 -2.050393 1.082187
244 | 1.815126 1.015715 1.79 0.080 -.2249989 3.85525
245 | 4.859438 1.413294 3.44 0.001 2.020754 7.698121
246 | 2.378434 1.157898 2.05 0.045 .0527283 4.70414
247 | 2.454008 1.238441 1.98 0.053 -.0334741 4.94149
248 | 2.010818 1.379193 1.46 0.151 -.7593731 4.781009
249 | 2.960136 2.111618 1.40 0.167 -1.281173 7.201445
250 | 2.882623 2.172732 1.33 0.191 -1.481438 7.246683
251 | 3.31179 2.481841 1.33 0.188 -1.673133 8.296714
|
_cons | 14.9167 12.35549 1.21 0.233 -9.900025 39.73342
-------------+----------------------------------------------------------------
sigma_u | 3.7941641
sigma_e | 4.2754813
rho | .44056605 (fraction of variance due to u_i)
------------------------------------------------------------------------------
. margins LEGAL,dydx(ESG)
Average marginal effects Number of obs = 1,019
Model VCE: Robust
Expression: Linear prediction, predict()
dy/dx wrt: ESG
------------------------------------------------------------------------------
| Delta-method
| dy/dx std. err. z P>|z| [95% conf. interval]
-------------+----------------------------------------------------------------
ESG |
LEGAL |
0 | .117814 .0772885 1.52 0.127 -.0336686 .2692966
1 | .0234984 .0592518 0.40 0.692 -.0926329 .1396298
------------------------------------------------------------------------------
Comment