I hope you're well. I'm currently working with the eprobit model in Stata and have two questions I was hoping to get your guidance on:
- I'm trying to present the endogeneity test for the full model. I understand that the correlations among the error terms are used for this, but I'm not entirely sure how to properly test and report endogeneity for the entire system. Could you please clarify the correct approach?
- My second question is about instrument specification. In eprobit, should all instrumental variables be included in each first-stage equation (similar to 2SLS), or should I only include the instruments that are relevant for each specific endogenous regressor?
HTML Code:
. eprobit (hard_final_Exact_new workforce2_w Firm_Size_w ROA_w Leverage_w Market_b
> ook_four_w Non_pension_CFO_w STD_CFO_w board_size_w GenderRatiogenderratio_w indepe
> ndent_percentage_w SUSTAIBILITY_COMITEE_FU community2_w productresponsibility2_w humanri
> ghts2_w environment2_w Fund_Status_w FUNDING_RATIO_w Platn_Size_w i.year i.ff_12) ,endog
> enous(csopresence1 = workforce2_w Firm_Size_w ROA_w Leverage_w Market_book_four_w
> Non_pension_CFO_w STD_CFO_w board_size_w GenderRatiogenderratio_w independent_perc
> entage_w SUSTAIBILITY_COMITEE_FU community2_w productresponsibility2_w humanrights2_w en
> vironment2_w Fund_Status_w FUNDING_RATIO_w Platn_Size_w CSO_Percentage i.year i.ff_12) e
> ndogenous(CSOXWorkforceScore = workforce2_w Firm_Size_w ROA_w Leverage_w Market_b
> ook_four_w Non_pension_CFO_w STD_CFO_w board_size_w GenderRatiogenderratio_w indepe
> ndent_percentage_w SUSTAIBILITY_COMITEE_FU community2_w productresponsibility2_w humanri
> ghts2_w environment2_w Fund_Status_w FUNDING_RATIO_w Platn_Size_w secondIV i.year i.ff_1
> 2) vce (cluster id)
Iteration 0: Log pseudolikelihood = -13542.787
Iteration 1: Log pseudolikelihood = -13467.956
Iteration 2: Log pseudolikelihood = -13462.799
Iteration 3: Log pseudolikelihood = -13462.762
Iteration 4: Log pseudolikelihood = -13462.726
Iteration 5: Log pseudolikelihood = -13462.725
Iteration 6: Log pseudolikelihood = -13462.725
Extended probit regression Number of obs = 3,236
Wald chi2(47) = 537.89
Log pseudolikelihood = -13462.725 Prob > chi2 = 0.0000
(Std. err. adjusted for 269 clusters in id)
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| Robust
| Coefficient std. err. z P>|z| [95% conf. interval]
--------------------------+----------------------------------------------------------------
hard_final_Exact_new |
workforce2_w | .0031247 .0039503 0.79 0.429 -.0046177 .0108672
Firm_Size_w | -.0186164 .0808592 -0.23 0.818 -.1770975 .1398647
ROA_w | 1.041966 1.135957 0.92 0.359 -1.18447 3.268401
Leverage_w | -.6701773 .4350424 -1.54 0.123 -1.522845 .1824902
Market_book_four_w | .0004987 .0071775 0.07 0.945 -.013569 .0145664
Non_pension_CFO_w | -1.938416 1.576697 -1.23 0.219 -5.028685 1.151854
STD_CFO_w | -3.434643 2.70318 -1.27 0.204 -8.732779 1.863492
board_size_w | -.0301312 .0219988 -1.37 0.171 -.0732481 .0129857
GenderRatiogenderratio_w | .4733002 .5822997 0.81 0.416 -.6679862 1.614587
independent_percentage_w | -.0215448 .6049199 -0.04 0.972 -1.207166 1.164076
SUSTAIBILITY_COMITEE_FU | -.0652688 .1286232 -0.51 0.612 -.3173656 .186828
community2_w | .0011982 .002831 0.42 0.672 -.0043504 .0067468
productresponsibility2_w | .0015 .0019921 0.75 0.451 -.0024045 .0054045
humanrights2_w | .0007918 .0021693 0.36 0.715 -.00346 .0050435
environment2_w | -.0051986 .0029285 -1.78 0.076 -.0109383 .0005412
Fund_Status_w | -3.472541 2.01157 -1.73 0.084 -7.415146 .4700636
FUNDING_RATIO_w | -.3321977 .3224975 -1.03 0.303 -.9642813 .2998858
Platn_Size_w | -.0970781 .0533242 -1.82 0.069 -.2015916 .0074354
|
year |
2007 | -.0861345 .2876718 -0.30 0.765 -.649961 .4776919
2008 | .1641851 .2761373 0.59 0.552 -.3770341 .7054043
2009 | .2598191 .2710578 0.96 0.338 -.2714444 .7910826
2010 | .1868993 .2700127 0.69 0.489 -.3423159 .7161145
2011 | -.0498214 .2784994 -0.18 0.858 -.5956702 .4960274
2012 | .0294739 .2855828 0.10 0.918 -.5302581 .589206
2013 | -.028536 .280453 -0.10 0.919 -.5782138 .5211419
2014 | -.0672915 .2843434 -0.24 0.813 -.6245944 .4900114
2015 | -.0842307 .2957226 -0.28 0.776 -.6638363 .4953748
2016 | -.2567869 .2896027 -0.89 0.375 -.8243979 .310824
2017 | -.2289553 .2861761 -0.80 0.424 -.7898501 .3319396
2018 | -.1169312 .2996443 -0.39 0.696 -.7042231 .4703608
2019 | -.3310998 .3065502 -1.08 0.280 -.9319271 .2697275
2020 | -.1069367 .3294852 -0.32 0.746 -.7527159 .5388425
2021 | -.3756916 .3147406 -1.19 0.233 -.9925718 .2411885
2022 | -.8286573 .352552 -2.35 0.019 -1.519646 -.1376682
|
ff_12 |
2 | .3947298 .3761848 1.05 0.294 -.3425789 1.132039
3 | .4201882 .2562824 1.64 0.101 -.0821161 .9224926
4 | .3046796 .3862521 0.79 0.430 -.4523605 1.06172
5 | .185375 .2923683 0.63 0.526 -.3876563 .7584064
6 | .3934198 .2308851 1.70 0.088 -.0591066 .8459462
7 | .2455334 .5374838 0.46 0.648 -.8079155 1.298982
8 | .428547 .2735486 1.57 0.117 -.1075984 .9646924
9 | .5837555 .250669 2.33 0.020 .0924533 1.075058
10 | .2705967 .2410296 1.12 0.262 -.2018126 .743006
11 | .6670455 .2589609 2.58 0.010 .1594915 1.1746
12 | .3331545 .2676841 1.24 0.213 -.1914966 .8578056
|
csopresence1 | 3.622246 .5837273 6.21 0.000 2.478161 4.76633
CSOXWorkforceScore | -.0201987 .0097622 -2.07 0.039 -.0393322 -.0010652
_cons | -.8900783 1.009148 -0.88 0.378 -2.867973 1.087816
--------------------------+----------------------------------------------------------------
csopresence1 |
workforce2_w | .0012993 .0007738 1.68 0.093 -.0002173 .0028159
Firm_Size_w | -.0311851 .0285324 -1.09 0.274 -.0871074 .0247373
ROA_w | -.0471849 .324413 -0.15 0.884 -.6830226 .5886528
Leverage_w | .1337758 .1378306 0.97 0.332 -.1363671 .4039188
Market_book_four_w | .0005483 .0016818 0.33 0.744 -.0027481 .0038447
Non_pension_CFO_w | -.1982277 .4245416 -0.47 0.641 -1.030314 .6338584
STD_CFO_w | 2.078438 .7682139 2.71 0.007 .5727667 3.58411
board_size_w | .0136759 .0074941 1.82 0.068 -.0010122 .0283641
GenderRatiogenderratio_w | -.3366879 .1674564 -2.01 0.044 -.6648964 -.0084793
independent_percentage_w | .1884477 .1664563 1.13 0.258 -.1378007 .5146961
SUSTAIBILITY_COMITEE_FU | .0548851 .0438374 1.25 0.211 -.0310346 .1408049
community2_w | .000525 .0007941 0.66 0.509 -.0010314 .0020814
productresponsibility2_w | -.0007021 .0006674 -1.05 0.293 -.0020102 .0006059
humanrights2_w | .0006621 .0007024 0.94 0.346 -.0007146 .0020387
environment2_w | .0016742 .0008716 1.92 0.055 -.0000341 .0033825
Fund_Status_w | .6318181 .746323 0.85 0.397 -.8309482 2.094584
FUNDING_RATIO_w | .0190729 .1106861 0.17 0.863 -.1978678 .2360137
Platn_Size_w | .0576575 .0185487 3.11 0.002 .0213027 .0940124
CSO_Percentage | .7722808 .110677 6.98 0.000 .5553578 .9892038
|
year |
2007 | -.0228163 .0331463 -0.69 0.491 -.0877818 .0421491
2008 | .0023965 .0398246 0.06 0.952 -.0756583 .0804512
2009 | -.0178648 .0420993 -0.42 0.671 -.100378 .0646483
2010 | -.0286424 .0415385 -0.69 0.490 -.1100563 .0527715
2011 | -.0227573 .0438845 -0.52 0.604 -.1087694 .0632548
2012 | -.0123832 .0447131 -0.28 0.782 -.1000193 .0752529
2013 | -.0167203 .0444548 -0.38 0.707 -.1038502 .0704095
2014 | -.0296326 .046918 -0.63 0.528 -.1215903 .062325
2015 | -.0296132 .0503707 -0.59 0.557 -.128338 .0691116
2016 | -.0187712 .0528813 -0.35 0.723 -.1224166 .0848742
2017 | -.0463877 .0534594 -0.87 0.386 -.1511663 .0583908
2018 | -.0640328 .0574457 -1.11 0.265 -.1766243 .0485586
2019 | -.0994439 .062076 -1.60 0.109 -.2211106 .0222228
2020 | -.124588 .0690148 -1.81 0.071 -.2598545 .0106785
2021 | -.1536478 .0720697 -2.13 0.033 -.2949017 -.0123938
2022 | -.0797707 .0773834 -1.03 0.303 -.2314395 .071898
|
ff_12 |
2 | -.1070403 .0997043 -1.07 0.283 -.3024571 .0883765
3 | -.0900099 .0805521 -1.12 0.264 -.2478891 .0678693
4 | -.0759245 .1173946 -0.65 0.518 -.3060136 .1541646
5 | -.1006926 .087924 -1.15 0.252 -.2730204 .0716352
6 | -.0063897 .076581 -0.08 0.934 -.1564857 .1437062
7 | .126995 .1787257 0.71 0.477 -.223301 .477291
8 | -.0901825 .0811466 -1.11 0.266 -.2492269 .068862
9 | -.0031986 .0859455 -0.04 0.970 -.1716486 .1652514
10 | .0364038 .0828744 0.44 0.660 -.126027 .1988346
11 | -.027204 .0914678 -0.30 0.766 -.2064776 .1520696
12 | -.0260279 .083688 -0.31 0.756 -.1900534 .1379975
|
_cons | -.2707685 .3077246 -0.88 0.379 -.8738976 .3323606
--------------------------+----------------------------------------------------------------
CSOXWorkforceScore |
workforce2_w | .0747397 .0639893 1.17 0.243 -.050677 .2001563
Firm_Size_w | -2.06819 2.142612 -0.97 0.334 -6.267632 2.131253
ROA_w | -8.432993 23.74911 -0.36 0.723 -54.98039 38.1144
Leverage_w | 10.27149 9.716141 1.06 0.290 -8.771792 29.31478
Market_book_four_w | -.0525265 .1286904 -0.41 0.683 -.304755 .1997021
Non_pension_CFO_w | 2.539061 33.02493 0.08 0.939 -62.18862 67.26674
STD_CFO_w | 140.3757 56.41079 2.49 0.013 29.81262 250.9389
board_size_w | 1.073735 .5783211 1.86 0.063 -.0597532 2.207224
GenderRatiogenderratio_w | -30.88703 12.4863 -2.47 0.013 -55.35972 -6.414334
independent_percentage_w | 8.323648 11.56758 0.72 0.472 -14.34839 30.99568
SUSTAIBILITY_COMITEE_FU | 3.598982 3.24236 1.11 0.267 -2.755926 9.953891
community2_w | .0930142 .0509354 1.83 0.068 -.0068174 .1928458
productresponsibility2_w | -.0568823 .0480337 -1.18 0.236 -.1510266 .0372621
humanrights2_w | .0499125 .053229 0.94 0.348 -.0544145 .1542395
environment2_w | .1182754 .0629669 1.88 0.060 -.0051374 .2416882
Fund_Status_w | 39.68198 56.0762 0.71 0.479 -70.22534 149.5893
FUNDING_RATIO_w | 3.450755 8.34225 0.41 0.679 -12.89976 19.80126
Platn_Size_w | 3.94288 1.381835 2.85 0.004 1.234534 6.651227
secondIV | .8616396 .0939572 9.17 0.000 .6774868 1.045792
|
year |
2007 | -1.515233 2.442708 -0.62 0.535 -6.302853 3.272387
2008 | .7203621 2.853159 0.25 0.801 -4.871727 6.312451
2009 | -.876429 2.940347 -0.30 0.766 -6.639403 4.886545
2010 | -1.492303 2.937579 -0.51 0.611 -7.249851 4.265246
2011 | -.9247235 3.15386 -0.29 0.769 -7.106176 5.256729
2012 | -.5339949 3.157646 -0.17 0.866 -6.722868 5.654878
2013 | -1.39483 3.088544 -0.45 0.652 -7.448264 4.658605
2014 | -1.72196 3.285633 -0.52 0.600 -8.161682 4.717762
2015 | -2.946975 3.572286 -0.82 0.409 -9.948528 4.054577
2016 | -1.468511 3.786565 -0.39 0.698 -8.890043 5.953021
2017 | -3.430382 3.852425 -0.89 0.373 -10.981 4.120231
2018 | -5.900072 4.145834 -1.42 0.155 -14.02576 2.225613
2019 | -8.446528 4.483822 -1.88 0.060 -17.23466 .3416016
2020 | -10.3807 5.065301 -2.05 0.040 -20.30851 -.4528926
2021 | -12.45289 5.268354 -2.36 0.018 -22.77868 -2.127108
2022 | -8.551985 5.509433 -1.55 0.121 -19.35027 2.246304
|
ff_12 |
2 | -3.489432 5.332633 -0.65 0.513 -13.9412 6.962336
3 | -5.62748 5.663621 -0.99 0.320 -16.72797 5.473013
4 | -7.063789 8.663257 -0.82 0.415 -24.04346 9.915883
5 | -8.817446 6.425271 -1.37 0.170 -21.41075 3.775854
6 | 2.751461 6.250628 0.44 0.660 -9.499546 15.00247
7 | 10.81975 13.44765 0.80 0.421 -15.53715 37.17665
8 | -6.523263 5.84088 -1.12 0.264 -17.97118 4.92465
9 | -1.760702 6.55867 -0.27 0.788 -14.61546 11.09405
10 | 4.853678 6.73605 0.72 0.471 -8.348737 18.05609
11 | -1.532533 6.355879 -0.24 0.809 -13.98983 10.92476
12 | .6663276 6.64128 0.10 0.920 -12.35034 13.683
|
_cons | -16.74526 22.53694 -0.74 0.457 -60.91685 27.42633
--------------------------+----------------------------------------------------------------
var(e.csopresence1)| .1541637 .007636 .1399008 .1698806
var(e.CSOXWorkforceScore)| 847.4947 46.15502 761.6932 942.9614
--------------------------+----------------------------------------------------------------
corr(e.csopresence1,|
e.hard_final_Exact_new)| -.8003511 .1259846 -6.35 0.000 -.9453968 -.3906888
corr(e.CSOXWorkforceScore,|
e.hard_final_Exact_new)| -.721655 .1340441 -5.38 0.000 -.8975213 -.3477267
corr(e.CSOXWorkforceScore,|
e.csopresence1)| .9541824 .0044174 216.01 0.000 .9446771 .9620864
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