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Roots
.36+.28i
.36-.28i

Heteroskedasticity Test: ARCH

F-statistic
0.080979
Prob. F(1,19)
0.7791
Obs*R-squared
0.089123
Prob. Chi-Square(1)
0.7653

Null Hypothesis: IN is stationary

Exogenous: Constant

Lag length: 0 (Spectral OLS AR based on t-statistic, lagpval=0.1, maxlag=5)

LM-Stat.

Kwiatkowski-Phillips-Schmidt-Shin test statistic
0.346422
Asymptotic critical values*:
1% level

0.739

5% level

0.463

10% level
0.347

Residual variance (no correction)
88.04443
HAC corrected variance (Spectral OLS autoregression)
61.23284

KPSS Test Equation

Dependent Variable: IN

Method: Least Squares

Date: 12/24/14 Time: 18:39

Sample (adjusted): 1369 1392

Included observations: 24 after adjustments

Variable
Coefficient
Std. Error
t-Statistic
Prob.

C
20.2875
1.956532
10.36911
0

R-squared
0
Mean dependent var
20.2875
Adjusted R-squared
0
S.D. dependent var
9.585012
S.E. of regression
9.585012
Akaike info criterion
7.399052
Sum squared resid
2113.066
Schwarz criterion
7.448138
Log likelihood
-87.7886
Hannan-Quinn criter.
7.412074
Durbin-Watson stat
0.862543

Dependent Variable: RSALE

Method: Panel Least Squares

Sample (adjusted): 1381 1392

Periods included: 12

Cross-sections included: 153

Total panel (balanced) observations: 1836

Variable
Coefficient
Std. Error
t-Statistic
Prob.

RSALE(-1)
0.874354
0.013018
67.16611
0.0000
C
0.107789
0.012395
8.695855
0.0000

R-squared
0.710967
Mean dependent var
0.849775
Adjusted R-squared
0.710809
S.D. dependent var
0.44798
S.E. of regression
0.240908
Akaike info criterion
-0.00771
Sum squared resid
106.4393
Schwarz criterion
-0.00171
Log likelihood
9.081109
Hannan-Quinn criter.
-0.0055
F-statistic
4511.286
Durbin-Watson stat
2.059309
Prob(F-statistic)
0.0000

INFG
LEV
MB
PROFIT
SIZE
RISKFIRM
TANG
INFG
1
0.049799
-0.06845
-0.01956
-0.01327
0.023587
-0.00127
LEV
0.049799
1
-0.54629
-0.03235
0.004839
0.093911
0.074015
MB
-0.06845
-0.54629
1
0.057039
-0.03967
-0.08351
0.080527
PROFIT
-0.01956
-0.03235
0.057039
1
0.056977
0.184168
-0.01901
SIZE
-0.01327
0.004839
-0.03967
0.056977
1
-0.01092
-0.01622
RISKFIRM
0.023587
0.093911
-0.08351
0.184168
-0.01092
1
0.04826
TANG
-0.00127
0.074015
0.080527
-0.01901
-0.01622
0.04826
1

Dependent Variable: LEV

Method: Panel Least Squares

Date: 01/04/15 Time: 18:52

Sample (adjusted): 1381 1391

Periods included: 11

Cross-sections included: 153

Total panel (unbalanced) observations: 1653

Variable
Coefficient
Std. Error
t-Statistic
Prob.

SIZE
0.023085
0.015425
1.496656
0.1347
PROFIT
-0.04332
0.020996
-2.06308
0.0393
TANG
0.157625
0.024438
6.450098
0
MB
-0.10518
0.004324
-24.3277
0
RISKFIRM
0.004876
0.001475
3.304589
0.001
INFG
0.00032
0.000289
1.105884
0.269
C
0.239159
0.061439
3.892621
0.0001

Effects Specification

Cross-section fixed (dummy variables)

R-squared
0.705616
Mean dependent var
0.227229
Adjusted R-squared
0.674483
S.D. dependent var
0.149689
S.E. of regression
0.085404
Akaike info criterion
-1.99161
Sum squared resid
10.89695
Schwarz criterion
-1.4712
Log likelihood
1805.065
Hannan-Quinn criter.
-1.79868
F-statistic
22.6646
Durbin-Watson stat
0.925929
Prob(F-statistic)
0

Redundant Fixed Effects Tests

Equation: EQ09

Test cross-section fixed effects

Effects Test
Statistic
d.f.
Prob.

Cross-section F
27.642674
1,521,447
0

Cross-section fixed effects test equation:

Dependent Variable: LEV

Method: Panel EGLS (Cross-section weights)

Date: 01/04/15 Time: 18:44

Sample (adjusted): 1381 1391

Periods included: 11

Cross-sections included: 153

Total panel (unbalanced) observations: 1653

Use pre-specified GLS weights

Variable
Coefficient
Std. Error
t-Statistic
Prob.

SIZE
-0.00812
0.005251
-1.545816
0.1223
PROFIT
-0.05256
0.020943
-2.509463
0.0122
TANG
0.209648
0.018957
11.05921
0
MB
-0.10075
0.003688
-27.32074
0
RISKFIRM
0.001624
0.001022
1.58847
0.1124
INFG
0.000192
0.00038
0.506212
0.6128
C
0.332401
0.023539
14.12124
0

Weighted Statistics

R-squared
0.382624
Mean dependent var

0.26612
Adjusted R-squared
0.380374
S.D. dependent var

0.189497
S.E. of regression
0.158471
Sum squared resid

41.33598
F-statistic
170.0206
Durbin-Watson stat

0.275599
Prob(F-statistic)
0

Unweighted Statistics

R-squared
0.259926
Mean dependent var

0.227229
Sum squared resid
27.39466
Durbin-Watson stat

0.370867

Dependent Variable: LEV

Method: Panel Least Squares

Date: 01/04/15 Time: 19:15

Sample (adjusted): 1381 1391

Periods included: 11

Cross-sections included: 153

Total panel (unbalanced) observations: 1653

Variable
Coefficient
Std. Error
t-Statistic
Prob.

SIZE
0.022961
0.015461
1.485034
0.1377
PROFIT
-0.04404
0.031962
-1.378014
0.1684
TANG
0.157783
0.024457
6.451335
0
MB
-0.10514
0.004327
-24.29693
0
RISKFIRM
0.005085
0.001636
3.108136
0.0019
INFG
0.000235
0.000419
0.560742
0.5751
RISKFIRM*PROFIT
-0.0005
0.001704
-0.29293
0.7696
INFG*PROFIT
0.000517
0.001887
0.274021
0.7841
C
0.239338
0.062011
3.859608
0.0001

Effects Specification

Cross-section fixed (dummy variables)

R-squared
0.705647
Mean dependent var

0.227229
Adjusted R-squared
0.674081
S.D. dependent var

0.149689
S.E. of regression
0.085457
Akaike info criterion

-1.98929
Sum squared resid
10.89581
Schwarz criterion

-1.46233
Log likelihood
1805.152
Hannan-Quinn criter.

-1.79394
F-statistic
22.35464
Durbin-Watson stat

0.926201
Prob(F-statistic)
0

Redundant Fixed Effects Tests

Equation: EQ10

Test cross-section fixed effects

Effects Test

Statistic
d.f.
Prob.

Cross-section F

13.037677
1,521,497
0
Cross-section Chi-square

1396.96772
152
0

Cross-section fixed effects test equation:

Dependent Variable: LEV

Method: Panel Least Squares

Date: 01/04/15 Time: 19:16

Sample (adjusted): 1381 1391

Periods included: 11

Cross-sections included: 153

Total panel (unbalanced) observations: 1653

Variable
Coefficient
Std. Error
t-Statistic
Prob.

SIZE
-0.00375
0.005329
-0.703262
0.482
PROFIT
-0.00738
0.036952
-0.199793
0.8417
TANG
0.109194
0.01933
5.648927
0
MB
-0.12909
0.004842
-26.6594
0
RISKFIRM
0.002159
0.001167
1.849963
0.0645
INFG
8.99E-05
0.000604
0.148858
0.8817
RISKFIRM*PROFIT
-0.00077
0.002027
-0.381137
0.7032
INFG*PROFIT
0.000802
0.002701
0.297102
0.7664
C
0.396221
0.024213
16.3637
0

R-squared
0.314677
Mean dependent var

0.227229
Adjusted R-squared
0.311342
S.D. dependent var

0.149689
S.E. of regression
0.12422
Akaike info criterion

-1.32809
Sum squared resid
25.36801
Schwarz criterion

-1.29863
Log likelihood
1106.668
Hannan-Quinn criter.

-1.31717
F-statistic
94.35847
Durbin-Watson stat

0.412193
Prob(F-statistic)
0

Dependent Variable: LEV

Method: Panel Generalized Method of Moments
Transformation: First Differences

Sample (adjusted): 1383 1392

Periods included: 10

Cross-sections included: 153

Total panel (unbalanced) observations: 1500
White period instrument weighting matrix
Instrument specification: @DYN(LEVV,-2) TANGG(-1) SIZE(-1) PROFIT(-1) MBB(-1) RISKFIRM(-1) INFG(-1) @LEVV(C)
Convergence achieved after 54 weight iterations
Constant added to instrument list

Variable
Coefficient
Std. Error
t-Statistic
Prob.

LEV(-1)
0.4617
0.096253
4.796724
0.0000
MBB(-1)
0.051658
0.019773
2.612553
0.0091
SIZE(-1)
0.429824
0.047704
9.0102
0.0000
PROFIT(-1)
-0.19975
0.060863
-3.28194
0.0011
TANGG(-1)
0.333766
0.079673
4.189211
0.0000
RISKFIRM(-1)
-0.07507
0.014372
-5.2233
0.0000
INFG(-1)
-0.00063
0.000211
-2.98176
0.0029

Effects Specification

Cross-section fixed (first differences)

Mean dependent var
-0.00015
S.D. dependent var
0.087188
S.E. of regression
0.141551
Sum squared resid
29.91496
J-statistic
67.58008
Instrument rank
65
Prob(J-statistic)
0.182496

Arellano-Bond Serial Correlation Test

Equation: Untitled

Sample: 1380 1392

Included observations: 1500

Test order
m-Statistic
rho
SE(rho)
Prob.

AR(1)
-3.17712
-3.86622
1.216895
0.0015
AR(2)
-0.03372
-0.03096
0.918229
0.9731

Dependent Variable: LEVV

Method: Panel Generalized Method of Moments
Transformation: First Differences

Date: 12/31/14 Time: 15:08

Sample (adjusted): 1383 1391

Periods included: 9

Cross-sections included: 153

Total panel (unbalanced) observations: 1341
White period instrument weighting matrix
White period standard errors & covariance (d.f. corrected)
Convergence achieved after 80 weight iterations

Variable
Coefficient
Std. Error
t-Statistic
Prob.

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