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dissertation-chapter-4-yearly-data-analysis.do
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dissertation-chapter-4-yearly-data-analysis.do
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***=====================================================***
* CHAPTER 4 DATA ANALYSIS
* FIRM-YEAR LEVEL DATASET COMBINING
* CSRHUB/CSTAT AND KLD
***=====================================================***
/* ANLAYSIS PLAN: TEST IF SIC IS STAKEHOLDER SPECIFIC
RUN THE MEDIATION MODELS FROM CHAPTER 2 FOR CSRHUB AND KLD FOR
- Customers
KLD: pro_str pro_con
CSRHub: prod_rtg
- Employees
KLD: emp_str* emp_con*
CSRHub: emp_rtg
- Natural environment
KLD: env_str env_con
CSRHub: enviro_rtg
*/
***===========***
* LOAD DATA *
***===========***
use data/csrhub-cstat-kld-matched.dta, clear
xtset
***===============***
* PREP KLD DATA *
***===============***
/// RENAME VARIABLES
rename (sum_emp_con sum_emp_str sum_env_con sum_env_str sum_pro_con sum_pro_str) ///
(net_kld_emp_con net_kld_emp_str net_kld_env_con net_kld_env_str ///
net_kld_prod_con net_kld_prod_str)
label var net_kld_prod_str "(KLD) sum product strengths"
label var net_kld_prod_con "(KLD) sum product concerns"
label var net_kld_emp_str "(KLD) sum employee strengths"
label var net_kld_emp_con "(KLD) sum employee concerns"
label var net_kld_env_str "(KLD) sum environment strengths"
label var net_kld_env_con "(KLD) sum environment concerns"
/// GENERATE NET KLD VARIABLES
gen net_kld_prod = net_kld_prod_str - net_kld_prod_con
gen net_kld_env = net_kld_env_str - net_kld_env_con
gen net_kld_emp = net_kld_emp_str - net_kld_emp_con
label var net_kld_prod "(KLD) net product score (strengths - concerns)"
label var net_kld_env "(KLD) net environment score (strengths - concerns)"
label var net_kld_emp "(KLD) net employee score (strengths - concerns)"
***===================***
* PREP CSRHUB DATA *
***===================***
/// RENAME VARIABLES
rename (prod_rtg_lym emp_rtg_lym enviro_rtg_lym) (prod_rtg emp_rtg env_rtg)
label var prod_rtg "(CSRHUB) product rating"
label var emp_rtg "(CSRHUB) employee rating"
label var env_rtg "(CSRHUB) environment rating"
***===============================***
* *
* DESCRIPTIVE STATISTICS *
* *
***===============================***
set scheme plotplainblind
/// VARIABLES
local variables revt_usd revt_usd_ihs ///
prod_rtg net_kld_prod net_kld_prod_str net_kld_prod_con ///
emp_rtg net_kld_emp net_kld_emp_str net_kld_emp_con ///
env_rtg net_kld_env net_kld_env_str net_kld_env_con ///
dltt at age emp xad xrd year
/// CORRELATION TABLE
asdoc pwcorr `variables' , ///
st(.05) dec(2) ///
replace save(tables-and-figures/descriptive-statistics/ch4-summary-statistics.doc)
/// SUMMARY STATISTICS
asdoc sum `variables', ///
dec(2) ///
save(tables-and-figures/descriptive-statistics/ch4-summary-statistics.doc)
/// REVENUE
asdoc sum revt_usd revt_usd_ihs, d ///
dec(2) ///
save(tables-and-figures/descriptive-statistics/ch4-summary-statistics-revenue-comparison.doc)
sleep 500
/// SKEWNESS OF REVENUE BY INDUSTRY
tabstat revt_usd, by(sic2cat) stat(N mean p50 skew) f(%9.2fc)
tabstat revt_usd_ihs, by(sic2cat) stat(N mean p50 skew) f(%9.2fc)
*** Histogram
histogram revt_usd, bin(100) name(g1, replace) freq nodraw ///
xti("Untransformed revenue ({c $|}millions USD)")
histogram revt_usd_ihs, bin(100) name(g2, replace) freq nodraw ///
xti("Inverse hyperbolic sine-transformed revenue") ///
yti("")
graph combine g1 g2, c(2) r(1) ycommon ///
ti("Untransformed and transformed revenue distributions")
/// TOP 10 AND BOTTOM 10 FIRMS
*** Revenue
* All years
gsort -revt_usd
list firm year revt_usd in 1/10
gsort revt_usd
list firm year revt_usd in 1/10
*** Customers
* SIC
gsort -net_kld_prod
list firm year net_kld_prod in 1/10
gsort net_kld_prod
list firm year net_kld_prod in 1/10
* CSR
gsort -net_kld_prod
list firm year net_kld_prod in 1/10
gsort net_kld_prod
list firm year net_kld_prod in 1/10
*** Employees
*** Environment
/// SIC AND CSR ACROSS STAKEHOLDER GROUPS
*** SIC
tabstat prod_rtg emp_rtg env_rtg, stat(mean p50 min max N)
xtsum prod_rtg emp_rtg env_rtg
***=======================***
* *
* CUSTOMER STAKEHOLDERS *
* *
***=======================***
***===================***
* POOLED REGRESSION *
* DV: SAME YEAR *
***===================***
local iv prod_rtg
local mediator net_kld_prod
foreach dv in revt_usd revt_usd_ihs {
/// DIRECT
reg `dv' `iv', cluster(gvkey)
est sto pooldir1
outreg2 [pooldir1] ///
using "tables-and-figures\ch4\ch4-`dv'-`iv'-same-year-pooled-direct", ///
replace word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(`dv') ///
nocons addtext(Firm FEs, No, Year FEs, No)
reg `dv' `iv' i.year, cluster(gvkey)
est sto pooldir2
reg `dv' `iv' dltt i.year, cluster(gvkey)
est sto pooldir3
reg `dv' `iv' dltt at i.year, cluster(gvkey)
est sto pooldir4
reg `dv' `iv' dltt at emp i.year, cluster(gvkey)
est sto pooldir5
reg `dv' `iv' dltt at emp age i.year, cluster(gvkey)
est sto pooldir6
reg `dv' `iv' dltt at emp age xad i.year, cluster(gvkey)
est sto pooldir7
reg `dv' `iv' dltt at emp age xad xrd i.year, cluster(gvkey)
est sto pooldir8
*** Table
outreg2 [pooldir2 pooldir3 pooldir4 pooldir5 ///
pooldir6 pooldir7 pooldir8] ///
using "tables-and-figures\ch4\ch4-`dv'-`iv'-same-year-pooled-direct", word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(`dv' i.year) ///
nocons addtext(Firm FEs, No, Year FEs, Yes)
*** Assume missing xrd and xad are 0
* CSTAT Global has no xrd or xad data
preserve
* xad
replace xad=0 if xad==. & in_cstatn==1
* xrd
replace xrd=0 if xrd==. & in_cstatn==1
* Estimate
reg `dv' `iv' dltt at emp age xad xrd i.year, cluster(gvkey)
est sto pooldir9
*** Table
outreg2 [pooldir9] ///
using "tables-and-figures\ch4\ch4-`dv'-`iv'-same-year-pooled-direct", word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(`dv' i.year) ///
nocons addtext(Firm FEs, No, Year FEs, Yes)
restore
/// MEDIATOR MODEL
reg `mediator' `iv', cluster(gvkey)
est sto poolmed1
outreg2 [poolmed1] ///
using "tables-and-figures\ch4\ch4-`dv'-`iv'-same-year-pooled-mediator", ///
replace word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(`mediator') ///
nocons addtext(Firm FEs, No, Year FEs, No)
reg `mediator' `iv' i.year, cluster(gvkey)
est sto poolmed2
reg `mediator' `iv' dltt i.year, cluster(gvkey)
est sto poolmed3
reg `mediator' `iv' dltt at i.year, cluster(gvkey)
est sto poolmed4
reg `mediator' `iv' dltt at emp i.year, cluster(gvkey)
est sto poolmed5
reg `mediator' `iv' dltt at emp age i.year, cluster(gvkey)
est sto poolmed6
reg `mediator' `iv' dltt at emp age xad i.year, cluster(gvkey)
est sto poolmed7
reg `mediator' `iv' dltt at emp age xad xrd i.year, cluster(gvkey)
est sto poolmed8
*** Table
outreg2 [poolmed2 poolmed3 poolmed4 poolmed5 ///
poolmed6 poolmed7 poolmed8] ///
using "tables-and-figures\ch4\ch4-`dv'-`iv'-same-year-pooled-mediator", word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(`mediator' i.year) ///
nocons addtext(Firm FEs, No, Year FEs, Yes)
*** Assume missing xrd and xad are 0
* CSTAT Global has no xrd or xad data
preserve
* xad
replace xad=0 if xad==. & in_cstatn==1
* xrd
replace xrd=0 if xrd==. & in_cstatn==1
* Estimate
reg `mediator' `iv' dltt at emp age xad xrd i.year, cluster(gvkey)
est sto poolmed9
* Table
outreg2 [poolmed9] ///
using "tables-and-figures\ch4\ch4-`dv'-`iv'-same-year-pooled-mediator", word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(`mediator' i.year) ///
nocons addtext(Firm FEs, No, Year FEs, Yes)
restore
/// MEDIATION TEST
reg `dv' `mediator' `iv', cluster(gvkey)
est sto pooltest1
outreg2 [pooltest1] ///
using "tables-and-figures\ch4\ch4-`dv'-`iv'-same-year-pooled-mediation-test", ///
replace word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(`dv') ///
nocons addtext(Firm FEs, No, Year FEs, No)
reg `dv' `mediator' `iv' i.year, cluster(gvkey)
est sto pooltest2
reg `dv' `mediator' `iv' dltt i.year, cluster(gvkey)
est sto pooltest3
reg `dv' `mediator' `iv' dltt at i.year, cluster(gvkey)
est sto pooltest4
reg `dv' `mediator' `iv' dltt at emp i.year, cluster(gvkey)
est sto pooltest5
reg `dv' `mediator' `iv' dltt at emp age i.year, cluster(gvkey)
est sto pooltest6
reg `dv' `mediator' `iv' dltt at emp age xad i.year, cluster(gvkey)
est sto pooltest7
reg `dv' `mediator' `iv' dltt at emp age xad xrd i.year, cluster(gvkey)
est sto pooltest8
* Table
outreg2 [pooltest2 pooltest3 pooltest4 pooltest5 ///
pooltest6 pooltest7 pooltest8] ///
using "tables-and-figures\ch4\ch4-`dv'-`iv'-same-year-pooled-mediation-test", word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(`dv' i.year) ///
nocons addtext(Firm FEs, No, Year FEs, Yes)
*** Assume missing xrd and xad are 0
* CSTAT Global has no xrd or xad data
preserve
* xad
replace xad=0 if xad==. & in_cstatn==1
* xrd
replace xrd=0 if xrd==. & in_cstatn==1
* Estimate
reg `dv' `mediator' `iv' dltt at emp age xad xrd i.year, cluster(gvkey)
est sto pooltest9
*** Table
outreg2 [pooltest9] ///
using "tables-and-figures\ch4\ch4-`dv'-`iv'-same-year-pooled-mediation-test", word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(`dv' i.year) ///
nocons addtext(Firm FEs, No, Year FEs, Yes)
restore
}
***===========================***
* FIXED EFFECTS ESTIMATION *
* DV: SAME YEAR *
***===========================***
local iv prod_rtg
local mediator net_kld_prod
foreach dv in revt_usd revt_usd_ihs `dv' {
/// DIRECT
xtreg `dv' `iv', fe cluster(gvkey)
est sto fedir1
outreg2 [fedir1] ///
using "tables-and-figures\ch4\ch4-fe-`dv'-`iv'-same-year-direct", ///
replace word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(`dv') ///
nocons addtext(Firm FEs, Yes, Year FEs, No)
sleep 500
xtreg `dv' `iv' i.year, fe cluster(gvkey)
est sto fedir2
xtreg `dv' `iv' dltt i.year, fe cluster(gvkey)
est sto fedir3
xtreg `dv' `iv' dltt at i.year, fe cluster(gvkey)
est sto fedir4
xtreg `dv' `iv' dltt at emp i.year, fe cluster(gvkey)
est sto fedir5
xtreg `dv' `iv' dltt at emp age i.year, fe cluster(gvkey)
est sto fedir6
xtreg `dv' `iv' dltt at emp age xad i.year, fe cluster(gvkey)
est sto fedir7
xtreg `dv' `iv' dltt at emp age xad xrd i.year, fe cluster(gvkey)
est sto fedir8
*** Table
outreg2 [fedir2 fedir3 fedir4 fedir5 ///
fedir6 fedir7 fedir8] ///
using "tables-and-figures\ch4\ch4-fe-`dv'-`iv'-same-year-direct", word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(`dv' i.year 2016o.year) ///
nocons addtext(Firm FEs, Yes, Year FEs, Yes)
sleep 500
*** Assume missing xrd and xad are 0
* CSTAT Global has no xrd or xad data
preserve
* xad
replace xad=0 if xad==. & in_cstatn==1
* xrd
replace xrd=0 if xrd==. & in_cstatn==1
* Estimate
xtreg `dv' `iv' dltt at emp age xad xrd i.year, fe cluster(gvkey)
est sto fedir9
*** Table
outreg2 [fedir9] ///
using "tables-and-figures\ch4\ch4-fe-`dv'-`iv'-same-year-direct", word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(`dv' i.year 2016o.year) ///
nocons addtext(Firm FEs, Yes, Year FEs, Yes)
sleep 500
restore
/// MEDIATOR MODEL
xtreg `mediator' `iv', fe cluster(gvkey)
est sto femed1
outreg2 [femed1] ///
using "tables-and-figures\ch4\ch4-fe-`dv'-`iv'-same-year-mediator", ///
replace word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(`mediator') ///
nocons addtext(Firm FEs, Yes, Year FEs, No)
sleep 500
xtreg `mediator' `iv' i.year, fe cluster(gvkey)
est sto femed2
xtreg `mediator' `iv' dltt i.year, fe cluster(gvkey)
est sto femed3
xtreg `mediator' `iv' dltt at i.year, fe cluster(gvkey)
est sto femed4
xtreg `mediator' `iv' dltt at emp i.year, fe cluster(gvkey)
est sto femed5
xtreg `mediator' `iv' dltt at emp age i.year, fe cluster(gvkey)
est sto femed6
xtreg `mediator' `iv' dltt at emp age xad i.year, fe cluster(gvkey)
est sto femed7
xtreg `mediator' `iv' dltt at emp age xad xrd i.year, fe cluster(gvkey)
est sto femed8
*** Table
outreg2 [femed2 femed3 femed4 femed5 ///
femed6 femed7 femed8] ///
using "tables-and-figures\ch4\ch4-fe-`dv'-`iv'-same-year-mediator", word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(`mediator' i.year 2016o.year) ///
nocons addtext(Firm FEs, Yes, Year FEs, Yes)
sleep 500
*** Assume missing xrd and xad are 0
* CSTAT Global has no xrd or xad data
preserve
* xad
replace xad=0 if xad==. & in_cstatn==1
* xrd
replace xrd=0 if xrd==. & in_cstatn==1
* Estimate
xtreg `mediator' `iv' dltt at emp age xad xrd i.year, fe cluster(gvkey)
est sto femed9
* Table
outreg2 [femed9] ///
using "tables-and-figures\ch4\ch4-fe-`dv'-`iv'-same-year-mediator", word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(`mediator' i.year 2016o.year) ///
nocons addtext(Firm FEs, Yes, Year FEs, Yes)
sleep 500
restore
/// MEDIATION TEST
xtreg `dv' `mediator' `iv', fe cluster(gvkey)
est sto fetest1
outreg2 [fetest1] ///
using "tables-and-figures\ch4\ch4-fe-`dv'-`iv'-same-year-mediation-test", ///
replace word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(`dv') ///
nocons addtext(Firm FEs, Yes, Year FEs, No)
sleep 500
xtreg `dv' `mediator' `iv' i.year, fe cluster(gvkey)
est sto fetest2
xtreg `dv' `mediator' `iv' dltt i.year, fe cluster(gvkey)
est sto fetest3
xtreg `dv' `mediator' `iv' dltt at i.year, fe cluster(gvkey)
est sto fetest4
xtreg `dv' `mediator' `iv' dltt at emp i.year, fe cluster(gvkey)
est sto fetest5
xtreg `dv' `mediator' `iv' dltt at emp age i.year, fe cluster(gvkey)
est sto fetest6
xtreg `dv' `mediator' `iv' dltt at emp age xad i.year, fe cluster(gvkey)
est sto fetest7
xtreg `dv' `mediator' `iv' dltt at emp age xad xrd i.year, fe cluster(gvkey)
est sto fetest8
* Table
outreg2 [fetest2 fetest3 fetest4 fetest5 ///
fetest6 fetest7 fetest8] ///
using "tables-and-figures\ch4\ch4-fe-`dv'-`iv'-same-year-mediation-test", word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(`dv' i.year 2016o.year) ///
nocons addtext(Firm FEs, Yes, Year FEs, Yes)
sleep 500
*** Assume missing xrd and xad are 0
* CSTAT Global has no xrd or xad data
preserve
* xad
replace xad=0 if xad==. & in_cstatn==1
* xrd
replace xrd=0 if xrd==. & in_cstatn==1
* Estimate
xtreg `dv' `mediator' `iv' dltt at emp age xad xrd i.year, fe cluster(gvkey)
est sto fetest9
*** Table
outreg2 [fetest9] ///
using "tables-and-figures\ch4\ch4-fe-`dv'-`iv'-same-year-mediation-test", word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(`dv' i.year 2016o.year) ///
nocons addtext(Firm FEs, Yes, Year FEs, Yes)
restore
}
***===========================***
* POOLED ESTIMATION *
* DV: TEMPORAL DYNAMICS *
***===========================***
local iv prod_rtg
local mediator net_kld_prod
foreach dv in revt_usd revt_usd_ihs {
/// DIRECT
reg f.`dv' l.`iv', cluster(gvkey)
est sto pooldirlag1
outreg2 [pooldirlag1] ///
using "tables-and-figures\ch4\ch4-`dv'-`iv'-time-effects-direct", ///
replace word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(f.`dv') ///
nocons addtext(Firm FEs, No, Year FEs, No)
sleep 500
reg f.`dv' l.`iv' i.year, cluster(gvkey)
est sto pooldirlag2
reg f.`dv' l.`iv' l.dltt i.year, cluster(gvkey)
est sto pooldirlag3
reg f.`dv' l.`iv' l.dltt l.at i.year, cluster(gvkey)
est sto pooldirlag4
reg f.`dv' l.`iv' l.dltt l.at l.emp i.year, cluster(gvkey)
est sto pooldirlag5
reg f.`dv' l.`iv' l.dltt l.at l.emp l.age i.year, cluster(gvkey)
est sto pooldirlag6
reg f.`dv' l.`iv' l.dltt l.at l.emp l.age l.xad i.year, cluster(gvkey)
est sto pooldirlag7
reg f.`dv' l.`iv' l.dltt l.at l.emp l.age l.xad l.xrd i.year, cluster(gvkey)
est sto pooldirlag8
*** Table
outreg2 [pooldirlag2 pooldirlag3 pooldirlag4 pooldirlag5 ///
pooldirlag6 pooldirlag7 pooldirlag8] ///
using "tables-and-figures\ch4\ch4-`dv'-`iv'-time-effects-direct", ///
word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(f.`dv' i.year) ///
nocons addtext(Firm FEs, No, Year FEs, Yes)
sleep 500
*** Assume missing l.xrd and l.xad are 0
* CSTl.at Global has no l.xrd or l.xad dl.ata
preserve
* l.xad
replace xad=0 if xad==. & in_cstatn==1
* l.xrd
replace xrd=0 if xrd==. & in_cstatn==1
* Estiml.ate
reg f.`dv' l.`iv' l.dltt l.at l.emp l.age l.xad l.xrd i.year, cluster(gvkey)
est sto pooldirlag9
*** Table
outreg2 [pooldirlag9] ///
using "tables-and-figures\ch4\ch4-`dv'-`iv'-time-effects-direct", word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(f.`dv' i.year) ///
nocons addtext(Firm FEs, No, Year FEs, Yes)
sleep 500
restore
/// MEDIATOR MODEL
reg `mediator' l.`iv', cluster(gvkey)
est sto poolmed1
outreg2 [poolmed1] ///
using "tables-and-figures\ch4\ch4-`dv'-`iv'-time-effects-mediator", ///
replace word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(`mediator') ///
nocons addtext(Firm FEs, No, Year FEs, No)
reg `mediator' l.`iv' i.year, cluster(gvkey)
est sto poolmed2
reg `mediator' l.`iv' l.dltt i.year, cluster(gvkey)
est sto poolmed3
reg `mediator' l.`iv' l.dltt l.at i.year, cluster(gvkey)
est sto poolmed4
reg `mediator' l.`iv' l.dltt l.at l.emp i.year, cluster(gvkey)
est sto poolmed5
reg `mediator' l.`iv' l.dltt l.at l.emp l.age i.year, cluster(gvkey)
est sto poolmed6
reg `mediator' l.`iv' l.dltt l.at l.emp l.age l.xad i.year, cluster(gvkey)
est sto poolmed7
reg `mediator' l.`iv' l.dltt l.at l.emp l.age l.xad l.xrd i.year, cluster(gvkey)
est sto poolmed8
*** Table
outreg2 [poolmed2 poolmed3 poolmed4 poolmed5 ///
poolmed6 poolmed7 poolmed8] ///
using "tables-and-figures\ch4\ch4-`dv'-`iv'-time-effects-mediator", word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(`mediator' i.year) ///
nocons addtext(Firm FEs, No, Year FEs, Yes)
sleep 500
*** Assume missing xrd and xad are 0
* CSTAT Global has no xrd or xad data
preserve
* xad
replace xad=0 if xad==. & in_cstatn==1
* xrd
replace xrd=0 if xrd==. & in_cstatn==1
* Estimate
reg `mediator' l.`iv' l.dltt l.at l.emp l.age l.xad l.xrd i.year, cluster(gvkey)
est sto poolmed9
* Table
outreg2 [poolmed9] ///
using "tables-and-figures\ch4\ch4-`dv'-`iv'-time-effects-mediator", word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(`mediator' i.year) ///
nocons addtext(Firm FEs, No, Year FEs, Yes)
sleep 500
restore
/// MEDIATION TEST
reg f.`dv' `mediator' l.`iv', cluster(gvkey)
est sto pooltest1
outreg2 [pooltest1] ///
using "tables-and-figures\ch4\ch4-`dv'-`iv'-time-effects-mediation-test", ///
replace word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(`dv') ///
nocons addtext(Firm FEs, No, Year FEs, No)
reg f.`dv' `mediator' l.`iv' i.year, cluster(gvkey)
est sto pooltest2
reg f.`dv' `mediator' l.`iv' l.dltt i.year, cluster(gvkey)
est sto pooltest3
reg f.`dv' `mediator' l.`iv' l.dltt l.at i.year, cluster(gvkey)
est sto pooltest4
reg f.`dv' `mediator' l.`iv' l.dltt l.at l.emp i.year, cluster(gvkey)
est sto pooltest5
reg f.`dv' `mediator' l.`iv' l.dltt l.at l.emp l.age i.year, cluster(gvkey)
est sto pooltest6
reg f.`dv' `mediator' l.`iv' l.dltt l.at l.emp l.age l.xad i.year, ///
cluster(gvkey)
est sto pooltest7
reg f.`dv' `mediator' l.`iv' l.dltt l.at l.emp l.age l.xad l.xrd i.year, ///
cluster(gvkey)
est sto pooltest8
* Table
outreg2 [pooltest2 pooltest3 pooltest4 pooltest5 ///
pooltest6 pooltest7 pooltest8] ///
using "tables-and-figures\ch4\ch4-`dv'-`iv'-time-effects-mediation-test", ///
word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(f.`dv' i.year) ///
nocons addtext(Firm FEs, No, Year FEs, Yes)
sleep 500
*** Assume missing l.xrd and l.xad are 0
* CSTl.at Global has no l.xrd or l.xad dl.ata
preserve
* xad
replace xad=0 if xad==. & in_cstatn==1
* xrd
replace xrd=0 if xrd==. & in_cstatn==1
* Estiml.ate
reg f.`dv' `mediator' l.`iv' l.dltt l.at l.emp l.age l.xad l.xrd i.year, ///
cluster(gvkey)
est sto pooltest9
*** Table
outreg2 [pooltest9] ///
using "tables-and-figures\ch4\ch4-`dv'-`iv'-time-effects-mediation-test", ///
word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(f.`dv' i.year) ///
nocons addtext(Firm FEs, No, Year FEs, Yes)
restore
}
***===============================***
* FIXED EFFECTS ESTIMATION *
* DV: TEMPORAL DYNAMICS *
***===============================***
xtset
local iv prod_rtg
local mediator net_kld_prod
foreach dv in revt_usd revt_usd_ihs {
/// DIRECT
xtreg f.`dv' l.`iv', fe cluster(gvkey)
est sto pooldirlag1
outreg2 [pooldirlag1] ///
using "tables-and-figures\ch4\ch4-fe-`dv'-`iv'-time-effects-direct", ///
replace word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(f.`dv') ///
nocons addtext(Firm FEs, No, Year FEs, No)
xtreg f.`dv' l.`iv' i.year, fe cluster(gvkey)
est sto pooldirlag2
xtreg f.`dv' l.`iv' l.dltt i.year, fe cluster(gvkey)
est sto pooldirlag3
xtreg f.`dv' l.`iv' l.dltt l.at i.year, fe cluster(gvkey)
est sto pooldirlag4
xtreg f.`dv' l.`iv' l.dltt l.at l.emp i.year, fe cluster(gvkey)
est sto pooldirlag5
xtreg f.`dv' l.`iv' l.dltt l.at l.emp l.age i.year, fe cluster(gvkey)
est sto pooldirlag6
xtreg f.`dv' l.`iv' l.dltt l.at l.emp l.age l.xad i.year, fe cluster(gvkey)
est sto pooldirlag7
xtreg f.`dv' l.`iv' l.dltt l.at l.emp l.age l.xad l.xrd i.year, fe cluster(gvkey)
est sto pooldirlag8
*** Table
outreg2 [pooldirlag2 pooldirlag3 pooldirlag4 pooldirlag5 ///
pooldirlag6 pooldirlag7 pooldirlag8] ///
using "tables-and-figures\ch4\ch4-fe-`dv'-`iv'-time-effects-direct", ///
word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(f.`dv' i.year) ///
nocons addtext(Firm FEs, No, Year FEs, Yes)
*** Assume missing l.xrd and l.xad are 0
* CSTl.at Global has no l.xrd or l.xad dl.ata
preserve
* l.xad
replace xad=0 if xad==. & in_cstatn==1
* l.xrd
replace xrd=0 if xrd==. & in_cstatn==1
* Estiml.ate
xtreg f.`dv' l.`iv' l.dltt l.at l.emp l.age l.xad l.xrd i.year, fe cluster(gvkey)
est sto pooldirlag9
*** Table
outreg2 [pooldirlag9] ///
using "tables-and-figures\ch4\ch4-fe-`dv'-`iv'-time-effects-direct", word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(f.`dv' i.year) ///
nocons addtext(Firm FEs, No, Year FEs, Yes)
restore
/// MEDIATOR MODEL
xtreg `mediator' l.`iv', fe cluster(gvkey)
est sto poolmed1
outreg2 [poolmed1] ///
using "tables-and-figures\ch4\ch4-fe-`dv'-`iv'-time-effects-mediator", ///
replace word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(`mediator') ///
nocons addtext(Firm FEs, No, Year FEs, No)
xtreg `mediator' l.`iv' i.year, fe cluster(gvkey)
est sto poolmed2
xtreg `mediator' l.`iv' l.dltt i.year, fe cluster(gvkey)
est sto poolmed3
xtreg `mediator' l.`iv' l.dltt l.at i.year, fe cluster(gvkey)
est sto poolmed4
xtreg `mediator' l.`iv' l.dltt l.at l.emp i.year, fe cluster(gvkey)
est sto poolmed5
xtreg `mediator' l.`iv' l.dltt l.at l.emp l.age i.year, fe cluster(gvkey)
est sto poolmed6
xtreg `mediator' l.`iv' l.dltt l.at l.emp l.age l.xad i.year, fe cluster(gvkey)
est sto poolmed7
xtreg `mediator' l.`iv' l.dltt l.at l.emp l.age l.xad l.xrd i.year, fe cluster(gvkey)
est sto poolmed8
*** Table
outreg2 [poolmed2 poolmed3 poolmed4 poolmed5 ///
poolmed6 poolmed7 poolmed8] ///
using "tables-and-figures\ch4\ch4-fe-`dv'-`iv'-time-effects-mediator", word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(`mediator' i.year) ///
nocons addtext(Firm FEs, No, Year FEs, Yes)
*** Assume missing xrd and xad are 0
* CSTAT Global has no xrd or xad data
preserve
* xad
replace xad=0 if xad==. & in_cstatn==1
* xrd
replace xrd=0 if xrd==. & in_cstatn==1
* Estimate
xtreg `mediator' l.`iv' l.dltt l.at l.emp l.age l.xad l.xrd i.year, fe cluster(gvkey)
est sto poolmed9
* Table
outreg2 [poolmed9] ///
using "tables-and-figures\ch4\ch4-fe-`dv'-`iv'-time-effects-mediator", word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(`mediator' i.year) ///
nocons addtext(Firm FEs, No, Year FEs, Yes)
restore
/// MEDIATION TEST
xtreg f.`dv' `mediator' l.`iv', fe cluster(gvkey)
est sto pooltest1
outreg2 [pooltest1] ///
using "tables-and-figures\ch4\ch4-fe-`dv'-`iv'-time-effects-mediation-test", ///
replace word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(`dv') ///
nocons addtext(Firm FEs, No, Year FEs, No)
xtreg f.`dv' `mediator' l.`iv' i.year, fe cluster(gvkey)
est sto pooltest2
xtreg f.`dv' `mediator' l.`iv' l.dltt i.year, fe cluster(gvkey)
est sto pooltest3
xtreg f.`dv' `mediator' l.`iv' l.dltt l.at i.year, fe cluster(gvkey)
est sto pooltest4
xtreg f.`dv' `mediator' l.`iv' l.dltt l.at l.emp i.year, fe cluster(gvkey)
est sto pooltest5
xtreg f.`dv' `mediator' l.`iv' l.dltt l.at l.emp l.age i.year, fe cluster(gvkey)
est sto pooltest6
xtreg f.`dv' `mediator' l.`iv' l.dltt l.at l.emp l.age l.xad i.year, ///
fe cluster(gvkey)
est sto pooltest7
xtreg f.`dv' `mediator' l.`iv' l.dltt l.at l.emp l.age l.xad l.xrd i.year, ///
fe cluster(gvkey)
est sto pooltest8
* Table
outreg2 [pooltest2 pooltest3 pooltest4 pooltest5 ///
pooltest6 pooltest7 pooltest8] ///
using "tables-and-figures\ch4\ch4-fe-`dv'-`iv'-time-effects-mediation-test", ///
word ///
stats(coef se pval) dec(4) ///
alpha(0.001, 0.01, 0.05) nor2 ///
drop(f.`dv' i.year) ///
nocons addtext(Firm FEs, No, Year FEs, Yes)
*** Assume missing l.xrd and l.xad are 0
* CSTl.at Global has no l.xrd or l.xad dl.ata
preserve
* xad
replace xad=0 if xad==. & in_cstatn==1
* xrd
replace xrd=0 if xrd==. & in_cstatn==1
* Estiml.ate
xtreg f.`dv' `mediator' l.`iv' l.dltt l.at l.emp l.age l.xad l.xrd i.year, ///
fe cluster(gvkey)
est sto pooltest9
*** Table
outreg2 [pooltest9] ///
using "tables-and-figures\ch4\ch4-fe-`dv'-`iv'-time-effects-mediation-test", ///
word ///
stats(coef se pval) dec(4) ///