ROA i,t = α0 + ß1 RD i,t + ß2 BC i,t + ß3 BS i,t + 𝜺 i,t

Random-effects GLS regression Number of obs = 160

Group variable: Companynum Number of groups = 32

R-sq: Obs per group:

within = 0.0088 min = 5
between = 0.1762 avg = 5.0
overall = 0.1013 max = 5

Wald chi2(3) = 7.19

corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0661

ROA Coef. Std. Err. z P>|z| [95% Conf. Interval]

RD -3.869688 3.377054 -1.15 0.252 -10.48859 2.749216

BC .0317641 .0330708 0.96 0.337 -.0330535 .0965817
BS .7431351 .2993277 2.48 0.013 .1564636 1.329807
_cons -2.382368 3.319241 -0.72 0.473 -8.887961 4.123226

sigma_u 2.9124467
sigma_e 3.43871
rho .41770402 (fraction of variance due to u_i)

ROA i,t = ß0 + ß1RD i,t + ß2 BC i,t + ß3 BS i,t + ß4 BM i,t + 𝜺 i,t

Random-effects GLS regression Number of obs = 160

Group variable: Companynum Number of groups = 32

R-sq: Obs per group:

within = 0.0132 min = 5
between = 0.1633 avg = 5.0
overall = 0.0964 max = 5

Wald chi2(4) = 7.19

corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.1260

ROA Coef. Std. Err. z P>|z| [95% Conf. Interval]

RD -3.813602 3.436547 -1.11 0.267 -10.54911 2.921906

BC .0307794 .03373 0.91 0.361 -.0353302 .096889
BS .7132576 .3095407 2.30 0.021 .1065691 1.319946
BM .0884987 .1952949 0.45 0.650 -.2942724 .4712697
_cons -2.592695 3.380612 -0.77 0.443 -9.218572 4.033182

sigma_u 2.9733299
sigma_e 3.4334311
rho .42855354 (fraction of variance due to u_i)
NORMALITY TEST

. regress ROA RD BC BS BM

Source SS df MS Number of obs = 160

F(4, 155) = 4.88
Model 386.832217 4 96.7080543 Prob > F = 0.0010
Residual 3072.94857 155 19.8254747 R-squared = 0.1118
Adj R-squared = 0.0889
Total 3459.78079 159 21.7596276 Root MSE = 4.4526

ROA Coef. Std. Err. t P>|t| [95% Conf. Interval]

RD -3.906532 2.029605 -1.92 0.056 -7.915788 .1027244

BC .0068765 .0228208 0.30 0.764 -.0382035 .0519565
BS .7822591 .2108846 3.71 0.000 .3656805 1.198838
BM -.0339322 .1471792 -0.23 0.818 -.3246681 .2568037
_cons -1.244476 2.256704 -0.55 0.582 -5.70234 3.213389

Serial Correlation Test (Wooldridge Test)

. xtserial ROA RD BC BS BM

Wooldridge test for autocorrelation in panel data

H0: no first-order autocorrelation
F( 1, 31) = 4.745
Prob > F = 0.0371