【ESG】初步回归结果（Hausman检验+固定效应）

. hausman FE RE, constant sigmamore

                 ---- Coefficients ----
             |      (b)          (B)            (b-B)     sqrt(diag(V_b-V_B))
             |       FE           RE         Difference          S.E.
-------------+----------------------------------------------------------------
      Escore |    -.035016    -.1463142        .1112983        .0523231
      Sscore |   -.0818201    -.1024889        .0206688        .0304015
      Gscore |     .132224     .0253786        .1068454        .0242963
       _cons |    1.864511     2.748634       -.8841227        .1916242
------------------------------------------------------------------------------
                           b = consistent under Ho and Ha; obtained from xtreg
            B = inconsistent under Ha, efficient under Ho; obtained from xtreg

    Test:  Ho:  difference in coefficients not systematic

                  chi2(4) = (b-B)'[(V_b-V_B)^(-1)](b-B)
                          =       24.21
                Prob>chi2 =      0.0001  //选用固定效应模型
                (V_b-V_B is not positive definite)

*进行固定效应回归，控制到个体层面
reghdfe TobinQA Escore Sscore Gscore , absorb(year stkcd) vce(cluster stkcd)
(dropped 652 singleton observations)
(MWFE estimator converged in 8 iterations)

HDFE Linear regression                            Number of obs   =     18,635
Absorbing 2 HDFE groups                           F(   3,   3685) =       3.54
Statistics robust to heteroskedasticity           Prob > F        =     0.0141
                                                  R-squared       =     0.3082
                                                  Adj R-squared   =     0.1368
                                                  Within R-sq.    =     0.0011
Number of clusters (stkcd)   =      3,686         Root MSE        =     5.4811

                              (Std. Err. adjusted for 3,686 clusters in stkcd)
------------------------------------------------------------------------------
             |               Robust
     TobinQA |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
      Escore |  -.0376192   .0175257    -2.15   0.032    -.0719801   -.0032582
      Sscore |  -.0548394   .0516514    -1.06   0.288    -.1561075    .0464286
      Gscore |   .1701745   .2188755     0.78   0.437    -.2589546    .5993036
       _cons |   1.559734   .9742319     1.60   0.109    -.3503532     3.46982
------------------------------------------------------------------------------

*控制到行业层面
. reghdfe TobinQA Escore Sscore Gscore , absorb(year indcd) vce(cluster indcd)
(dropped 1 singleton observations)
(MWFE estimator converged in 5 iterations)

HDFE Linear regression                            Number of obs   =     19,286
Absorbing 2 HDFE groups                           F(   3,     20) =      96.09
Statistics robust to heteroskedasticity           Prob > F        =     0.0000
                                                  R-squared       =     0.0149
                                                  Adj R-squared   =     0.0130
                                                  Within R-sq.    =     0.0026
Number of clusters (indcd)   =         21         Root MSE        =     5.8371

                                 (Std. Err. adjusted for 21 clusters in indcd)
------------------------------------------------------------------------------
             |               Robust
     TobinQA |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
      Escore |  -.1663209   .0208239    -7.99   0.000    -.2097589    -.122883
      Sscore |  -.1182787   .0746177    -1.59   0.129    -.2739284     .037371
      Gscore |   .0477898   .0924937     0.52   0.611    -.1451487    .2407283
       _cons |   2.724815   .1798135    15.15   0.000     2.349731      3.0999
------------------------------------------------------------------------------


. reghdfe TobinQB Escore Sscore Gscore , absorb(year indcd) vce(cluster indcd)
(dropped 1 singleton observations)
(MWFE estimator converged in 5 iterations)

HDFE Linear regression                            Number of obs   =     19,286
Absorbing 2 HDFE groups                           F(   3,     20) =      86.66
Statistics robust to heteroskedasticity           Prob > F        =     0.0000
                                                  R-squared       =     0.0183
                                                  Adj R-squared   =     0.0164
                                                  Within R-sq.    =     0.0029
Number of clusters (indcd)   =         21         Root MSE        =     5.9297

                                 (Std. Err. adjusted for 21 clusters in indcd)
------------------------------------------------------------------------------
             |               Robust
     TobinQB |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
      Escore |  -.1811962   .0254382    -7.12   0.000    -.2342593    -.128133
      Sscore |  -.1245343   .0745885    -1.67   0.111    -.2801232    .0310547
      Gscore |   .0089163   .0884428     0.10   0.921    -.1755721    .1934047
       _cons |   3.190135   .1569835    20.32   0.000     2.862673    3.517597
------------------------------------------------------------------------------

. reghdfe TobinQC Escore Sscore Gscore , absorb(year indcd) vce(cluster indcd)
(dropped 1 singleton observations)
(MWFE estimator converged in 5 iterations)

HDFE Linear regression                            Number of obs   =     19,286
Absorbing 2 HDFE groups                           F(   3,     20) =      51.63
Statistics robust to heteroskedasticity           Prob > F        =     0.0000
                                                  R-squared       =     0.0231
                                                  Adj R-squared   =     0.0213
                                                  Within R-sq.    =     0.0051
Number of clusters (indcd)   =         21         Root MSE        =     7.7736

                                 (Std. Err. adjusted for 21 clusters in indcd)
------------------------------------------------------------------------------
             |               Robust
     TobinQC |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
      Escore |  -.2983935   .0351948    -8.48   0.000    -.3718085   -.2249785
      Sscore |  -.1428051   .1066727    -1.34   0.196    -.3653204    .0797103
      Gscore |   .3114717   .1336755     2.33   0.030     .0326294     .590314
       _cons |   2.419209   .2964603     8.16   0.000     1.800804    3.037615
------------------------------------------------------------------------------


. reghdfe TobinQD Escore Sscore Gscore , absorb(year indcd) vce(cluster indcd)
(dropped 1 singleton observations)
(MWFE estimator converged in 5 iterations)

HDFE Linear regression                            Number of obs   =     19,286
Absorbing 2 HDFE groups                           F(   3,     20) =      44.68
Statistics robust to heteroskedasticity           Prob > F        =     0.0000
                                                  R-squared       =     0.0274
                                                  Adj R-squared   =     0.0255
                                                  Within R-sq.    =     0.0050
Number of clusters (indcd)   =         21         Root MSE        =     7.8727

                                 (Std. Err. adjusted for 21 clusters in indcd)
------------------------------------------------------------------------------
             |               Robust
     TobinQD |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
      Escore |  -.3250757   .0431639    -7.53   0.000    -.4151141   -.2350373
      Sscore |  -.1481725   .1067137    -1.39   0.180    -.3707733    .0744284
      Gscore |   .2810812   .1303395     2.16   0.043     .0091977    .5529647
       _cons |   2.916729    .275785    10.58   0.000     2.341451    3.492006
------------------------------------------------------------------------------