*- 杜勇等（2021），参见在《中国工业经济》网站（http://ciejournal.ajcass.org/Magazine/show/?id=77795）

**# 【参考文献】

*- 杜勇, 孙帆, 邓旭. 共同机构所有权与企业盈余管理[J]. 中国工业经济, 2021(06): 155-173.

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*- Stata Version: 16 | 17

*- 定义路径

cd 'C:\Users\KEMOSABE\Desktop\heckman'

use 数据.dta, clear

*- 连续变量缩尾处理

winsor2 da1 da2 da11 rem /// coz2 coz3 coz_power coz_number /// coz22 coz33 coz2_year coz3_year /// director djg auditfees epcm /// net institution size leverage /// roa growth toptenrate independent /// magpay boardshare invrec analyst, /// cut(1 99) replace

*- 设置控制变量的全局暂元

global CV institution size leverage roa /// growth toptenrate dual independent /// magpay boardshare invrec analyst /// opin aud

*- 将控制变量及核心解释变量滞后一期

xtset code year

foreach i of global CV { gen Lag`i' = L.`i' }

gen Lagcoz1 = L.coz1

*- 设置第一阶段回归控制变量的全局暂元

global CV1 Laginstitution Lagsize Lagleverage Lagroa /// Laggrowth Lagtoptenrate Lagdual Lagindependent /// Lagmagpay Lagboardshare Laginvrec Laganalyst /// Lagopin Lagaud

**# 一、coz1的基准回归及稳健性检验

*- （1）基准回归

qui: reg da1 coz1 $CV i.year i.industry, r est store OLS1

*- （2）处理效应模型（MLE）

qui: etregress da1 $CV i.year i.industry, /// treat(coz1 = Lagcoz1 $CV i.year i.industry) nolog vce(robust) est store et_ML1

/*Linear regression with endogenous treatment Number of obs = 20,018Estimator: maximum likelihood Wald chi2(31) = 1485.50Log pseudolikelihood = 18287.002 Prob > chi2 = 0.0000

------------------------------------------------------------------------------ | Robust | Coef. Std. Err. z P>|z| [95% Conf. Interval]-------------+----------------------------------------------------------------da1 | institution | .0001648 .0001052 1.57 0.117 -.0000414 .000371 size | -.0066258 .0008814 -7.52 0.000 -.0083534 -.0048982 leverage | .0237043 .0048317 4.91 0.000 .0142344 .0331742 roa | -.2253829 .0170078 -13.25 0.000 -.2587175 -.1920482 growth | .0353113 .0023365 15.11 0.000 .0307318 .0398909 toptenrate | .0001971 .0000445 4.43 0.000 .0001099 .0002844 dual | .0031043 .0015126 2.05 0.040 .0001396 .006069 independent | .0040687 .0115344 0.35 0.724 -.0185383 .0266758 magpay | .4069487 .1409151 2.89 0.004 .1307602 .6831373 boardshare | -.0090979 .0037856 -2.40 0.016 -.0165174 -.0016784 invrec | .0183075 .0051727 3.54 0.000 .0081693 .0284458 analyst | .0005457 .000082 6.65 0.000 .0003849 .0007065 opin | -.0389673 .0040999 -9.50 0.000 -.047003 -.0309316 aud | -.0038764 .0012816 -3.02 0.002 -.0063884 -.0013644 | year | 2009 | -.0008564 .0043254 -0.20 0.843 -.0093341 .0076213 2010 | .0186483 .0049932 3.73 0.000 .0088619 .0284348 2011 | .0220373 .0042826 5.15 0.000 .0136435 .030431 2012 | -.0158729 .0037267 -4.26 0.000 -.0231771 -.0085688 2013 | -.0161189 .0036 -4.48 0.000 -.0231748 -.009063 2014 | -.0161046 .0035979 -4.48 0.000 -.0231564 -.0090528 2015 | -.0031965 .0037801 -0.85 0.398 -.0106053 .0042122 2016 | -.0027102 .0037549 -0.72 0.470 -.0100697 .0046493 2017 | -.0153086 .0036145 -4.24 0.000 -.0223928 -.0082243 2018 | -.0154719 .0036009 -4.30 0.000 -.0225295 -.0084143 2019 | -.0178076 .0035699 -4.99 0.000 -.0248046 -.0108107 | industry | 2 | -.0297887 .0105573 -2.82 0.005 -.0504806 -.0090968 3 | -.0116159 .0109897 -1.06 0.291 -.0331553 .0099234 4 | -.0282726 .0115443 -2.45 0.014 -.0508991 -.0056462 5 | -.0434586 .0104201 -4.17 0.000 -.0638816 -.0230356 6 | -.0323764 .0107643 -3.01 0.003 -.0534741 -.0112787 | 1.coz1 | -.0067129 .0019325 -3.47 0.001 -.0105006 -.0029253 _cons | .2775419 .0214512 12.94 0.000 .2354982 .3195855-------------+----------------------------------------------------------------coz1 | Lagcoz1 | 3.234637 .041428 78.08 0.000 3.15344 3.315835 institution | .0037066 .0029546 1.25 0.210 -.0020843 .0094976 size | .1103075 .0245284 4.50 0.000 .0622327 .1583822 leverage | -.0127087 .1239879 -0.10 0.918 -.2557205 .2303031 roa | -.5487199 .328454 -1.67 0.095 -1.192478 .0950382 growth | .083781 .037123 2.26 0.024 .0110212 .1565408 toptenrate | .0032139 .0012742 2.52 0.012 .0007165 .0057114 dual | -.0820718 .0508186 -1.61 0.106 -.1816744 .0175308 independent | -1.012848 .3659513 -2.77 0.006 -1.730099 -.2955967 magpay | 2.53631 4.014366 0.63 0.528 -5.331703 10.40432 boardshare | -1.021367 .1736045 -5.88 0.000 -1.361625 -.6811082 invrec | -.1793844 .1334323 -1.34 0.179 -.440907 .0821381 analyst | -.0033357 .0025439 -1.31 0.190 -.0083216 .0016502 opin | .1161474 .1078862 1.08 0.282 -.0953057 .3276005 aud | .0256347 .0394008 0.65 0.515 -.0515895 .1028589 | year | 2009 | .0545774 .1108197 0.49 0.622 -.1626253 .2717801 2010 | .2064666 .1102673 1.87 0.061 -.0096534 .4225866 2011 | -.0294345 .1096026 -0.27 0.788 -.2442517 .1853827 2012 | .0080566 .1085939 0.07 0.941 -.2047835 .2208966 2013 | -.0643272 .1033437 -0.62 0.534 -.2668772 .1382227 2014 | -.0427743 .103273 -0.41 0.679 -.2451857 .1596371 2015 | -.0567423 .1105243 -0.51 0.608 -.273366 .1598813 2016 | -.0928139 .1030316 -0.90 0.368 -.2947522 .1091244 2017 | -.2477218 .106496 -2.33 0.020 -.45645 -.0389935 2018 | -.0962982 .1050334 -0.92 0.359 -.3021598 .1095634 2019 | .0256564 .0998903 0.26 0.797 -.1701251 .2214378 | industry | 2 | -.2286483 .2099405 -1.09 0.276 -.6401241 .1828274 3 | -.3286038 .2173325 -1.51 0.131 -.7545676 .09736 4 | -.4177377 .259037 -1.61 0.107 -.9254409 .0899654 5 | .069847 .2032102 0.34 0.731 -.3284377 .4681318 6 | .0932101 .210735 0.44 0.658 -.3198229 .5062431 | _cons | -4.316258 .5725048 -7.54 0.000 -5.438347 -3.194169-------------+---------------------------------------------------------------- /athrho | .0413626 .0199663 2.07 0.038 .0022294 .0804958 /lnsigma | -2.451377 .0118703 -206.51 0.000 -2.474643 -2.428112-------------+---------------------------------------------------------------- rho | .041339 .0199322 .0022294 .0803224 sigma | .0861748 .0010229 .0841931 .0882032 lambda | .0035624 .0017194 .0001924 .0069323------------------------------------------------------------------------------Wald test of indep. eqns. (rho = 0): chi2(1) = 4.29 Prob > chi2 = 0.0383*/

*- （3）处理效应模型（TwoStep）

qui: etregress da1 $CV i.year i.industry, /// treat(coz1 = Lagcoz1 $CV i.year i.industry) twostep est store et_2S1

/*Linear regression with endogenous treatment Number of obs = 20018Estimator: two-step Wald chi2(61) = 3629.46 Prob > chi2 = 0.0000

------------------------------------------------------------------------------ | Coef. Std. Err. z P>|z| [95% Conf. Interval]-------------+----------------------------------------------------------------da1 | institution | .0001648 .0000966 1.71 0.088 -.0000245 .0003541 size | -.0066256 .0007952 -8.33 0.000 -.0081841 -.0050671 leverage | .0237045 .0038194 6.21 0.000 .0162187 .0311904 roa | -.2253832 .0098235 -22.94 0.000 -.2446369 -.2061294 growth | .0353113 .0011144 31.69 0.000 .0331271 .0374955 toptenrate | .0001971 .000043 4.58 0.000 .0001128 .0002814 dual | .0031042 .0014823 2.09 0.036 .0001989 .0060095 independent | .0040678 .0114332 0.36 0.722 -.0183409 .0264765 magpay | .4069558 .1104819 3.68 0.000 .1904153 .6234964 boardshare | -.0090989 .0041262 -2.21 0.027 -.017186 -.0010117 invrec | .0183072 .0041006 4.46 0.000 .0102702 .0263441 analyst | .0005457 .0000836 6.53 0.000 .0003818 .0007096 opin | -.0389672 .0030457 -12.79 0.000 -.0449367 -.0329978 aud | -.0038764 .0012695 -3.05 0.002 -.0063645 -.0013882 | year | 2009 | -.0008564 .0038108 -0.22 0.822 -.0083254 .0066127 2010 | .0186484 .003792 4.92 0.000 .0112163 .0260805 2011 | .0220373 .003709 5.94 0.000 .0147678 .0293068 2012 | -.0158729 .0035715 -4.44 0.000 -.0228729 -.008873 2013 | -.0161189 .0035103 -4.59 0.000 -.022999 -.0092388 2014 | -.0161047 .0034962 -4.61 0.000 -.022957 -.0092523 2015 | -.0031967 .0035138 -0.91 0.363 -.0100836 .0036903 2016 | -.0027104 .0035086 -0.77 0.440 -.0095872 .0041665 2017 | -.0153088 .0034914 -4.38 0.000 -.0221519 -.0084658 2018 | -.0154721 .0034815 -4.44 0.000 -.0222958 -.0086485 2019 | -.0178078 .0034585 -5.15 0.000 -.0245864 -.0110293 | industry | 2 | -.0297886 .0066066 -4.51 0.000 -.0427372 -.0168399 3 | -.0116162 .0069175 -1.68 0.093 -.0251743 .001942 4 | -.0282727 .0074022 -3.82 0.000 -.0427807 -.0137646 5 | -.0434582 .0064804 -6.71 0.000 -.0561595 -.0307569 6 | -.0323759 .006855 -4.72 0.000 -.0458115 -.0189404 | coz1 | -.0067176 .0021868 -3.07 0.002 -.0110037 -.0024315 _cons | .2775378 .0181209 15.32 0.000 .2420215 .3130541-------------+----------------------------------------------------------------coz1 | Lagcoz1 | 3.235202 .0413025 78.33 0.000 3.154251 3.316153 institution | .0036154 .0029089 1.24 0.214 -.002086 .0093168 size | .1121405 .0239223 4.69 0.000 .0652536 .1590274 leverage | -.0208505 .1217953 -0.17 0.864 -.2595648 .2178638 roa | -.5578723 .3217238 -1.73 0.083 -1.188439 .0726948 growth | .0879266 .0303994 2.89 0.004 .0283449 .1475083 toptenrate | .0032304 .0013442 2.40 0.016 .0005958 .0058649 dual | -.079793 .050784 -1.57 0.116 -.1793278 .0197418 independent | -1.019378 .3750888 -2.72 0.007 -1.754539 -.2842178 magpay | 2.68412 3.683406 0.73 0.466 -4.535223 9.903462 boardshare | -1.018715 .1736654 -5.87 0.000 -1.359093 -.6783367 invrec | -.178663 .132241 -1.35 0.177 -.4378506 .0805247 analyst | -.0033943 .0025893 -1.31 0.190 -.0084692 .0016805 opin | .1167083 .0995624 1.17 0.241 -.0784304 .3118469 aud | .0260504 .040476 0.64 0.520 -.053281 .1053818 | year | 2009 | .0515999 .1140643 0.45 0.651 -.171962 .2751618 2010 | .2019266 .109724 1.84 0.066 -.0131284 .4169816 2011 | -.0315077 .1130668 -0.28 0.781 -.2531146 .1900991 2012 | .0078514 .1080623 0.07 0.942 -.2039468 .2196496 2013 | -.0658881 .108644 -0.61 0.544 -.2788264 .1470502 2014 | -.0454649 .1080572 -0.42 0.674 -.2572531 .1663232 2015 | -.0564083 .1072322 -0.53 0.599 -.2665795 .1537629 2016 | -.092317 .1085734 -0.85 0.395 -.3051169 .1204829 2017 | -.2501913 .1096922 -2.28 0.023 -.4651841 -.0351984 2018 | -.0990409 .1078524 -0.92 0.358 -.3104276 .1123459 2019 | .0223512 .1059781 0.21 0.833 -.1853622 .2300645 | industry | 2 | -.2381904 .204628 -1.16 0.244 -.6392539 .1628731 3 | -.3332723 .2179531 -1.53 0.126 -.7604526 .093908 4 | -.4154694 .2532426 -1.64 0.101 -.9118158 .080877 5 | .0617126 .1984843 0.31 0.756 -.3273095 .4507348 6 | .0875193 .2074342 0.42 0.673 -.3190443 .4940829 | _cons | -4.344332 .5487066 -7.92 0.000 -5.419777 -3.268887-------------+----------------------------------------------------------------hazard | lambda | .0035703 .001916 1.86 0.062 -.0001849 .0073256-------------+---------------------------------------------------------------- rho | 0.04143 sigma | .08617484------------------------------------------------------------------------------*/

*- （4）手工处理（TwoStep）

qui: probit coz1 Lagcoz1 $CV i.year i.industry est store First1

predict y1, xbgen imr1 = normalden(y1) / normal(y1)replace imr1 = -normalden(y1) / normal(-y1) if coz1 == 0

qui: reg da1 coz1 $CV i.year i.industry imr1, r est store Second1

*- 结果导出

local mlist1 'OLS1 et_ML1 et_2S1 First1 Second1'esttab `mlist1' using coz1的基准回归及稳健性检验.rtf, replace /// b(%6.4f) t(%6.4f) /// scalar(N r2_a r2_p) compress nogap /// star(* 0.1 ** 0.05 *** 0.01) /// indicate('Year FE=*.year' 'Industry FE=*.industry') /// mtitle(`mlist1') /// title('Baseline Regression and Robustness Test of coz1')

/*Baseline Regression and Robustness Test of coz1--------------------------------------------------------------------------- (1) (2) (3) (4) (5) LSDV1 et_mle1 et_2s1 first1 second1 ---------------------------------------------------------------------------main coz1 -0.0048*** -0.0067*** -0.0067*** (-2.9786) (-3.0719) (-3.4445) institut~n 0.0002 0.0002 0.0002* 0.0036 0.0002 (1.5850) (1.5665) (1.7065) (1.2429) (1.5654) size -0.0066*** -0.0066*** -0.0066*** 0.1121*** -0.0066*** (-7.9796) (-7.5170) (-8.3323) (4.6877) (-7.5054) leverage 0.0212*** 0.0237*** 0.0237*** -0.0209 0.0237*** (4.5995) (4.9060) (6.2064) (-0.1712) (4.9027) roa -0.2110*** -0.2254*** -0.2254*** -0.5579* -0.2254*** (-12.8244) (-13.2518) (-22.9432) (-1.7340) (-13.2449) growth 0.0345*** 0.0353*** 0.0353*** 0.0879*** 0.0353*** (15.5953) (15.1127) (31.6865) (2.8924) (15.1130) toptenrate 0.0002*** 0.0002*** 0.0002*** 0.0032** 0.0002*** (5.4173) (4.4277) (4.5837) (2.4032) (4.4238) dual 0.0028* 0.0031** 0.0031** -0.0798 0.0031** (1.9385) (2.0523) (2.0941) (-1.5712) (2.0507) independ~t 0.0036 0.0041 0.0041 -1.0194*** 0.0041 (0.3212) (0.3527) (0.3558) (-2.7177) (0.3524) magpay 0.3756*** 0.4069*** 0.4070*** 2.6841 0.4070*** (2.9158) (2.8879) (3.6835) (0.7287) (2.8857) boardshare -0.0024 -0.0091** -0.0091** -1.0187*** -0.0091** (-0.6691) (-2.4033) (-2.2052) (-5.8660) (-2.4013) invrec 0.0230*** 0.0183*** 0.0183*** -0.1787 0.0183*** (4.6611) (3.5393) (4.4646) (-1.3510) (3.5365) analyst 0.0006*** 0.0005*** 0.0005*** -0.0034 0.0005*** (7.1090) (6.6524) (6.5269) (-1.3109) (6.6451) opin -0.0409*** -0.0390*** -0.0390*** 0.1167 -0.0390*** (-10.2467) (-9.5044) (-12.7942) (1.1722) (-9.4991) aud -0.0043*** -0.0039*** -0.0039*** 0.0261 -0.0039*** (-3.5288) (-3.0246) (-3.0534) (0.6436) (-3.0220) 1.coz1 -0.0067*** (-3.4737) Lagcoz1 3.2352*** (78.3295) imr1 0.0036* (1.8696) _cons 0.2681*** 0.2775*** 0.2775*** -4.3443*** 0.2775*** (13.4216) (12.9383) (15.3159) (-7.9174) (12.9241) ---------------------------------------------------------------------------coz1 Lagcoz1 3.2346*** 3.2352*** (78.0784) (78.3295) institut~n 0.0037 0.0036 (1.2545) (1.2429) size 0.1103*** 0.1121*** (4.4971) (4.6877) leverage -0.0127 -0.0209 (-0.1025) (-0.1712) roa -0.5487* -0.5579* (-1.6706) (-1.7340) growth 0.0838** 0.0879*** (2.2568) (2.8924) toptenrate 0.0032** 0.0032** (2.5222) (2.4032) dual -0.0821 -0.0798 (-1.6150) (-1.5712) independ~t -1.0128*** -1.0194*** (-2.7677) (-2.7177) magpay 2.5363 2.6841 (0.6318) (0.7287) boardshare -1.0214*** -1.0187*** (-5.8833) (-5.8660) invrec -0.1794 -0.1787 (-1.3444) (-1.3510) analyst -0.0033 -0.0034 (-1.3113) (-1.3109) opin 0.1161 0.1167 (1.0766) (1.1722) aud 0.0256 0.0261 (0.6506) (0.6436) _cons -4.3163*** -4.3443*** (-7.5393) (-7.9174) ---------------------------------------------------------------------------/ athrho 0.0414** (2.0716) lnsigma -2.4514*** (-2.1e+02) ---------------------------------------------------------------------------hazard lambda 0.0036* (1.8635) Year FE Yes Yes Yes Yes Yes Industry~E Yes Yes Yes Yes Yes ---------------------------------------------------------------------------N 22591 20018 20018 20018 20018 r2_a 0.1387 0.1441 r2_p 0.6912 ---------------------------------------------------------------------------t statistics in parentheses* p