VAR

(1)

IIR

(2)

IIR

(3)

IIR

S

−2.732

−1.634

−16.873**

(−0.744)

(−0.430)

(−2.287)

ID

−0.006***

−0.015***

(−4.887)

(−4.776)

ID*S

20.649***

(2.960)

CF

0.012

0.003

0.002

(0.912)

(0.225)

(0.177)

q

0.008***

0.008***

0.008***

(7.550)

(7.481)

(6.931)

TIR

0.003

0.003*

0.005*

(1.608)

(1.735)

(1.702)

SALE

0.001

0.001

0.001*

(1.060)

(1.596)

(1.678)

GRO

0.014***

0.014***

0.013***

(4.533)

(4.711)

(3.724)

MB

0.000

0.000

0.000

(0.929)

(0.544)

(0.390)

LEV

−0.017***

−0.016***

−0.017***

(−5.015)

(−4.739)

(−4.925)

EFD

−0.000

−0.000

−0.000

(−0.255)

(−0.429)

(−0.407)

Chi-sq (1) P-val

0.000

0.000

0.000

Cragg-Donald Wald F statistic

169.159

164.481

81.317

Obs

1905

1905

1905

R-squared

0.166

0.179

0.145