| Panel A: Full Sample | ||||||
| (1) | (2) | (3) | (4) | (5) | (6) | |
| DEF | 0.130*** | 0.164*** | 0.162*** | |||
| (0.003) | (0.031) | (0.036) | ||||
| DTLRUnder | 0.524*** | 0.505*** | 0.171 | 0.474*** | 0.459** | 0.148 |
| (0.019) | (0.194) | (0.201) | (0.017) | (0.186) | (0.195) | |
| DTLROver | 0.498*** | 0.512*** | 0.330*** | 0.462*** | 0.454*** | 0.308*** |
| (0.012) | (0.091) | (0.095) | (0.011) | (0.091) | (0.091) | |
| Cons | −0.002 | −0.118 | −0.005*** | −0.078 | ||
| (0.002) | (0.075) | (0.002) | (0.072) | |||
| Estimators | FE | DGMM | SGMM | FE | DGMM | SGMM |
| AR2 | 0.78 | 0.57 | 0.73 | 0.35 | ||
| Sargan test | 0.85 | 0.86 | 0.99 | 1.00 | ||
| Hansen test | 0.07 | 0.42 | 0.31 | 0.63 | ||
| T-test | 0.00 | 0.00 | 0.00 | |||
| F-test | 0.31 | 0.98 | 0.56 | 0.60 | 0.98 | 0.55 |
| r2 | 0.29 | 0.38 | ||||
| N | 11075 | 9858 | 11075 | 11075 | 9858 | 11075 |
| Panel B: Year 2000-2006 | ||||||
| (1) | (2) | (3) | (4) | (5) | (6) | |
| DEF | 0.118*** | 0.175 | 0.086 | |||
| (0.005) | (0.124) | (0.110) | ||||
| DTLRUnder | 0.672*** | −0.019 | −0.009 | 0.602*** | 0.192 | −0.289 |
| (0.028) | (0.685) | (0.926) | (0.026) | (0.645) | (0.767) | |
| DTLROver | 0.647*** | 0.330* | 0.350** | 0.600*** | 0.185 | 0.315** |
| (0.017) | (0.179) | (0.170) | (0.016) | (0.213) | (0.143) | |
| Cons | −0.000 | 0.373 | 0.003* | 0.396 | ||
| (0.002) | (0.573) | (0.002) | (0.541) | |||
| Estimators | FE | DGMM | SGMM | FE | DGMM | SGMM |
| AR2 | 0.76 | 0.31 | 0.94 | 0.42 | ||
| Sargan test | 0.51 | 0.58 | 0.49 | 0.72 | ||
| Hansen test | 0.17 | 0.39 | 0.14 | 0.37 | ||
| T-test | 0.00 | 0.00 | 0.00 | |||
| F-test | 0.51 | 0.66 | 0.73 | 0.96 | 0.99 | 0.45 |
| r2 | 0.38 | 0.45 | ||||
| N | 5973 | 4861 | 5973 | 5973 | 4861 | 5973 |