Δ D i t = α + β D E F i t + γ D E F i t 2 + ε i t

sample 1 (1)

sample 2 (2)

β

−0.125220****

(0.0014)

−0.182271***

(0.0000)

γ

−1.82E−12

(0.4748)

−4.19E−13

(0.8751)

N

153

153

R2

0.675767

0.743556

F-test

3.821031***

5.316015***