Table 5 Regression results of LSDV model and GMM with instruments
From: Impact of COVID-19 on the performance of emerging market mutual funds: evidence from India
FIXED effect model | sys-GMM | ||||||||
|---|---|---|---|---|---|---|---|---|---|
\(\alpha\) | \(\beta\) | \(\overline{R}^{2}\) | DW | \(\alpha\) | \(\beta\) | \(\overline{R}^{2}\) | DW | ||
Regression results using all the five instruments | |||||||||
Sample 1 | coef | − 0.0421 | 0.3261 | 0.3285 | 2.2803 | − 0.0444 | 0.2876 | 0.3296 | 2.2537 |
− 223.17 | 72.893 | − 152.82 | 66.084 | ||||||
Sample 2 | coef | − 0.0452 | 0.2572 | 0.2412 | 1.7431 | − 0.0445 | 0.2577 | 0.267 | 1.7052 |
− 160.54 | 52.059 | − 173.61 | 62.594 | ||||||
Sample 3 | coef | − 0.0453 | 0.2472 | 0.231 | 1.352 | − 0.0426 | 0.2816 | 0.0072 | 1.022 |
− 75.617 | 17.0406 | − 18.846 | 6.9031 | ||||||
Overall sample (Z1 to Z5) | coef | − 0.0432 | 0.28475 | 0.2716 | 1.6234 | − 0.0409 | 0.32608 | 0.1257 | 1.34373 |
− 248.49 | 100.83 | − 111.18 | 53.4034 | ||||||
F stat | 35.4966 | J Stat | 279.812 | ||||||
Prob(F) | 0 | P (J stat) | 0 | ||||||
Regression results (after removing Z1 and Z3) | |||||||||
Overall sample* (reiterated) | coef | − 0.04161 | 0.313766 | 0.269382 | 1.631407 | − 0.0483 | 0.201002 | 0.109798 | 1.364964 |
− 276.677 | 132.7246 | − 75.1156 | 18.60871 | ||||||
F stat | 35.46262 | J Stat | 92.20145 | ||||||
p (F stat) | 0 | P (J stat) | 0 | ||||||