Model/Data

Result

Remarks

Chi-Square

df

p-Value

Model Selection Phase

Lagrange Multiplier Test (Breusch-Pagan)

Pooled Model

1859.9 (Chi-Sq.)

1

<2.2e−16

Rejects null hypothesis (i.e., significant individual effects). Therefore, the pooled model cannot be used.

Hausman Test

Fixed Effects Model,

Random Effects Model

2.7448 (Chi-Sq.)

4

0.6014

Unable to reject the null hypothesis. As a result, we should choose the random effects model.

Measures for Robustness of Selected Model

Breusch-Pagan LM Test for Cross-Sectional Dependence in Panels

Random Effects Model

833.38 (Chi-Sq.)

66

<2.2e−16

Cross-sectional dependence present.

Pesaran CD Test for Cross-Sectional Dependence in Panels

Random Effects Model

−2.0132 (Z-Test)

0.04409

Cross-sectional dependence present.

Augmented Dickey-Fuller Test for Unit Roots

Panel Data

−17.913 (Dickey-Fuller)

7 (Lag Order)

0.01

Rejects null hypothesis. No unit-roots, and therefore, time series is stationary.

Breusch-Pagan Test for Heteroskedasticity

Random Effects Model

689.5 (BP)

4

<2.2e−16

Rejects null hypothesis. heteroskedasticity is present.

Breusch-Godfrey/Wooldridge Test for Serial Correlation in Panel Models

Random Effects Model

292.67 (Chi-Sq.)

29

<2.2e−16

Rejects null hypothesis. Serial correlation idiosyncratic errors are present.