Panel data diagnostics
| Test | Null hypothesis | Test statistic | p-value | Inference |
|---|---|---|---|---|
| Hausman test (FE vs. RE) | RE is consistent and efficient | χ2 = 547.33 | 0.000 | FE required; RE inconsistent |
| Wooldridge test for autocorrelation | No first-order serial correlation | F = 72.26 | 0.000 | Autocorrelation present |
| Modified Wald test for heteroskedasticity | Homoskedastic disturbances across panels | χ2 = 393,739.89 | 0.000 | Heteroskedasticity present |
| Pesaran test for cross-sectional dependence | No contemporaneous correlation across panels | 77.48 | 0.000 | Cross-sectional dependence present |
| Test | Null hypothesis | Test statistic | Inference | |
|---|---|---|---|---|
| Hausman test (FE vs. RE) | RE is consistent and efficient | 0.000 | FE required; RE inconsistent | |
| Wooldridge test for autocorrelation | No first-order serial correlation | 0.000 | Autocorrelation present | |
| Modified Wald test for heteroskedasticity | Homoskedastic disturbances across panels | 0.000 | Heteroskedasticity present | |
| Pesaran test for cross-sectional dependence | No contemporaneous correlation across panels | 77.48 | 0.000 | Cross-sectional dependence present |
Note(s): Diagnostics justify firm and year fixed effects with Driscoll–Kraay standard errors (max lag = 2) as the primary estimator. Benchmark FE with firm-clustered SEs and RE–GLS are reported only for comparison in baseline results
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