Hausman test results to select FEM or REM
| Hausman test for the selection of FEM or REM | ||||
|---|---|---|---|---|
| Cross-section random-effect test comparisons | ||||
| Variable | Fixed | Random | Var(Diff.) | Prob |
| REM | 0.4005 | 0.4007 | 0.00 | 0.8482 |
| RGold | 0.3490 | 0.3507 | 0.00 | 0.1252 |
| ΔYield3m | 0.0862 | 0.0856 | 0.00 | 0.3543 |
| ΔVIX | −0.0027 | −0.0027 | 0.00 | 0.1137 |
| ΔVolatility5d | 0.2320 | 0.2319 | 0.00 | 0.1421 |
| Test summary | Observations | Chi-Sq. Statistic | Chi-Sq. d.f | Prob |
| Cross-section random | 7,192 | 3.3863 | 5 | 0.641 |
| Hausman test for the selection of FEM or REM | ||||
|---|---|---|---|---|
| Cross-section random-effect test comparisons | ||||
| Variable | Fixed | Random | Var(Diff.) | Prob |
| REM | 0.4005 | 0.4007 | 0.00 | 0.8482 |
| RGold | 0.3490 | 0.3507 | 0.00 | 0.1252 |
| ΔYield3m | 0.0862 | 0.0856 | 0.00 | 0.3543 |
| ΔVIX | −0.0027 | −0.0027 | 0.00 | 0.1137 |
| ΔVolatility5d | 0.2320 | 0.2319 | 0.00 | 0.1421 |
| Observations | Chi-Sq. Statistic | Chi-Sq. d.f | ||
| Cross-section random | 7,192 | 3.3863 | 5 | |
Note(s): Dependent variable: RET, the daily return of cryptocurrency
Only statistically significant factors are shown
Significance at the 10, 5 and 1% levels are indicated by *, ** and ***, respectively. The date range is from 12/31/2013 to 08/01/2020
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