Fixed Effects Pooled OLS Panel Data Regression

[Daniel Huynh]

Dear all,

Thanks for your time reading this.

My data has small T and large N. When I use Hausman test, it recommends to use FEM rather than REM. However, the regression of FEM reveals that 4/6 independent variables and 1/5 control variables are significant. On the other hand, when using Pooled OLS with i.year i.industry dummies, it reveals 10/111 signficant variables. Therefore, could I consider regression model with year and industry dummies as a fixed effect model?

Thanks and best regards,
Daniel

[Carlo Lazzaro]

Daniel:
if -fe-is the way to (as per -hausman-), forget pooled OLS.
As an aside, searching for the model with the highest number of statistically significant coefficients is not the way to go; try to give a fair and true view of the data generating process, instread.