Pooled OLS vs Fixed Effects
Posted: Tue May 02, 2017 9:32 am
Helle everyone,
I am writing my master thesis at the moment, and I have some struggles with the eviews output. In my paper I investigate a credit rating change effect on the profitability of a firm, in this example measured with return on equity (ROE). I made dummy variables for each quarter, and a dummy 1 for an upgraded firm and 0 otherwise. For research description, regression formula and eviews output see First I made a pooled OLS regression. This results in significant effect in the quarters following the event date. The results are logical and correspond to related literature. All eviews output can be found in .
Now, I also employed a redundant fixed effect test for time FE and entity FE, both significant. Suggesting that I need to use both FE in my panel regression. If I do this, all results around a rating change period are insignificant.
My question is: is it still possible to use the pooled OLS results, or the time fixed effect results? These are both significant and useful for my research paper. If this is not possible now, what should I do to make the regression fit?
I attached the regression output and the panel data in the attachments. I am completely lost at the moment, and I am really thankful to the ones who want to help me out.
Kind regards,
Mats Poorthuis
I am writing my master thesis at the moment, and I have some struggles with the eviews output. In my paper I investigate a credit rating change effect on the profitability of a firm, in this example measured with return on equity (ROE). I made dummy variables for each quarter, and a dummy 1 for an upgraded firm and 0 otherwise. For research description, regression formula and eviews output see First I made a pooled OLS regression. This results in significant effect in the quarters following the event date. The results are logical and correspond to related literature. All eviews output can be found in .
Now, I also employed a redundant fixed effect test for time FE and entity FE, both significant. Suggesting that I need to use both FE in my panel regression. If I do this, all results around a rating change period are insignificant.
My question is: is it still possible to use the pooled OLS results, or the time fixed effect results? These are both significant and useful for my research paper. If this is not possible now, what should I do to make the regression fit?
I attached the regression output and the panel data in the attachments. I am completely lost at the moment, and I am really thankful to the ones who want to help me out.
Kind regards,
Mats Poorthuis