Hello!
I am writing my master thesis on the effect of implementing GSCM practices on financial performance. I am using a balanced panel data set across 9 year periods with 464 annual observations (i.e. firms). By performing a Hausman test, it shows that using a fixed effect model is more suitable in my case. However, I would like to know how I can examine whether to use a one way (i.e. only including either firm or year) or two way (both time and year)? And if a one-way model would be better, how do I determine to use firm or year in my case?

Besides, is it preferred to use LSDV with xi: regress i.(dummy) or xtreg, fe?

Would help me a lot!

Below my output:

Code:
 

 sort ID year

. xtset ID year, yearly
       panel variable:  ID (strongly balanced)
        time variable:  year, 2006 to 2014
                delta:  1 year

xtreg TobinsQ laggedGSCMP Firmrisk Firmsize Industry, fe
note: Industry omitted because of collinearity

Fixed-effects (within) regression               Number of obs      =      3712
Group variable: ID                              Number of groups   =       464

R-sq:  within  = 0.0050                         Obs per group: min =         8
       between = 0.0356                                        avg =       8.0
       overall = 0.0247                                        max =         8

                                                F(3,3245)          =      5.49
corr(u_i, Xb)  = -0.0538                        Prob > F           =    0.0009

------------------------------------------------------------------------------
     TobinsQ |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
 laggedGSCMP |  -.1490492    .108578    -1.37   0.170    -.3619376    .0638393
    Firmrisk |  -.2108832   .1473064    -1.43   0.152    -.4997062    .0779398
    Firmsize |  -.1545399   .0489047    -3.16   0.002    -.2504271   -.0586528
    Industry |          0  (omitted)
       _cons |   3.295451   .3674794     8.97   0.000     2.574936    4.015967
-------------+----------------------------------------------------------------
     sigma_u |  1.0374074
     sigma_e |  .83317079
         rho |  .60789743   (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0:     F(463, 3245) =    12.22           Prob > F = 0.0000

. estimates store fixed

. xtreg ROA laggedGSCMP Firmrisk Firmsize Industry, fe
note: Industry omitted because of collinearity

Fixed-effects (within) regression               Number of obs      =      3712
Group variable: ID                              Number of groups   =       464

R-sq:  within  = 0.0266                         Obs per group: min =         8
       between = 0.1170                                        avg =       8.0
       overall = 0.0679                                        max =         8

                                                F(3,3245)          =     29.56
corr(u_i, Xb)  = -0.3840                        Prob > F           =    0.0000

------------------------------------------------------------------------------
         ROA |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
 laggedGSCMP |  -.0186391   .0138594    -1.34   0.179    -.0458132     .008535
    Firmrisk |  -.0918953   .0188029    -4.89   0.000    -.1287621   -.0550286
    Firmsize |    .053131   .0062424     8.51   0.000     .0408915    .0653705
    Industry |          0  (omitted)
       _cons |  -.3451898   .0469069    -7.36   0.000    -.4371598   -.2532197
-------------+----------------------------------------------------------------
     sigma_u |  .10264246
     sigma_e |  .10634995
         rho |  .48226573   (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0:     F(463, 3245) =     6.17           Prob > F = 0.0000

. estimates store random

. hausman fixed random

                 ---- Coefficients ----
             |      (b)          (B)            (b-B)     sqrt(diag(V_b-V_B))
             |     fixed        random       Difference          S.E.
-------------+----------------------------------------------------------------
 laggedGSCMP |   -.1490492    -.0186391       -.1304101        .1076899
    Firmrisk |   -.2108832    -.0918953       -.1189879        .1461015
    Firmsize |   -.1545399      .053131       -.2076709        .0485046
------------------------------------------------------------------------------
                           b = consistent under Ho and Ha; obtained from xtreg
            B = inconsistent under Ha, efficient under Ho; obtained from xtreg

    Test:  Ho:  difference in coefficients not systematic

                  chi2(3) = (b-B)'[(V_b-V_B)^(-1)](b-B)
                          =       23.12
                Prob>chi2 =      0.0000