Table 1.
Estimation Strategies for the Complete Sample: Model Choice
| k=7 | k=12 | k=15 | k=18 | k=22 | k=26 | |
|---|---|---|---|---|---|---|
| Lockdown measures | ||||||
F-test for fixed effects all  ; 
|
17.93 (0.00) | 15.72 (0.00) | 15.83 (0.00) | 16.38 (0.00) | 18.15 (0.00) | 20.84 (0.00) |
| Breusch-Pagan LM test for random effects | 0.00 (1.00) | 0.00 (1.00) | 0.00 (1.00) | 0.00 (1.00) | 0.00 (1.00) | 0.00 (1.00) |
| Standard Hausman test FE vs RE | 49.30 (0.00) | 42.41 (0.00) | 41.64 (0.00) | 44.77 (0.00) | 48.21 (0.00) | 51.48 (0.00) |
Wooldridge’s auxiliary regression for the panel-robust Hausman test 
|
51.80 (0.00) | 35.59 (0.00) | 33.69 (0.00) | 29.33 (0.00) | 29.49 (0.00) | 36.43 (0.00) |
Robust Hausman test with Driscoll and Kraay standard errors 
|
2.78 (0.08) | 2.17 (0.14) | 1.88 (0.18) | 1.81 (0.19) | 1.87 (0.18) | 2.00 (0.16) |
Wald statistic for groupwise heteroskedasticity in FE model(H0:  ) |
8.7e+06 (0.00) | 7.9E+07 (0.00) | 3.7E+08 (0.00) | 2.4E+09 (0.00) | 5.6E+10 (0.00) | 8.6e+09 (0.00) |
| Breusch-Pagan LM test for cross-sectional correlation in FE | 4024.48 (0.00) | 3121.27 (0.00) | 2379.69 (0.00) | 2104.43 (0.00) | 1305.44 (0.00) | 1675.82 (0.00) |
| Wooldridge test for autocorrelation in panel data | 0.95 (0.34) | 0.79 (0.39) | 1.07 (0.32) | 0.81 (0.39) | 0.78 (0.39) | 0.81 (0.38) |
| Social distancing measures | ||||||
F-test for fixed effects all  ; 
|
3.04 (0.00) | 5.46 (0.00) | 7.16 (0.00) | 8.93 (0.00) | 11.76 (0.00) | 14.8 (0.00) |
| Breusch-Pagan LM test for random effects | 0.00 (1.00) | 0.00 (1.00) | 0.00 (1.00) | 0.00 (1.00) | 0.00 (1.00) | 0.00 (1.00) |
| Standard Hausman test FE vs RE | 30.5 (0.00) | 62.35 (0.00) | 81.68 (0.00) | 100.22 (0.00) | 128.51 (0.00) | 156.17 (0.00) |
Wooldridge’s auxiliary regression for the panel-robust Hausman test 
|
5.28 (0.01) | 25.82 (0.00) | 55.85 (0.00) | 117.4 (0.00) | 152.54 (0.00) | 119.15 (0.00) |
Robust Hausman test with Driscoll and Kraay standard errors 
|
2.17 (0.14) | 2.30 (0.12) | 2.27 (0.13) | 2.23 (0.13) | 2.29 (0.12) | 2.42 (0.11) |
Wald statistic for groupwise heteroskedasticity in FE model (H0:  ) |
8.8E+07 (0.00) | 7.3E+08 (0.00) | 2.7E+09 (0.00) | 1.2E+11 (0.00) | 2.7E+10 (0.00) | 1.1E+10 (0.00) |
| Breusch-Pagan LM test for cross-sectional correlation in FE | 3968.61 (0.00) | 2961.65 (0.00) | 2088.12 (0.00) | 1183.49 (0.00) | 1415.48 (0.00) | 2318.58 (0.00) |
| Wooldridge test for autocorrelation in panel data | 2.29 (0.15) | 1.27 (0.28) | 1.39 (0.26) | 1.04 (0.32) | 0.97 (0.34) | 0.83 (0.37) |
| Movement restrictions | ||||||
F-test for fixed effects all  ; 
|
2.82 (0.00) | 5.25 (0.00) | 6.93 (0.00) | 8.71 (0.00) | 11.56 (0.00) | 14.56 (0.00) |
| Breusch-Pagan LM test for random effects | 0.00 (1.00) | 0.00 (1.00) | 0.00 (1.00) | 0.00 (1.00) | 0.00 (1.00) | 0.00 (1.00) |
| Standard Hausman test FE vs RE | 30.93 (0.00) | 66.82 (0.00) | 88.79 (0.00) | 110.87 (0.00) | 144.58 (0.00) | 177.79 (0.00) |
Wooldridge’s auxiliary regression for the panel-robust Hausman test 
|
4.81 (0.02) | 21.18 (0.00) | 62.48 (0.00) | 208.77 (0.00) | 305.64 (0.00) | 150.53 (0.00) |
Robust Hausman test with Driscoll and Kraay standard errors 
|
1.76 (0.20) | 2.06 (0.15) | 2.13 (0.14) | 2.22 (0.13) | 2.36 (0.11) | 2.52 (0.10) |
Wald statistic for groupwise heteroskedasticity in FE model (H0:  ) |
1.0E+8 (0.00) | 1.2E+9 (0.00) | 9.1E+9 (0.00) | 7.4E+10 (0.00) | 2.2E+10 (0.00) | 1.1E+10 (0.00) |
| Breusch-Pagan LM test for cross-sectional correlation in FE | 4055.85 (0.00) | 2894.21 (0.00) | 2029.04 (0.00) | 957.66 (0.00) | 1443.81 (0.00) | 2621.68 (0.00) |
| Wooldridge test for autocorrelation in panel data | 2.28 (0.15) | 1.25 (0.28) | 1.38 (0.26) | 1.04 (0.32) | 0.98 (0.34) | 0.84 (0.37) |
| Governance and socio-economic measures | ||||||
F-test for fixed effects all  ; 
|
35.64 (0.00) | 39.24 (0.00) | 39.99 (0.00) | 39.43 (0.00) | 37.59 (0.00) | 35.74 (0.00) |
| Breusch-Pagan LM test for random effects | 1212.86 (0.00) | 1638.42 (0.00) | 1783.34 (0.00) | 1776.15 (0.00) | 1614.84 (0.00) | 1309.41 (0.00) |
| Standard Hausman test FE vs RE | 185.93 (0.00) | 119.14 (0.00) | 102.68 (0.00) | 96.35 (0.00) | 93.9 (0.00) | 108.05 (0.00) |
Wooldridge’s auxiliary regression for the panel-robust Hausman test 
|
126.24 (0.00) | 174.96 (0.00) | 170.61 (0.00) | 160.6 (0.00) | 144.73 (0.00) | 142.08 (0.00) |
Robust Hausman test with Driscoll and Kraay standard errors 
|
4.01 (0.03) | 7.00 (0.00) | 6.43 (0.01) | 5.48 (0.01) | 3.94 (0.03) | 3.08 (0.06) |
Wald statistic for groupwise heteroskedasticity in FE model (H0:  ) |
2.6E+6 (0.00) | 8.7E+6 (0.00) | 2.0E+7 (0.00) | 6.6E+7 (0.00) | 2.1E+9 (0.00) | 1.1E+11 (0.00) |
| Breusch-Pagan LM test for cross-sectional correlation in FE | 4732.02 (0.00) | 4277.72 (0.00) | 4036.44 (0.00) | 3793.58 (0.00) | 2621.92 (0.00) | 1516.33 (0.00) |
| Wooldridge test for autocorrelation in panel data | 1.21 (0.29) | 0.97 (0.34) | 1.07 (0.32) | 0.90 (0.35) | 1.16 (0.29) | 0.91 (0.36) |
| Public health measures | ||||||
F-test for fixed effects all  ; 
|
2.89 (0.00) | 5.23 (0.00) | 7.08 (0.00) | 9.01 (0.00) | 11.95 (0.00) | 15.05 (0.00) |
| Breusch-Pagan LM test for random effects | 0.00 (1.00) | 0.00 (1.00) | 0.00 (1.00) | 0.00 (1.00) | 0.00 (1.00) | 0.00 (1.00) |
| Standard Hausman test FE vs RE | 27.64 (0.00) | 65.09 (0.00) | 90.00 (0.00) | 114.44 (0.00) | 149.49 (0.00) | 184.24 (0.00) |
Wooldridge’s auxiliary regression for the panel-robust Hausman test 
|
7.37 (0.00) | 57.78 (0.00) | 203.2 (0.00) | 714.71 (0.00) | 358.73 (0.00) | 159.73 (0.00) |
Robust Hausman test with Driscoll and Kraay standard errors 
|
1.97 (0.16) | 2.03 (0.16) | 2.03 (0.16) | 2.04 (0.15) | 2.12 (0.14) | 2.29 (0.12) |
Wald statistic for groupwise heteroskedasticity in FE model (H0:  ) |
9.0e+7 (0.00) | 1.0e+9 (0.00) | 3.8e+9 (0.00) | 3.3e+10 (0.00) | 1.5e+11 (0.00) | 4.0e+10 (0.00) |
| Breusch-Pagan LM test for cross-sectional correlation in FE | 4226.12 (0.00) | 2865.37 (0.00) | 2282.15 (0.00) | 1790.35 (0.00) | 1492.32 (0.00) | 1375.31 (0.00) |
| Wooldridge test for autocorrelation in panel data | 1.79 (0.20) | 1.13 (0.31) | 1.24 (0.28) | 0.98 (0.34) | 0.95 (0.35) | 0.79 (0.39) |
Note: p-values are given between parentheses.