Substantive v. Statistical Factors in Model Selection

In a recent Stata list discussion, a grad student investigating firms' leverage ratios raised a question about whether to run a fixed-effects or OLS model on some panel data and cluster. To assess his results' robustness to model specifications, he ran the data across an array of models (below).

The advice offered, however, emphasized that "the answer to your ... question comes from substantive finance considerations, not statistics or Stata." That is, in some instances the precise nature of your research question and context, in combination with research design and data structure factors, inform specification selection where various options are, from a purely statistical perspective, "not necessarily wrong."