Running Times Series and Cross Section Analysis separately over the same data?

#1
Hi all!

I am running over the same data a time-series regression and a cross section analysis.

The time-series regression determines the bond spread regression for a certain firm based on the firm past bond spread historical.

The cross section regression determines the regression based on the bond spread of 34 firms for each different moment in time (I have 74 different monthly observations).

I am getting different regressions depending of the perspective (cross sectional versus time series based regression).

Shall I choose for each case the regression based on the one that has the highest R^2 or in this case should I consider a Time-series cross section analysis (TSCS). And if so which papers could give me some hints about implementing a TSCS analysis?

Thank you once again for your help.

Best
Manuel Rodrigues