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Robust estimators (vce robust) for fixed effects regression to correct for heteroskedasticity even though there is no serial correlation?
Robust estimators (vce robust) for fixed effects regression to correct for heteroskedasticity even though there is no serial correlation?

Dear research community,

After running several tests (including F-Test, Breusch and Pagan’s (1980) Lagrange Multiplier (LM) Test and Hausman (1978) Test) I came to the conclusion that a fixed effects model is the most appropriate one for my data.
To ensure that the estimates are efficient I run a couple of diagnostic tests.
Following a modified Wald statistic the idiosyncratic errors seem to be heteroskedastic. However there is no evidence of serial correlation following the test proposed by Wooldridge (2002).

--> here the sub-question if it is correct to run the command "xtserial" after:
egen countrynum = group(Country)
xtset countrynum
xtset countrynum Year, yearly
xtreg DV IVs, fe

The main question is whether I can make use of robust (sandwich) estimators to correct for heteroskedasticity even though there seems to be no autocorrelation problems?
Thanks for your help in advance.

Best

Frederic

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