Dear Sir,

I have yearly panel data from 2008-2018 and 63 companies. My variables are:
Dependent- excess return of securities
Independent- KZ i.e index for financial constraints, RD is R&D expenditure to total assets, interaction term i.e. KZ*R&D, log of market capitalization and book to market ratio. All series are stationary.

I first run random effect model and test for xttest0 which suggest OLS. But hausman test suggest fixed effect model.
After this I found heteroscedasticity and cross sectional dependency in my data with the help of xtcsd, pesaran abs and xttest3 command. So I run fixed effect model with vce (robust) this model give four out of five variables significant. My question is:
  • Should I go with fixed effect with vce (robust) model? I have attached stata output file below. Please help me .
Thank you
Priya