Hello,

I write my thesis atm and I want to investigate the relationship between an almost constant independent variable on country-level (a special law index which hardly ever changes over times) and a firm-level dependent outcome. Additionally, I use several firm-level and country-level control variables. As I have an extensive data sample spanning over almost 40 years, I thought using panel data is the best way. However, my supervisor told me that I should also try to run a "pooled OLS White corrected".

Now, I tried running different regressions and the outcomes are very confusing to me. I get their individual meaning (interpreting the coefficients and significance), however, I am not sure which one I should follow now. Especially, I don't understand the extreme differences between the t-statistics and the SE.

Maybe anyone here knows an answer or can give me a hint Thank you very much!

Here is the code I use:
Code:
regress DepVar IndepVar Firm-levelControls Country-levelControls i.Year i.SIC2, vce(robust)
regress DepVar IndepVar Firm-levelControls Country-levelControls i.Year i.SIC2, vce(cluster Country)
xtreg DepVar IndepVar Firm-levelControls Country-levelControls i.Year i.SIC2, re vce(robust)
xtreg DepVar IndepVar Firm-levelControls Country-levelControls i.Year i.SIC2, fe vce(robust)
xtreg DepVar IndepVar Firm-levelControls Country-levelControls i.Year i.SIC2, re vce(cluster Country)
This is the outcome I get:
OLS-robust OLS-cluster Panel-re-robust Panel-fe-robust Panel-re-cluster
b/t/se b/t/se b/t/se b/t/se b/t/se
IndepVar -0.020 -0.020 -0.011 0.008 -0.011
-76.806 -4.193 -15.516 5.080 -2.802
0.000 0.005 0.001 0.002 0.004
Firm-levelControl1 0.138 0.138 0.118 0.114 0.118
95.319 7.730 34.310 28.624 7.333
0.001 0.018 0.003 0.004 0.016
Firm-levelControl2 0.000 0.000 0.000 0.000 0.000
1.820 2.737 1.479 -0.658 3.688
0.000 0.000 0.000 0.000 0.000
Firm-levelControl3 -0.001 -0.001 -0.001 -0.001 -0.001
-8.442 -1.197 -10.033 -9.570 -3.733
0.000 0.001 0.000 0.000 0.000
Firm-levelControl4 -0.005 -0.005 -0.002 -0.001 -0.002
-52.006 -5.058 -9.951 -5.870 -1.778
0.000 0.001 0.000 0.000 0.001
Firm-levelControl5 -0.062 -0.062 -0.044 -0.041 -0.044
-47.703 -12.482 -27.317 -23.572 -10.049
0.001 0.005 0.002 0.002 0.004
Firm-levelControl6 -0.060 -0.060 -0.047 -0.040 -0.047
-8.784 -1.952 -3.727 -2.755 -4.024
0.007 0.031 0.013 0.015 0.012
Firm-levelControl7 0.004 0.004 0.004 0.005 0.004
7.397 1.113 4.409 4.947 1.619
0.001 0.004 0.001 0.001 0.003
Firm-levelControl8 0.011 0.011 0.010 0.009 0.010
88.155 9.032 26.417 15.420 7.679
0.000 0.001 0.000 0.001 0.001
Country-levelControl1 -0.006 -0.006 -0.010 0.000 -0.010
-17.466 -0.760 -11.094 . -1.060
0.000 0.008 0.001 . 0.010
Country-levelControl2 -0.033 -0.033 -0.032 0.031 -0.032
-56.210 -2.695 -17.664 3.107 -2.071
0.001 0.012 0.002 0.010 0.016
Country-levelControl3 0.000 0.000 0.000 0.000 0.000
-10.976 -4.427 -7.354 -3.726 -9.560
0.000 0.000 0.000 0.000 0.000
Country-levelControl4 0.001 0.001 0.000 0.000 0.000
11.790 0.674 -3.178 -3.551 -0.770
0.000 0.002 0.000 0.000 0.001
Constant 0.033 0.033 0.044 -0.043 0.044
7.560 0.959 4.848 -5.380 1.136
0.004 0.034 0.009 0.008 0.038
Year dummies Yes Yes Yes Yes Yes
Industry dummies Yes Yes Yes Yes Yes
N 458158 458158 458158 458158 458158
r2_a .140 .140 .030