Hello,
I have a panel data set with 180 countries observed during the period 2008-2017, I am trying to see the effect of interacting democracy measure (polity2) with different measures of government ideology on the environmental performance of the country. My supervisor advised me to use three different models: Pooled OLS with time fixed effects, FE and RE to see how the regression looks like in each of them.
The question is, I would like to test for heteroskedasticity under the three models. I have searched before asking and found that I should use xttest2 for FE. For the RE, I saw some suggestions for xttest0, but I am not sure if this is the right context. Also, I couldn't find what should I use to test in the pooled OLS.
Also, to control for heteroskedacity, I've understood that I should cluster standard errors at the country level using: vce, cluster(country) with xtreg as it is the same as vce, robust. In the pooled OLS model, I fail to understand if I should use the cluster or the robust option with regress.
I'd be very grateful if you could help.
Thanks and best regards.
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