I am doing an event study where i use a panel analysis (different observations on a same day) with dummies of different days(=1 on that day and 0 otherwise) within event window. And then I test the significance of parameters on days in the event window. However, I meet the problem of heteroskedasticity on these observations. Also, I want to incorporate fixed effects as well. Could someone give me some advice on how to conduct the test or links of guide I should read. Thanks!
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