Dear Stata Experts,
In one of my paper, I have used 30 firms over the year 8 years (total 198 firm-years after excluding missing data) as a sample. Now the reviewer is arguing that the paper does not deal specifically with issues as auto-correlation, heteroscedasticity and multivariate normality in the presence of small sample sizes. I have used clustered robust standard errors by firm for handling the auto-correlation and heteroscedasticity, and it is mentioned in the paper.
I have also applied propensity-score matching (PSM) analysis. The reviewer is also asking the validity of using two-stage regression procedures applied to a very small sample sizes.
Can you please give your suggestion in this regard and help me?
Regards,
Aryan
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