Hello guys,
I am running a fixed effect regression model. I have a problem of heteroskedasticity and was wondering if I can correct this by using Discroll-Kraay standard errors.
First I tried using just robust errors using the command " xtreg, y x, fe vice(robust) " and the model lost significance, meaning my p-values > .0.1.
When using the Discroll-Kraay standard errors my model didn't lose any significance, meaning my p-values equal 0.00. Am I solving my problem by using these Discroll-Kraay standard errors?
I am very new to stata and panel data analysis and would appreciate the help!
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