Hi Statalist,

For some context: I'm attempting a fixed effects regression on panel data. When I performed the regression with classical standard errors, I got significant coefficients on my variables of interest. However, when I took robust standard errors, significance disappeared.

To check whether I have correct model specification, I followed the method outlined here by Prof. Silva. I used the following code:

Code:
areg y x i.year,a(ID) cluster (ID)
predict y_hat  

gen y_h_2=y_hat*y_hat
gen y_h_3=y_h_2*y_hat
gen y_h_4=y_h_3*y_hat

areg y x y_h_2 y_h_3 y_h_4 i.year,a(ID) cluster (ID)
test y_h_2 y_h_3 y_h_4
To which I got the following result:
Code:
F(  3,  1924) =    0.97
            Prob > F =    0.4051
Can I take this result to mean the model is correctly specified? Or should I check for higher order powers? Does this mean significance on my coefficients disappeared due to the nature of the data and is unlikely to be corrected by changing model specification?

Any help would be greatly appreciated.

Thanks,