Hi everyone,
I am trying to analyse how the variable "score" varies over time. I have used the following regression:
xtset country_num year
xtreg score second_period third_period, fe vce(robust)
where second_period and third_period are dummy variables capturing two different periods in my time span.
If I'm not mistaken, specifying the option vce(robust) means the model employs Arellano’s estimator, which corrects for both heteroskedasticity and within-group serial correlation. I also conducted a test for heteroskedasticity through the xttest3 command and rejected homoskedasticity.
I would now like to test if the dummy for the second period is statistically different from the dummy for the third period. I think I should use the following code: test second_period = third_period. However, to perform a t-test I need homoskedasticity.
How can I test if the two dummies are different in the presence of heteroskedasticity and serial correlation?
Thanks in advance!