Control for heteroscedasticity and autocorrelation for panel data

[Jodie Lewicki]

How can I control for heteroscedasticity and autocorrelation when I ran the tests
xtserial av uv, output and
xtreg av uv, fe
estimates store FE
xttest3

and found out that both exist in my panel data set.

Do i have to add something to my fixed effects command: xtreg av uv, fe?

Thank you!

[Carlo Lazzaro]

Jodie:
provided that the number of your clusters is at least 30:

xtreg av uv, fe robust

or

xtreg av uv, fe vce(cluster panelid)

wil take care of both the nuisances.

[Jodie Lewicki]

Thanks!

That helped a lot!

[Jodie Lewicki]

Can I save the new results? Because when I try to save it with asdic it does not work? And I get this error: (file Myfile.doc not found)
file Myfile.doc could not be opened
fopen(): 603 file could not be opened
asdocrest(): - function returned error
<istmt>: - function returned error
r(603);

[Carlo Lazzaro]

Jodie:
you probably mean the community-contributed module (as FAQ kindly recommend you to mention it) -asdoc- that, unfortunately, I'm not familiar with.
That said, check that you have installed its last version.

[Attaullah Shah]

The xttest1, xttest2, and xttest3 are supported in asdocx, not in asdoc.