What am I supposed to do when I want to interpret significances, although I know that standard errors are biased because of wrong error term assumptions? I know that there is the possibility to use White estimators, weighted OLS. But my prof told me not to do so.
Maybe some extra information:
1.) I am analyzing an OLS with a whole bunch of dummy variables.
3.) the assumption of normal distributed error terms is wrong (they are t-distributed) and heteroskedasticity occurs.
4.) I am doing cross sectional analysis
5.) I have a lot of Interaction in the model. And most of the variables are non significant (p-values around 0.8, so that the coefficients are close to zero). My prof doesn't want me to get rid of these variables, although they are not significant (He said that this is not a good way, because stepwise elimination is trouble because of deleting wrong variables and choosing the right criteria).
On the one hand I understand why there is no way to interpret the significances. But on the other hand it makes interpreting not easier. Sure I can change the model, but I have to do OLS first, before I am allowed to switch!