I have a multiple regression linear model which I ran a simple OLS test on.
I then performed the White test and found that it was heteroskedastic.
Then I performed a Weighted Least Squares regression on the model, to account for the heteroskedasticity.
Now I need to use heteroskedasticity-robust standard errors (HRSE) for my inference, but I'm not sure whether to get the SEs from my OLS regression or my WLS one.
I'm asking because when I run a coefficient test on the WLS regression with or without HRSE, I get the same inference results; but I'm not sure if it makes sense to get HRSEs from a WLS regression, since WLS already accounts for heteroskedasticity.
Thanks in advance for any help!
Do I get the HRSEs from my OLS, or WLS regression?