I have a Twoways "within fixed effects panel regression model and detected multicollinearity, autocorrelation and heteroskedasticity. For heteroskedasticity I want to use heteroskedasticity-consistent standard errors by White (1980). This results in different standard errors. For multicollinearity, I'd drop a variable and for autocorrelation I'll try to reduce the sample period.
Anyway, anything I'll apply will change my regression results or even my model. And that's the point where I'm stuck. Therefore, please allow me to ask:
- What should I do first and why?
- Which results/model should I use as my starting point?
Should I fix the 1. problem > use the new model/results > test for 2. problem again > fix it > use the new model/results > test for 3. problem again > fix it?