Fixed effects (Two-way) and standard errors (Huber-White/Two-way clustered)

[startistiker]

Hi!

I have a question regarding standard errors in a two-way fixed effects covariance model (Jones (1991) model to estimate discretionary accruals).

I'm using panel data (firm (52 obs.), year (14 obs.)) which is unbalanced (some of the firms have missing firm-years) in a two-way fixed effects model (firm and year dummies).

Y = b1*X1 + b2*X2 + b3*FE(firm)+b4*FE(year)+e
(intercept is suppressed)

I want to test the effect of a treatment by adding a dummy (treatment=1, otherwise 0) for the years a firm is affected by the treatment:

Y = b1*X1 + b2*X2 + b3*FE(firm)+b4*FE(year)+b5*treatment+e
(intercept is suppressed)

The whole sample consists of 220 treatment years and 400 non-treatment years. Every firm has at least on treatment and one non-treatment year.

Now I am not sure about the correct kind of standard errors I should use in my t-statistics? So far I tried the standard t-test, Huber/White standard errors and two-way clustered standard errors (Cameron, Gelbach, and Miller; cgmreg in Stata). Which one is recommandable and why (in context of the two-way FE model)? Results are, as expected, much weaker by using the latter.

To you have general recommendations what to test in this kind of approach or to what i have to pay special attention?

Tests I have also done so far:
- Hausman between FE and RE -> FE recommended (Chi2 11.88)
- F-Test of year dummies -> inclusion recommended (F-Test 2.99)

If you need more (specific) information, please tell me!

Thank you!