Failed Autocorrelation Command on Abnormal Data

[Shella Dini]

Hello, all. Please excuse my English, since I am not native. I am currently doing my thesis for bachelor degree.
I've found myself lacking in econometrics. For my thesis, I'm using time series and cross sections data over 41 firms in the span of 5 years. It is about the influence of employee spending, goods spending, and capital spending on performance quality. I've regressed and found the residual is not normally distributed and multicollinear presents. I've also run autocorrelation test using xtreg and xttest3 command, but it doesn't show anything. How to fix this? It is said, this can be fixed with clustered standard error. But I am just worried of the potential of violating of classical assumptions. Thank you

[Carlo Lazzaro]

Shella:
welcome to this forum.
You're seemingy dealing with a panel dataset.
With 41 panels (that is, firms) and heteroskedastic residuals, you should apply -robust- or -vce(cluster panelid)- standard errors.
About multicollinearity, I cannot say, as you do not post what you typed and what Stata gave you back (as recommended by FAQ).

[Felix Bittmann]

As an addition to Carlo's helpful response, you can also try wild cluster bootstraps if you are using a FE model, see: https://www.stata.com/manuals/rwildbootstrap.pdf