I'm trying to estimate a logit model on pooled panel data set (unit of observation is firm-year). My dependant variable is default indicator and I have several macro variables as independant variables. These are going to be identical for all firms in a given year, so i need something to correct for this effect.
I saw that one can use Huber sandwich estimate or Fama MacBeth standard errors. I'm using Newton-Raphson to run MLE. If I go with Huber sandwich estimator, should I use it in stead of standard Hessian in the NR algorythm? On the other hand, since Fama MacBeth approach was developed for OLS, is it possible to use the same approach with MLE?
If anyone has hands-on experience with these issues, any thought would be much appreciated.