Hi everyone,
I'm working with a short panel (N=95, T=6). I have carried out the robust Hausman test (Wooldrige, 2002) and the result suggests that I have to use a RE model. Also, I already have done the Wooldridge test for autocorrelation in panel data and the result suggests that I have to handle an autocorrelation problem. The lrtest suggests that my model has a heteroskedasticity problem. Finally, Pesaran's test of cross sectional independence suggests that the data has this problem also. I have been reading and I have found that "xtpcse vardep varindep, c(ar1)" could be suitable with all of these problems but I know that this command is more suitable for long panels. I would be grateful if anybody has some advice. Thank you in advance.
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