Hi
I have a long panel with T= 1400 and N is fixed to 5. It is an unbalanced panel and my cross sectional units are Monday, Tuesday, Wednesday, Thursday and Friday. So i expect that there should be some cross sectional dependence given the objective. Now , i ran random effects model as BP LM test xttest0 and found that random effects are present, then i checked for cross sectional dependence wherein xttest2 and xtcsd, pesaran abs both provide evidence of cross sectional dependence.

Now how to account for it in model? Should I use Seemingly unrelated regression with GLS or is there a model with random effects. Kindly help.