Hi! I am using panel data with N=6 and monthly data from 2000 to 2017 i.e., T=216. The specific industry I am studying has only six firms, therefore N cannot be larger than 6. I am studying the impact of a policy change that was introduced in a staggered manner across the six firms.
Can I use a fixed effect estimator with such a small N? If I use seemingly unrelated regression, will it be correct to use the dataset in a wide format and then run the surgeg command? What alternative models are suitable with small N and large T?
Further, if I have to add lagged variable of the dependent variable into my specification can Arellano and Bond estimator be used for small N and large T?
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