Hello,

I am running a panel regression using xtreg, fe with an unbalanced dataset (small T, large N). I want to test for heteroscedasticity and autocorrelation. I have been reading a previous post on the list (https://www.statalist.org/forums/for...roskedasticity) which gives valuable insights into the commands available. Using the information in this previous post, I find heteroscedasticity and serial correlation using xttest3 and xtserial, but I cannot perform xttest2 because of the unbalanced dataset. My questions are the following:

I am now confused about the difference between xtserial and xttest2. Do they both test for autocorrelation? Or should I find another way to test for cross sectional correlation?
When clustering the standard errors, does this also take into account possible problems with cross-sectional correlation (xttest2)?

Kind regards,
Timea De Wispelaere