Dear statisticians,
In my panel data (balanced, T<N) below tests are showing that there is heteroskedasticity and autocorrelation problem
Code:
xtserial variables
Code:
hettest
I am using xtpcse and different options (hetonly, independent, correlation(psar1) are producing different results. From below command with independent and correlation(psar1) is producing best results (More variables are insignificant) however, please confirm which command should I use in this case (where autocorrelation and heteroskedasticity problem exists)?

Code:
xtpcse depvar indepvar timedummies sectordummies, hetonly correlation(psar1)
Code:
xtpcse depvar indepvar timedummies sectordummies, correlation(psar1)
Code:
xtpcse depvar indepvar timedummies sectordummies, independent correlation(psar1)
Thanks