Dear all,

I am working with Panel data (FE and RE models) and performing several diagnostic tests and robustness checks.
I have already checked for model misspecification, heteroscedasticity, autocorrelation, multicollinearity, and normality.
The next step for me is to check for other aspects of endogeneity in my model such as simultaneity and measurement error issues.
However, unfortunately, I am not aware of any tests that could check if my variables are exogenous or endogenous in Panel data frameworks.
I made a research and found several methods including using of lagged dependent variable as Instrumental Variables in FE/RE models but I am not sure if this is the best option in case of endogeneity in the model.
I will greatly appreciate any feedback and suggestion from your side.

Thank you and best regards.