Hi,
I am currently trying to estimate a Dynamic Panel Data Model (including a first-order lag of the dependent variable and other control variables as regressors) utilizing a panel data set. The panel data set consists of N = 30 panels and T (very) large, which varies across panels. If panel-i and panel-j denote the panels with the shortest and longest time-span, respectively, then T_i is 162 and T_j is 10433. The average T-length across panels is 2136.47.

The panel data set is 'unbalanced', as it is composed of 'stacked' periods of observations for each panel. Within these periods, however, the panel data are balanced.
I am estimating the Dynamic Panel Data model using fixed-effects, as it should allow me to estimate a different intercept for each of the panels. Tests are highly indicative of autocorrelated and heteroskedastic error terms.
I obtain 'problematic' std. errors using -xtreg, vce(robust)- (all of the parameters estimates on the included regressors suddenly become statistically significant at the 0.01-percent level, as compared to conventional std. errors. According to economic theory, the included regressors should not all be significant).

As I know that across-panels dependencies are very likely to be present in my data set, I wish to account for these dependencies using DK standard errors (-xtscc, fe- ). However, I obtain the following error: "too many values. r(134);". Does anyone know why this error arises and what I could do to circumvent this?

Kind regards,
Cecilie