Hello,
I have panel data ( N is large with T is small). My data has autocorrection and don't have heteroskedasticity/ How can I fix autocorrection in my data? Is this possible for me to add vce, cluster after reg to fix ?
Code:
estat hettest
Breusch-Pagan / Cook-Weisberg test for heteroskedasticity
Ho: Constant variance
Variables: fitted values of ex
chi2(1) = 0.31
Prob > chi2 = 0.5759
Code:
 xtserial ex vl0 ll2 ll4 ll5

Wooldridge test for autocorrelation in panel data
H0: no first-order autocorrelation
    F(  1,     102) =     58.960
           Prob > F =      0.0000
Thank you !!