Hello everyone,

Hope you all are well and keeping safe.

I have a question for the community here and I have tried looking for a method online but could not find a solution which is why I am posting my request here.

I have to construct a Hausman test for non-i.i.d panel data and check it's efficacy against traditional one. For that I need to generate a dataset having small T and large N.

At the moment I am thinking 20 time periods and 50 observations per time period (total 1000 observations).

I am unable to figure out how to generate such a dataset. I looked at this presentation by Christopher F. Baum (which had useful information on simulations) however, I am still stuck at square one.

I will really appreciate the help on this.

Thank you!