Hello. Need help with panel data estimation.
I am working on panel data with T=96 and N=260. I used Hausman test and it gives FE an appropriate model for estimation as shown
Code:
Table: Hausman Test
Ho: difference in coefficients not systematic
chi2(6) = (b-B)'[(V_b-V_B) ^(-1)](b-B) = 251.86 Prob>chi2 = 0.0000 (V_b-V_B is not positive definite)
Table: Hausman Test
Ho: difference in coefficients not systematic
chi2(6) = (b-B)'[(V_b-V_B) ^(-1)](b-B) = 251.86 Prob>chi2 = 0.0000 (V_b-V_B is not positive definite)
But the hetero and auto test show both problems
Code:
Table: Wald test for heteroskedasticity
H0: sigma(i)^2 = sigma^2 for all i chi2 (252) = 2.8e+38 Prob>chi2 = 0.0000
Code:
Table:Wooldridge test for autocorrelation
H0: no first-order autocorrelation F (1, 244) = 873.172 Prob > F = 0.0000
In accordance to the above data and results I need suggestions. Should I go for FGLS
Code:
xtgls
or use
Code:
xtreg
with
Code:
cluster
option? Plus if [CODE][cluster/CODE] then cluster with only Panel ID or Panel ID and Time both?