I have a panel data with N>T (N=157, T=15). Have taken log of a few variables to make it Heteroscedasticity free. for cross sectional dependence have used 'xtcdf' , for autocorrelation postestimation command 'hettest'. have a few questions. Please feel free to ask more questions about the data or its analysis. My questions are -
1. For N>T micro data should cross sectional dependence be taken into account and controlled.
2. Is there a thumb rule for taking the log of variable. Which ones to use and reject.
3. Also if i dont take the logs, there is a presence of cross sectional dependence, autocorrelation and heteroscedasticity. Can we use xtscc, if yes how to chose between random/fixed effects. Mundlak is the way out?
4. if none of the above options are correct, please suggest a way forward.
hoping to hear from the community soon.
Harsh
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