Hello,
My data is suitable for FE model but with heteroscedasticity and autocorrelation, I want to conduct FE GLS model, I write the command like this;
.xtgls y x1 x2 i.id, i(id) panels(hetero) force corr(ar1) first, is this true command for FE GLS . I put i.id as a dummy variable since my model is suitable for FE.
Second in this GLS model the distrubiton is not normal, so what can I do
thank you very much for your help