Panel methods accounting for both cross-sectional dependence and endogeneity at the same time?*
Are there any methods accounting for both cross-sectional dependence and endogeneity at the same time?
I want to know the methods which can account for both.
When N>T, we apply Diff/ system GMM accounting for endogeneity but they can't account for CSD.
When T>N, we apply CCEMG/AMG/DCCE/CSDL/CSARDL, but they account for CSD only, not endogeneity.
So I want to know whether there are methods that have been recently developed that can account for both. I want to know for T>N and N<T. Any guide?
I think Neal (2015) is for T>N where DCCE-GMM (xtcce y (l.y x = l(2/3).y l(1/3).x), dynamic gmm) takes care of endogeneity and CSD at the same time, But can it be applied for N>T as well?
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