So I reject the null of homocedasticity. However, I also like to
test for contemporaneous correlation, when using xttest2 I got the
Correlation matrix of residuals is singular.
not possible with test
My panel is 124 x (18 to 33) and has very few missing values.
If you mean that you have 124 panel units and 18-33 time periods per
unit, then you cannot run sureg on these data, since it requires T > N.
xttest2 uses the same correlation matrix as the SUR estimator, so if N
> T, cannot be done.