Hi!
xttest3 and xtcsd tests after xtreg,fe show evidence of existence of
cross panel het. and spatial correlation. In a static panel setup, the
estimation can be done with xtpcse (as in my case T<<N).
My question is, if I try to fit a Dynamic panel model to the same
dataset, how can I proceed? with robust option in xtabond2, within
panel het and autocorr can be addressed, but how to specify for
cross-sectional het and correlation?
thanx in advance.
abhijit
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