my panel (N=2660 ; T=7) presents either heteroskedasticity (lrtest and xttest3) endogeneity and cross-sectional dependence (xtcsd test). Moreover there is also serial correlation (xtserial test).
Thank to statalist I found useful commands to correct my analysis but I haven't found a way to cope with all of them together yet. The command xtscc for ex. is useful for the cross-sectional dependence (nd maybe also heteroskedasticity..?) but not in the case of endogenous covariates. For the endogeneity problem, I tried different commands like ivreg2 and xthtaylor, the last one give nice results in terms of expected coeff signs and their significance, but they don't provide correct SE for cross-sect dependence. Xtgls seems good for heteroskedasticity (and serial correlation) but not for endogeneity.
I can say that I'm new with empirical analysis and panel data so every suggestion or comment would be pretty appreciated.
thanks to all