bootstrap corrected fixed effect

[Anat Tchetchik]

Hi all,
have an unbalanced panel with 120 units and T = 11 (Stata 18.0). I am running a bootstrap corrected fixed effects with the use of the -xtbcfe- command.
My questions are:
1. Should I test for unit root prior to estimation? I suspect that the dependent variable has unit root. I originally employed a system GMM model which circumvent this problem but am not sure the bcfe model works in the presence of unit root.
2. The syntax of the xtbcfe doesn't appear to allow robust/clustered SE. Is there a way to obtain robust standard errors with this command?
Many thanks
Anat

[Anat Tchetchik]

Hi all,
Following my question on the bootstrap corrected fixed effects -xtbcfe- I have tested my DV using panel unit root tests and the results are inconclusive(at one panel is stationary).
I can use the first difference of my DV to solve that (my panel is unbalanced panel with 120 units and T = 11, I use Stata 18.0).

My questions remain:
1. Whether the -xtbcfe- circumvent dynamic patterns of the data (in the manner that system GMM does?) A reviewer has asked for the bootstrap corrected fixed effects in addition to the system GMM.
2. The syntax of the -xtbcfe- doesn't appear to allow robust/clustered SE. Is there a way to obtain robust standard errors with this command?
Many thanks
Anat