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  • T>N and issue of hetero, auto, CSD and possible "endogeniety"

    I have a very important issue, and your help will mean a lot. I have N=5, T=31. I found hetero, auto, and csd in my data and I applied the PCSE model. I got comments that one of my independent variables could be correlated with the error term (or, in simple case there is chance of endogeniety). as i know GMM estimator is applicable for N>T and it cannot dela with CSD.
    under these scenarios, can you please suggest me any other methodology which can handle all of the 4 issues as I mentioned earlier. thank you

    Regards,
    asad Abbas

  • #2
    Carlo Lazzaro please

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    • #3
      Asaq:
      I an not aware of any Stata module for dealing with endogeneity in T>N panel datasets.
      Kind regards,
      Carlo
      (StataNow 18.5)

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      • #4
        thank you professor!

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        • #5
          Asad:
          Carlo is enough. Thank you.
          Kind regards,
          Carlo
          (StataNow 18.5)

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