How can i tested for Serial Autocorrelation in an unbalanced panel with Cross-Sectional obs more than Time-Series obs?

19 October 2023 0 2K Report

Hi everyone,

i'm involved to estimate a panel one-way random effect model with GLS estimators in a panel data composed by N dimension greater than T dimension.

After several attempts i tried to use GLS estimators that are Heteroskedasticity and Autocorrelation corrected with clustered Standard Errors (HAC option, cluster option). Due to this framework i also have to testing for Heterosckedasticity and Autocorrelation again?

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