Hey there, I'm kind of new in R, at least when it comes to the coding outside of a classroom into real world problems. Recently I been studying a Panel Data set with a finite (small) cross section sample size N
If you google your question you will find a number of examples and at least one R package that should be of help to you. Wish you the best, David Booth
I think you should try the LSDVC of Bruno (2005) in stata. Its the same as that of kiviet (1999), it just correct for unbalanced data property. However, you need to be careful with the sample size of less than 50. Recall that, the bias becomes higher with smaller sample. The bias corrected is just that of the endogeneity which results from the inclusion of the lagged of dependent variable as a regressor.. In addition, the approach is a fixed effect approach and does not allow for endogenous regressor. In other words, all independent variables must be strictly exogenous .. See Bruno (2005) for more exposition..
Best Regards
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