Hi! How do I fix both serial and cross-section auto correlation in panel date at the same time? I run a fixed effects model with PSCE errors (takes care of cross-sectional autocorrelation), and one lag of the dependent variable (not significant).
But my Durbin-Watson test is about 1.7, which is too low accordning to the Bhargava, Franzini, and Narendranathan test statistics tables (which are very tight at about 1.9 for the lower bound). Likewise the Wooldridge test for autocorrelation in panel data is significant.
I try to apply a dynamic panel data with two-step estimation and an AR model, but regardless of the number of lags I get significant results for a Pesaran CD test for cross-sectional dependence.
Bottom line: It seems like I can´t address serial and cross-section auto correlation at the same time. Or can I? How?
https://www.statalist.org/forums/forum/general-stata-discussion/general/1508943-presence-of-heteroskedasticity-autocorrelation-and-cross-sectional-dependence-contemporaneous-correlation-panel-data
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