I am woring with panel model with T=5 and N=15. I am studying the dynamic relation between economic covariates and financial inclusion. With this in mind should I use GMM or panel ARDL model?
The best models for panel data are Regression models:: https://towardsdatascience.com/panel-data-regression-a-powerful-time-series-modeling-technique-7509ce043fa8
A correlation between variables can generate endogeneity problems. The GMM method is used in this case to correct such kind of problems using instruments.