What is the suitable Panel method that must I apply with my data properties? especially with numbers of N and T - I have a Panel with N= 11 countries and for T= 32 years - 7 variables and 4 models (each model have 4 variables). - All the variables stationary in I(0) and I(1) - Cross-sectional dependence exist among variables and models but I don't know if I must take into account the Cross-sectional dependence for the number of N and T in my study - When I apply the Hausman test to choose the (PMG or MG ARDL) the Stata software gives an error result
Can I apply the Panel ARDL method and check Cross-sectional dependence or it is not allowed with numbers of N and T? If is not allowed what I must apply the method with variables stationary in I(0) and I(1)?
See these links:
https://www.researchgate.net/post/For_T_smaller_than_N_we_can_use_GMM_estimator_which_dynamic_panel_data_estimator_is_applicable_when_N_is_smaller_than_T
https://www.uio.no/studier/emner/sv/oekonomi/ECON5103/v10/undervisningsmateriale/PDAppl_14.pdf
https://www.researchgate.net/post/I-have-a-panel-data-with-both-N-and-T-small-8-and-7-respectively-Is-the-system-GMM-a-good-methodology-If-so-how-can-I-test-it
https://ifs.org.uk/uploads/cemmap/programmes/Background%20reading%20May%202016.pdf
Yes Panel ARDL is applicable if the dataset contains I(0) and I(1) variables.
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