My data has cross-sectional dependence, heteroscedasticity and autocorrelation. However, FGLS doesn't fit my assumptions. what should I do?

Also, my data are stationary at I(1), except the dependent variable which is stationary at I(0) and (T> N, T= 31, N= 7). But they are cointegrated. I don't know this is the best approach or not. I...

18 November 2023 8,082 2 View