Is it possible to use time series data and cross-section data in one model? and how?

[citra amanda]

Dear colleagues,

I use unbalanced panel data and two cross section data:
for example:
the dependent variable is panel data : Return of Assets, in time t and bank i
the independent variables is panel data and cross section : X1 = Non performing loan, in time t and bank i ; X2 = Distance proxy, in bank i (never change in time)

Can I use the GMM, GLS, and MLE regression?

Any advice would be so appreciated

Thank you

[Phil Bromiley]

You didn't get a quick answer. You'll increase your chances of a useful answer by following the FAQ on asking questions - provide Stata code in code delimiters, readable Stata output, and sample data using dataex.

It is not clear exactly what your data look like. This looks like a standard xtreg problelm, but that assumes you have non-preforming loans over time by bank. Distance if it doesn't vary within banks can be a problem - if it is important you could look at hybrid estimators - search Stata Journal for recent papers on hybrid models.