How to solve autocorrelation and hetero ?

[Lenny Tran]

I using xtserial and xttest3
What should I do to deal with autocorrelation and hetero ?
My data have 9 countries and 10-40 quarters ( T > N )

[Carlo Lazzaro]

See -xtgls-.

[Lenny Tran]

See -xtgls-.

what if i use xtreg, fe robust
does it control both for serial correlation and hetero

[Carlo Lazzaro]

Lenny:
this is the same topic repeatedly discussed some days ago.
You have a T>N (or long) panel dataset, wheras -xtreg- works at its best with N>T (or short) panel datasets.

[Lenny Tran]

Carlo: i know, i just want another answer, I know that you suggest for me the xtregar and xtgls when T> N, and you can point it from the book, but what if the book is wrong, why we have to follow it, if we have all solution for any kind of data and model, why we should study to choose the suitable one, why cant someone just write down the ado file to auto identify the problem with the data and choose the best model for it .

[Carlo Lazzaro]

Lenny:
admittedly, I find difficult to follow your statements.
Maybe you have better answers to your problem (if any) than the ones reported in panel data regression textbooks. It it were so, please share them with the list. Thanks.