Hello everyone, I hope this finds you well.
I’m new around here, so forgive for any mistake I might make.
So I have a yearly panel data where N> T (N=11 and T= 8), currently running study on banks spread, after carrying out the hausman test to decide between Random- effect or Fixed-effect model, the result was that random effect model would be better. After this, I applied some tests to verify problems of heteroskedasticity, autocorrelation such as: Wooldridge test and Bartllet test and both indicated the presence of those problems. Another thing that bothers me, is that I have the independent variable credit risk with a negative coefficient. I have tried to use the random effects models with robust standard errors, the new-west standard erros applying the force option, the pcse model, the dynamic model because I have a one lag dependent variable (bank spread), and it hasn’t worked.
I will be very grateful if you can advise me on how to proceed. Thank you.
I’m new around here, so forgive for any mistake I might make.
So I have a yearly panel data where N> T (N=11 and T= 8), currently running study on banks spread, after carrying out the hausman test to decide between Random- effect or Fixed-effect model, the result was that random effect model would be better. After this, I applied some tests to verify problems of heteroskedasticity, autocorrelation such as: Wooldridge test and Bartllet test and both indicated the presence of those problems. Another thing that bothers me, is that I have the independent variable credit risk with a negative coefficient. I have tried to use the random effects models with robust standard errors, the new-west standard erros applying the force option, the pcse model, the dynamic model because I have a one lag dependent variable (bank spread), and it hasn’t worked.
I will be very grateful if you can advise me on how to proceed. Thank you.
