I am manipulating an unbalanced macro panel with N=9 and T=9 (75 observations). The xttest3 shows that there is heteroskedasticity, and xtcsd (Pesaran Test) shows there is not cross-sectional dependence (Pr.=0.5757). So in this case, can I still use xtscc, instead of xtreg, fe vce(robust)?
I know from Hoechle's paper that if there is heteroskedasticity only, then use xtreg, fe robust. But some people suggest that xtscc is a comprehensive command and a recommended choice even if there is not cross-sectional dependence or if we are uncertain about heteroskedasticity and cross-sectional dependence in the model.
Actually, for one of my regressions, xtscc makes more variables significant (the coefficients are exactly the same as those in xtreg, fe robust). For other regressions, xtscc produces basically the same results as xtreg, fe robust (only trivial differences in p value)
Many thanks!
I know from Hoechle's paper that if there is heteroskedasticity only, then use xtreg, fe robust. But some people suggest that xtscc is a comprehensive command and a recommended choice even if there is not cross-sectional dependence or if we are uncertain about heteroskedasticity and cross-sectional dependence in the model.
Actually, for one of my regressions, xtscc makes more variables significant (the coefficients are exactly the same as those in xtreg, fe robust). For other regressions, xtscc produces basically the same results as xtreg, fe robust (only trivial differences in p value)
Many thanks!