st: Regression specification

[Cunner <esser.flo@gmail.com>]

Hi everyone, 
being quite new to (advanced) econometrics I am struggeling a bit about the
seemingly unlimited STATA commands to chose from when estimating my model.
I have a strongly balanced panel with large N (101) and small T (6 years).
In order to determine the "correct" estimation model, I run several tests:
1. Heteroscedasticity: xttest3 ---> Heteroscedasticity present
2. Autocorrelation: xtserial ---> Autocorr present
3. RE vs. FE: xtoverid..., robust ---> P-vaue = 0.000 (do I understand it
correctly, that this means using FE?)
4. Cross-sectional dependence: xtcsd, pesaran abs and xtcsd, frees ---> CSD
present

Based on this, I would use xtscc..., fe to use Driscoll Kraay standard
errors.

I have several additional questions:
1. If I were to include the lagged independent variable as a dependent
variable would I have to use xtabond2? What would be the alternatives?
2. When can I use xtgee? Is this just appropriate for RE-models?
3. Is it correct to use xtpcse only for long panels? Why would I use it
instead of, e.g. xtgls?
4. I have rarely seen paper (in strategy research) testing for time-fixed
effects (testparm for the Year dummies). How "required" is this?
5. Are there any other tests I should run?

I know that are a lot of - and probably beginner - questions - but your help
is greatly appreciated.
Thanks in advance!



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