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Hello again Max. A correction to my response from yesterday. Things were better than they seemed. I thought it over, checked Arellano's panel book and Driscoll and Kraay (Rev. Econ. Stud. 1998) and finally realized that vcovSCC does what you want: in fact, despite being born primarily for dealing with cross-sectional correlation, 'SCC' standard errors are robust to "both contemporaneous and lagged cross-sectional correlation", of which serial corr...

Good day R-listers, I'm working with a panel dataset, i've used many models , homogeneous (fixed effect, pooled ols and Driscoll and Kraay) heterogeneous (swamy random coefficients) and would like to do a post-estimation to select the model that best fit my regression. is there any method, command that may allow me to do this in R? Any hint will be highly appreciated Ama.

...4DDB094D8A875617EC4398B206A1CE46 at BEMAILEXTV03.corp.generali.net> Content-Type: text/plain; charset="iso-8859-1" Hello again Max. A correction to my response from yesterday. Things were better than they seemed. I thought it over, checked Arellano's panel book and Driscoll and Kraay (Rev. Econ. Stud. 1998) and finally realized that vcovSCC does what you want: in fact, despite being born primarily for dealing with cross-sectional correlation, 'SCC' standard errors are robust to "both contemporaneous and lagged cross-sectional correlation", of which serial corr...