I am working with panel data. I am using the plm package to do this.
I would like to do be able to adjust for autocorrelation, as one does with
glm models and correlation structures (eg corr=corARMA(q=4)) . In
particular, I want to employ MA(4) error structure.
Is there a way of doing this with the plm package?
(Note: I do not really want to use the pggls function for various reasons.
One of those reasons is that it will be rare for n >> T.)
Thanks to anyone who can help.
Cheers
David
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