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st: Re: Panal data and heteroskedasticity


From   "Scott Merryman" <smerryman@kc.rr.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: Panal data and heteroskedasticity
Date   Mon, 23 Jun 2003 18:55:54 -0500

----- Original Message ----- 
From: "D Jimenez Rubio" <djr109@york.ac.uk>
To: <statalist@hsphsun2.harvard.edu>
Sent: Monday, June 23, 2003 12:20 PM
Subject: st: Panal data and heteroskedasticity


> Hello,
> Im running a panel data with annual dummies. I would like to check for
> heteroskedasticity in the errors of my model. Given that in STATA 7 I
> havent found any specific test for hetero in fixed-random effects
> models, I have tried to run LSDV with year dummies and my provincial
> (unit) dummies and then test for het using the command whitetst. But
> when I do so, I obtain the following:
>
> matsize too small; type -help matsize-
>
> So then I type -help matsize-, and I obtain:
>
> varlist not allowed
>
> Is there anyone who can tell me why this happens? Thanks a lot!
>
> Dolores
>

"findit heteroskedasticity fixed effect" brings up -xttest3-  a modified
Wald statistic for groupwise heteroskedasticity in a fixed effect model,
which you may find useful.

Scott




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