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st: heteroschedasticity and serial correlation tests in panel data


From   "thouraya triki" <thouraya.triki@hec.ca>
To   statalist@hsphsun2.harvard.edu
Subject   st: heteroschedasticity and serial correlation tests in panel data
Date   Thu, 20 Nov 2003 16:28:58 -0500

Hi,
I am trying to estimate a Tobit model with a panel dataset. I am using 
a random effect tobit specification to avoid the incidental parameter 
problem (my dependant variable is censored at 0). I know that I should 
test for hesteroschedasticity and serial correlation. Does anyone know 
what would be the appropriate tests and the corresponding commands in 
stata. It migh seem silly as a question but this is my first experience 
with real data and it is really hard for me!


 
Thouraya Triki 
Ph.D candidate, Risk Management Chair and Finance Department,
HEC Montréal, 3000 chemin cote sainte catherine, 
H3T 2A7, Montréal, Québec 
Tel (514) 340-5666
Fax (514) 340-5019
E-mail: thouraya.triki@hec.ca



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