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st: random effects, heteroskedasticity & autocorrelation


From   Cordula Stolberg <cs32@sussex.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: random effects, heteroskedasticity & autocorrelation
Date   Wed, 12 May 2004 12:01:04 +0100

Dear all,

I have two questions with regard to a random effects model. How do I test for heteroskedasticity and autocorrelation in such a model? I know I can use xtgls if there is heteroskedasticity and / or autocorrelation, but I don't know how to detect it.

Moreover -and this might be a very silly question- if I have a random effects model and the Hausmann test tells me that the random effects is better than fixed effects, how come that the results improve when I include country dummies in the random effects regression (the countries would have been the fixed effects)?

Thanks for your help,
Cordula
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