Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: random effects, heteroskedasticity & autocorrelation


From   Richard Williams <Richard.A.Williams.5@nd.edu>
To   statalist@hsphsun2.harvard.edu, statalist@hsphsun2.harvard.edu
Subject   Re: st: random effects, heteroskedasticity & autocorrelation
Date   Wed, 12 May 2004 08:03:04 -0500

At 12:01 PM 5/12/2004 +0100, Cordula Stolberg wrote:
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.
There is a FAQ entitled "How do I test for panel-level heteroskedasticity and autocorrelation?" at

http://www.stata.com/support/faqs/stat/panel.html

I am not 100% sure this is what you want, but the question it answers is "I see how one can correct for potential heteroskedasticity across panels using xtgls, but I am unsure of a simple way to test for it."


-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
FAX: (574)288-4373
HOME: (574)289-5227
EMAIL: Richard.A.Williams.5@ND.Edu
WWW (personal): http://www.nd.edu/~rwilliam
WWW (department): http://www.nd.edu/~soc

*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/




© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index