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Re: st: random effects, heteroskedasticity & autocorrelation

From   Richard Williams <>
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

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
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