Re: st: random effects, heteroskedasticity & autocorrelation

[Richard Williams <Richard.A.Williams.5@nd.edu>]

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."


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Richard Williams, Notre Dame Dept of Sociology
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