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Re: st: random effects, heteroskedasticity & autocorrelation

From   Cordula Stolberg <>
Subject   Re: st: random effects, heteroskedasticity & autocorrelation
Date   Wed, 12 May 2004 14:30:55 +0100


Thanks for your help!


--On 12 May 2004 08:03 -0500 Richard Williams <> wrote:

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
OFFICE: (574)631-6668, (574)631-6463
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HOME:   (574)289-5227
EMAIL:  Richard.A.Williams.5@ND.Edu
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