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st: testing for panel-level heteroskedasticity

From   Kit Baum <>
Subject   st: testing for panel-level heteroskedasticity
Date   Thu, 11 Aug 2005 11:37:01 -0400

L. Mosca says
I'm testing for panel-level heteroskedasticity ..

One form that you might consider is that tested by xttest3 (findit xttest3). This tests for groupwise H, that is, each panel run separately would have homo errors, but the sigma^2 are not the same across panels, so if you run a FE model over the panel you will have a problem of hetero. I believe this is what the xtgls panels(hetero) is taking account of. But if you just want to test for it rather than estimating such a model, xttest3 should do the trick.

Kit Baum, Boston College Economics

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