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st: testing for homoscedasticity in panel data


From   Alejandro Delafuente <alejandro.delafuente@st-antonys.oxford.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: testing for homoscedasticity in panel data
Date   Wed, 14 Sep 2005 16:50:32 +0100 (BST)

Statalisters,
There is a modified Wald statistic for testing groupwise heteroskedasticity in 
a fixed effect model under the command of xttest3. However, the help file warns 
that "simulations of the test statistic have shown that its power is very low 
in the context of fixed effects with "large N, small T" panels. In that 
circumstance, the test should be used with caution." I believe my panel fits 
such description with around 14,000 observations and only 3 rounds. What other 
options do I have for testing heteroscedasticity?
Thanks.


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