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Re: st: testing for homoscedasticity in panel data


From   "Clive Nicholas" <Clive.Nicholas@newcastle.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: testing for homoscedasticity in panel data
Date   Thu, 15 Sep 2005 04:09:58 +0100 (BST)

Alejandro Delafuente wrote:

> 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?

This Stata FAQ solution ought to help:

http://www.stata.com/support/faqs/stat/panel.html

However, this won't work for -xtreg, fe-, so do the following:

(1) switch to fitting a fixed effect model using -areg, cluster()-;
(2) then save the estimates;
(3) run the same -areg- model without the -cluster()- option;
(4) save the estimates again;
(5) then compare!

Hope this helps.

CLIVE NICHOLAS        |t: 0(044)7903 397793
Politics              |e: clive.nicholas@ncl.ac.uk
Newcastle University  |http://www.ncl.ac.uk/geps

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