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Re: st: testing for homoscedasticity in panel data


From   Alejandro Delafuente <alejandro.delafuente@st-antonys.oxford.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: testing for homoscedasticity in panel data
Date   Tue, 20 Sep 2005 10:02:04 +0100 (BST)

Dear Clive, many thanks for your response!
Alejandro
In message <64896.84.93.66.166.1126753798.squirrel@sws2.ncl.ac.uk> 
statalist@hsphsun2.harvard.edu writes:
> 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
> 
> Whereever you go and whatever you do, just remember this. No matter how
> many like you, admire you, love you or adore you, the number of people
> turning up to your funeral will be largely determined by local weather
> conditions.
> 
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> 

-- 
Alejandro de la Fuente
QEH/Department of International Development
Oxford University
*
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