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Re: st: Test for Heterocedasticity Data Panel


From   nicola.baldini2@unibo.it
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Test for Heterocedasticity Data Panel
Date   Wed, 02 May 2007 12:23:31 +0200

You can use -xttest3- after -xtreg, fe- or -xtgls-. Or you can use an older program, -gwhet-. Both available from ssc.

I quote from another message appeared on the list (not sure it refers to panel data): 
Another well-kept secret in the area of H testing is official -robvar-, which is very useful for testing for groupwise H (it can be thought of as a G-group generalization of the Goldfeld-Quandt two-sample test). See
Christopher F Baum, 2006.
"Stata tip 38: Testing for groupwise heteroskedasticity," Stata  
Journal, StataCorp LP, vol. 6(4), pages 590-592, December.

Nicola

At 02.33 01/05/2007 -0400, "Joao Ricardo F. Lima" wrote:
>Hi,
>
>i`m needing help, please. I`m working with data panel and need make a test
>for heterocedasticity.
>
>Thanks a lot
>
>Joao Ricardo Lima

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