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st: hetereoskedasticity/serial correlation with RE xtprobit xttobit?


From   "Holmes, Jessica" <jholmes@middlebury.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: hetereoskedasticity/serial correlation with RE xtprobit xttobit?
Date   Fri, 6 Jul 2007 11:51:49 -0400

Hope someone can help! I am using a panel data set that looks at
charitable giving for 22,000 individuals over 15 years.

I use a random effects Probit to predict whether an individual donates
in a given year and a random effects Tobit to predict how much he/she
gives each year:

xtprobit donate male yrsgrad yrsgradsq mar alumnicloserelative
med_income artsent bankfin commedia comptech consulting education
environmental govtpp healthcaremed intlang law nonprofitsocialservices
profservicesbus salesmarketing  ownbusiness mileslt250 reunion soc
affinity acad devug arts campus sports otheract socsci natsci art
nongrad loans_z grants_z  finaid_miss djia_pctch campaignyr hock_pc rank
hock_pc_male hock_pc_yrsgrad hock_pc_sports rank_male rank_yrsgrad if
stillug==0, i(pidm)

xttobit lnreal1 male yrsgrad yrsgradsq mar alumnicloserelative
med_income artsent bankfin commedia comptech consulting education
environmental govtpp healthcaremed intlang law nonprofitsocialservices
profservicesbus salesmarketing  ownbusiness mileslt250 reunion soc
affinity acad devug arts campus sports otheract socsci natsci art
nongrad loans_z grants_z  finaid_miss djia_pctch campaignyr hock_pc rank
hock_pc_male hock_pc_yrsgrad hock_pc_sports rank_male rank_yrsgrad if
stillug==0, ll(1) i(pidm)


I have been asked by a referee to 

1) test for hetereoskedasticity and correct if necessary 

and 

2) test for serial correlaton and correct if necessary.

Stata does not seem to have any commands to detect and/or correct for
hetereoskedasticity and serial correlation for xtprobit or xttobit. Any
suggestions would be most appreciated...

Thanks,

Jessica


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