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st: panel-level heteroskedasticity


From   Nola Agha <nolaa@sportmgt.umass.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: panel-level heteroskedasticity
Date   Thu, 12 Feb 2009 13:37:21 -0500

Hi -
   I see here:

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

some advice for testing for panel-level heteroskedasticity.  Can anyone confirm
that the null hypothesis for the LR test is "no heteroskedasticity"?


I actually have a dynamic panel data model.  I used the above LR test without
the lagged dv.  Does anyone know of a test for heteroskedasticity for dynamic
panel models?

Thanks,
Nola




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