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st: Re: heteroskedasticity test in panel data

From   David De Boeck <>
Subject   st: Re: heteroskedasticity test in panel data
Date   Thu, 29 Jul 2010 04:20:45 -0700 (PDT)

Dear Michael (and all),

I am estimating a random effects model (xtreg re) after having performed a
hausman test (which indicated that I can use both the fixed effects as the
random effects models) I am now testing my model for the assumptions of
autocorrelations and heteroscedasticity. I have already excluded problems
with autocorrelation.  Additionally I have run a lrtest, following the
guidelines in the FAQ and your anwers to the questions of Jing. The outcome
of this test is reported below. My question is, how should I interpret this
result. I assume that it means that my model suffers from
heteroscedasticity? How then should I proceed further? Furthermore I wonder
(as I am a new to econometrics) whether there are any additional assumptions
that I need to test using the xtreg re model(aside from the normal
assumptions for multivariate analysis)? 

Thank you in advance.
Kind regards,

. lrtest hetero . , df(18)

Likelihood-ratio test                                  LR chi2(18) =    
(Assumption: . nested in hetero)                       Prob > chi2 =   

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