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st: panel date - test for heteroscedasticity within groups


From   "Katharina (gmx)" <K.Raatz@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: panel date - test for heteroscedasticity within groups
Date   Wed, 14 Sep 2011 16:14:12 +0200

Dear all,

I am working on panel data which is uniquely characterized by an ID =
(panelvar) and a date (timevar in the form of e.g. 1995-07). E.g. for ID =
1 there is data from 1995-07 until 1999-12, for ID 2 there is data from =
1992-01 until 2000-12 and so on. Now, I would like to test for =
heteroscedasticity within these groups having the same ID. The general =
"estat hettest" tests heteroscedasticity for the overall file containing =
several groups, doesn't it? So how can I test for heteroscedasticity =
within groups? (Question 1)

Does STATA yield unreliable results if I use "by fundid: regress y x1 =
x2, vce(robust)" for all groups irrespective of the fact whether their =
variances are heterogenous or not? (Question 2) If it does yield =
unreliable results, I would have to distinguish between regressions =
including the robust feature and excluding it, right? (Question 3) Or is =
there a more convenient way to test for heteroscedasticity within =
groups?

Thanks a lot! I'd really appreciate any help.

Best, Kristin
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