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st: Residual diagnostics for panel data regression


From   Silvia Palombi <silvia.palombi@strath.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Residual diagnostics for panel data regression
Date   Sun, 23 Sep 2012 22:34:15 +0100

Dear Statalisters

I would like to run diagnostic tests on residuals from a panel data model - in particular normality, serial correlation and heteroskedasticity.

For normality, -iqr- and -swilk- seemed to work, but the -wntestq- Portmanteau test for serial correlation and the -hettest- White heteroskedasticity test did not (because the sample includes multiple panels).

Could anyone tell me whether there are any post-estimation commands which would allow me to run similar tests on residuals from panel data models?

Thank you.
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