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st: RE: RE: Residual diagnostics for panel data regression

From   Silvia Palombi <>
To   "" <>
Subject   st: RE: RE: Residual diagnostics for panel data regression
Date   Tue, 25 Sep 2012 08:48:28 +0100

Hi Mark

Thanks a lot.
I am using xtcd, but I'm doing xtmg estimation and unfortunately xttest1 etc. can only be used after xtreg and xtgls.

As an alternative, I constructed a loop to ran -wntestq- (Portmanteau's serial correlation test) on region-specific residuals, stored the p-values and then used these to obtain a Fisher statistics.
This is as far as I could get because I cannot do the same with -hettest-, since this command can only be used after -reg- and not to test residuals directly as with -wntestq- (i.e., hettest resid is not allowed). 

If you have any other suggestions it would be helpful to hear them.

Many thanks,

From: [] On Behalf Of Schaffer, Mark E []
Sent: 24 September 2012 21:34
Subject: st: RE: Residual diagnostics for panel data regression


> -----Original Message-----
> From: [mailto:owner-
>] On Behalf Of Silvia Palombi
> Sent: 23 September 2012 22:34
> To:
> Subject: st: Residual diagnostics for panel data regression
> 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?

A bit of searching with findit yielded some possibilities:


-findit [P]- (where [P] is the name of the program above) will tell you
about the program and how to install it.


> Thank you.
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