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Re: st: Fixed Effects

From   donsaane dontsi <>
To   "" <>
Subject   Re: st: Fixed Effects
Date   Mon, 26 Nov 2012 19:18:06 +0000 (GMT)

this small article explains you everything you want to know about test.

this is the test for heteroskedacticity:

 Breusch-Pagan test :

xtreg y x1 x2 ..., fe/re  (régression) 
predict résidus  (récupère les résidus)
gen résidus2 = résidus^2  (génère les résidus carrés) 
reg résidus2 x1 x2 ...  (régression des résidus sur les variables explicatives) 


De : Amirhossein Moharreri <>
À : 
Envoyé le : Dimanche 25 novembre 2012 23h28
Objet : st: Fixed Effects

Dear All;

I've got a problem in estimation of a fixed effects model. I am
estimating a fixed effects panel data model. I would appreciate it if
someone could help me in:
1-how should I test the results for Heteroskedasticity and Serial Correlation.
2- Additionally, I have seen fixed effects GLS (FEGLS) specification
in the book: "Econometric Analysis of Cross Section and Panel Data,
2001, by Jeffrey M. Wooldridge, page 276". Therefore I was wondering
if I could be informed about a command in Stata which could estimate
my model based on this specification.

Thank you all for your help

Best Regards
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