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st: Test for heteroscedasticity in panel data in STATA


From   Madalina Constantin <con_madalina@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Test for heteroscedasticity in panel data in STATA
Date   Wed, 26 Jun 2013 07:16:01 -0700 (PDT)

Dear all, 

I have a panel dataset with 104 companies during the period 2006-2011. 
For my analysis I have to run 2 regression models in STATA, since I have 2 dependent variables. 

For the first one I use a Random-effects GLS regression for panel data :

    xtreg, dep ind , re

For the second model with count variable I use Random-effects negative binomial regression  for panel data(since I have a problem of overdispersion Poisson regression is not ok):

    xtnbreg dep ind, re

I can`t find a STATA command to test for heteroscedasticity , since the normal command of the Breush-Pagan test does not work here. 
I tried: 
     estat hettest
The output I get is "invalid subcommand hettest"

Can someone please help me with this?


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