Re: st: Test for heteroscedasticity in panel data in STATA

[Gordon Hughes <G.A.Hughes@ed.ac.uk>]

You should take a step back and ask yourself how heteroskedasticity 
might manifest itself in your panel.  Since there are various sources 
of potential heteroskedasticity, you may need to adopt different 
model specifications to test different ones.

The classic form is panel-level heteroskedasticity but with 6 years 
for each of 104 companies you have not got enough observations to 
test this properly. There is an FAQ at:

<http://www.stata.com/support/faqs/statistics/panel-level-heteroskedasticity-and-autocorrelation/>http://www.stata.com/support/faqs/statistics/panel-level-heteroskedasticity-and-autocorrelation/ 


which is extended in a presentation by Gustavo Sanchez of StataCorp 
which you will find at:

<http://cecip.upaep.mx/investigacion/CIIE/assets/docs/doc00026.pdf>http://cecip.upaep.mx/investigacion/CIIE/assets/docs/doc00026.pdf 
.

In general, you would be best advised to plot or otherwise examine 
your residuals and think about whether you can transform or 
reformulate your models to eliminate any obvious heteroskedasticity.


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