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


From   Gordon Hughes <G.A.Hughes@ed.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Test for heteroscedasticity in panel data in STATA
Date   Wed, 26 Jun 2013 21:56:22 +0100

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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