st: random effects, heteroskedasticity & autocorrelation

[Cordula Stolberg <cs32@sussex.ac.uk>]

Dear all,

I have two questions with regard to a random effects model. How do I test 
for heteroskedasticity and autocorrelation in such a model? I know I can 
use xtgls if there is heteroskedasticity and / or autocorrelation, but I 
don't know how to detect it.

Moreover -and this might be a very silly question- if I have a random 
effects model and the Hausmann test tells me that the random effects is 
better than fixed effects, how come that the results improve when I include 
country dummies in the random effects regression (the countries would have 
been the fixed effects)?

Thanks for your help,
Cordula
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