Dear Stata-users,
I am estimating a two-way error component model using reg and ivreg
based on the xi: option.
xi: reg depvar i.idf i.da indepvar year2 year3 yearN
xi: ivreg depvar i.idf i.da indepvar year2 year3 yearN (naf=indepvar1
indepvar2 year2 year3 yearN).
I was just wondering whether there is a way to check for
heteroskedasticity and autocorrelation in the xi: models. I've
tried abar that works for both reg and ivreg option, but I am not
sure that this is the most appropriate autocorr test for the xi:
option. The xttest3 (for reg command) gives the default message that
the "last estimates not found" and the ivhettest (for ivreg) does not
work after the xi: as well . Are there any other ways of testing for
heteroskedasticity and autocorrelation in a two-way error component
model using xi:?
Any suggestions would be more than welcome.
Many Thanks
Svetlana
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