Hi All!
My model is a random effect panel model with significant
autocorrelation. Iterated GLS with autocorrelation does not produce
the maximum likehood estimates. In this case how do we check for
heteroscedasticity in the model.
Can we still go ahead with IGLS-LR test as suggested in
http://www.stata.com/support/faqs/stat/panel.html
or, there is some other method, possibly better.
Thanx in advance.
--
Abhijit Sarkar
UGC Senior Research Fellow (Economics)
Department of Humanities and Social sciences
IIT Bombay
Mumbai, Maharashtra
India, 400076
Alternate E-Mail ID: [email protected]
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