Statalisters,
There is a modified Wald statistic for testing groupwise heteroskedasticity in
a fixed effect model under the command of xttest3. However, the help file warns
that "simulations of the test statistic have shown that its power is very low
in the context of fixed effects with "large N, small T" panels. In that
circumstance, the test should be used with caution." I believe my panel fits
such description with around 14,000 observations and only 3 rounds. What other
options do I have for testing heteroscedasticity?
Thanks.
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