Looking at
http://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/se/se_programming.htm
can provide you some suggestions about how to correct the standard errors in panel data analysis (briefly, in your case it seems that you can solve all of your potential problems by clustering on the id variable).
Also:
- it's ok to use -xttest3- for the heteroskedasticity
- I'm not aware of the limitations using -xtserial- with FE. Try -pantest2- from ssc; it produces (1) Test for serial correlation of residuals [See B.H. Baltagi "Econometric analysis of panel data" (Wiley, 1995), pp. 93-100], (2) F test for significance of fixed effects [ibidem, p.12], (3) Test for normality of residuals
Nicola
At 02.33 20/04/2007 -0400, "Keynes M. Smith" wrote:
>Hi,
>
>I try to search for command in Stata to test for heteroskedastic and
>autocorrelation
>
>but I can't found the command that can test on fixed effect model and
>suitable with my data.
>
>(I try to use -xtserial- to test for serial correlation but I don't
>think it test on fixed effect model)
>
>The model that I work on consist of 16 years, 10 countries and 12 variables.
>
>So, I think I can't use xttest3 to test the model.
>
>Besides, if the result is the model have heteroskedastic and/or
>autocorrelation, how can I correct it?
*
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