You can use -xttest3- after -xtreg, fe- or -xtgls-. Or you can use an older program, -gwhet-. Both available from ssc.
I quote from another message appeared on the list (not sure it refers to panel data):
Another well-kept secret in the area of H testing is official -robvar-, which is very useful for testing for groupwise H (it can be thought of as a G-group generalization of the Goldfeld-Quandt two-sample test). See
Christopher F Baum, 2006.
"Stata tip 38: Testing for groupwise heteroskedasticity," Stata
Journal, StataCorp LP, vol. 6(4), pages 590-592, December.
Nicola
At 02.33 01/05/2007 -0400, "Joao Ricardo F. Lima" wrote:
>Hi,
>
>i`m needing help, please. I`m working with data panel and need make a test
>for heterocedasticity.
>
>Thanks a lot
>
>Joao Ricardo Lima
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