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Re: st: Heteroskedasticity, firm fixed effects


From   Austin Nichols <[email protected]>
To   [email protected]
Subject   Re: st: Heteroskedasticity, firm fixed effects
Date   Wed, 30 Mar 2011 14:47:55 -0400

Ari Dothan <[email protected]> :
No longer done, probably, since
Stock and Watson (2008)
"Heteroskedasticity-robust standard errors for fixed-effects
panel-data regression," Econometrica 76: 155-174.

You could test for clustering--but if you have enough clusters, just
use the cluster-robust SEs--it's safer.

On Tue, Mar 29, 2011 at 12:04 PM, Ari Dothan <[email protected]> wrote:
> Hi all,
> How does one test for heteroskedasticity, in panels of firms with fixed effects?
> Thank you very much
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