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| From | "Katharina (gmx)" <K.Raatz@gmx.de> |
| To | <statalist@hsphsun2.harvard.edu> |
| Subject | st: panel data - test heteroscedasticity within groups |
| Date | Wed, 14 Sep 2011 19:09:23 +0200 |
Dear all, I am working on panel data which is uniquely characterized by an ID = (panelvar) and a date (timevar in the form of e.g. 1995-07). E.g. for ID = 1 there is data from 1995-07 until 1999-12, for ID 2 there is data from = 1992-01 until 2000-12 and so on. Now, I would like to test for = heteroscedasticity within these groups having the same ID. The general = "estat hettest" tests heteroscedasticity for the overall file containing = several groups, doesn't it? So how can I test for heteroscedasticity = within groups? (Question 1) Does STATA yield unreliable results if I use "by fundid: regress y x1 = x2, vce(robust)" for all groups irrespective of the fact whether their = variances are heterogenous or not? (Question 2) If it does yield = unreliable results, I would have to distinguish between regressions = including the robust feature and excluding it, right? (Question 3) Or is = there a more convenient way to test for heteroscedasticity within = groups? Thanks a lot! I'd really appreciate any help. Best, Kristin * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/