st: RE: Residual diagnostics for panel data regression

["Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>]

Silvia,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Silvia Palombi
> Sent: 23 September 2012 22:34
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Residual diagnostics for panel data regression
> 
> Dear Statalisters
> 
> I would like to run diagnostic tests on residuals from a panel data
model - in
> particular normality, serial correlation and heteroskedasticity.
> 
> For normality, -iqr- and -swilk- seemed to work, but the -wntestq-
> Portmanteau test for serial correlation and the -hettest- White
> heteroskedasticity test did not (because the sample includes multiple
> panels).
> 
> Could anyone tell me whether there are any post-estimation commands
> which would allow me to run similar tests on residuals from panel data
> models?

A bit of searching with findit yielded some possibilities:

xttest1
xttest2
xttest3
xtcsd
xtcd
xtserial

-findit [P]- (where [P] is the name of the program above) will tell you
about the program and how to install it.

HTH,
Mark

> 
> Thank you.
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