At 12:01 PM 5/12/2004 +0100, Cordula Stolberg wrote:
Dear all,
I have two questions with regard to a random effects model. How do I
test for heteroskedasticity and autocorrelation in such a model? I know
I can use xtgls if there is heteroskedasticity and / or
autocorrelation, but I don't know how to detect it.
There is a FAQ entitled "How do I test for panel-level heteroskedasticity
and autocorrelation?" at
http://www.stata.com/support/faqs/stat/panel.html
I am not 100% sure this is what you want, but the question it answers is
"I see how one can correct for potential heteroskedasticity across panels
using xtgls, but I am unsure of a simple way to test for it."
-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
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