Andrea,
this does not look methodologically consistent to me. If you know that OLS
is wrong, and there is a panel effect (which you test with -xttest0-),
then you probably don't need all other tests for OLS, as you are ready to
give up with it. Once you admit the panel structure, the auxiliary
regressions such as in -hettest- or -ovtest- won't get the correct
statistics as they assume i.i.d. errors, which you already know is wrong.
If you don't reject the OLS, then all other estimators are inefficient, so
why bother with them?
Also, most of the normality tests are superfluous, anyway, as long as the
residuals even in the OLS case are bound to be heteroskedastic for
homoskedastic errors: the variance of e_i is sigma^2 (1-h_i), where h_i is
the hat-value, the diagonal entry of X'(X'X)^{-1}X'... so their
distributions are not the same for different i, the observation number.
I've never tried to figure that out for the panel case, but I don't think
it is going to get any simpler.
Having said that, may I suggest that you look at -xtdata- that I mentioned
on the list a few days ago to somebody in a different thread. It does
various panel data transformations (fixed effects, random effects, between
transformation), but Stata Corp. warns that is sole value is in trying out
different model specifications which tend to be somewhat computationally
faster with -regress- rather than with -xtreg-.
In statalist, Andrea Molinari wrote:
> I'm trying to get some of the typical OLS tests (heteroscedasticity,
> normality and missing observations) after a pooled OLS, a between and a
> within a between estimations. I also need to look at the estimations
> with robust std. errors. For pooled OLS, I ran (respectively) the
> commands hettest, jb (on the estimated residuals), and ovtest. My
> problem started when running panel data commands. After searching on the
> web and manuals, the only command that I could find to do (part of) this
> is running xttest3 after estimating a fixed effects model, which gives a
> heteroscedasticity test after a fixed effects estimation. I could also
> correct for this with areg depvar varlist, abs(group) robust. pantest2
> gave me a normality test for the residuals.
>
> I couldn't, however, run any of the three tests, nor getting the robust
> std. errors, for the between estimates. And I couldn't get a test for
> omitted variables for the fixed effects model.
>
> If anyone has any suggestions on how to get (some of) these tests,
> they'll be more than appreciated!
--- Stas Kolenikov
-- Ph.D. student in Statistics at UNC-Chapel Hill
- http://www.komkon.org/~tacik/ -- [email protected]
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