Alejandro Delafuente wrote:
> There is a modified Wald statistic for testing groupwise
> heteroskedasticity in
> a fixed effect model under the command of xttest3. However, the help file
> warns
> that "simulations of the test statistic have shown that its power is very
> low
> in the context of fixed effects with "large N, small T" panels. In that
> circumstance, the test should be used with caution." I believe my panel
> fits
> such description with around 14,000 observations and only 3 rounds. What
> other
> options do I have for testing heteroscedasticity?
This Stata FAQ solution ought to help:
http://www.stata.com/support/faqs/stat/panel.html
However, this won't work for -xtreg, fe-, so do the following:
(1) switch to fitting a fixed effect model using -areg, cluster()-;
(2) then save the estimates;
(3) run the same -areg- model without the -cluster()- option;
(4) save the estimates again;
(5) then compare!
Hope this helps.
CLIVE NICHOLAS |t: 0(044)7903 397793
Politics |e: [email protected]
Newcastle University |http://www.ncl.ac.uk/geps
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