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From | "Daniel Schalling" <daniel.schalling@uni-weimar.de> |
To | <statalist@hsphsun2.harvard.edu> |
Subject | st: xtivreg,re - test for heteroskedasticity, serial correlation and multicollinearity |
Date | Wed, 30 Nov 2011 21:11:45 +0100 |
Dear Statalist, I did a xtivreg,re with 75 groups, 60 time intervals (days), 90 exogenous variables and 1 endogenous variable with 1 instrument. After estimating the model I want to check the assumptions. In fact I want to do a test for a) heteroskedasticity b) serial correlation c) multicollinearity I was looking for some solutions doing this and found a lot of tips, but it seems like nothing really works for me. a) heteroskedasticity: - robvar - to test for groupwise heteroskedasticity (Stata tip 38) --> but this only work with regress, not with instruments - xtgls - but this only seems to work with xtreg, without instruments --> http://www.stata.com/support/faqs/stat/panel.html b) serial correlation - abar - but this works just for an instrumental regression (ivreg2) --> there are no panel information included - xttest1 - just works after xtreg --> no instruments are included - xtserial - just works after xtreg --> no instruments are included c) multicollinearity - vif - but this just works after regress --> it doesn't care about endogenous variables and instruments I really would appreciate any advice or tip for this matters. Thank you very much, Daniel. * * 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/