st: RE: RE: Residual diagnostics for panel data regression

[Silvia Palombi <silvia.palombi@strath.ac.uk>]

Hi Mark

Thanks a lot.
I am using xtcd, but I'm doing xtmg estimation and unfortunately xttest1 etc. can only be used after xtreg and xtgls.

As an alternative, I constructed a loop to ran -wntestq- (Portmanteau's serial correlation test) on region-specific residuals, stored the p-values and then used these to obtain a Fisher statistics.
This is as far as I could get because I cannot do the same with -hettest-, since this command can only be used after -reg- and not to test residuals directly as with -wntestq- (i.e., hettest resid is not allowed). 

If you have any other suggestions it would be helpful to hear them.

Many thanks,
Silvia


 
________________________________________
From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] On Behalf Of Schaffer, Mark E [M.E.Schaffer@hw.ac.uk]
Sent: 24 September 2012 21:34
To: statalist@hsphsun2.harvard.edu
Subject: st: RE: Residual diagnostics for panel data regression

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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