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st: Test for heteroscedasticity in panel data in STATA
From
Madalina Constantin <[email protected]>
To
[email protected]
Subject
st: Test for heteroscedasticity in panel data in STATA
Date
Wed, 26 Jun 2013 07:16:01 -0700 (PDT)
Dear all,
I have a panel dataset with 104 companies during the period 2006-2011.
For my analysis I have to run 2 regression models in STATA, since I have 2 dependent variables.
For the first one I use a Random-effects GLS regression for panel data :
xtreg, dep ind , re
For the second model with count variable I use Random-effects negative binomial regression for panel data(since I have a problem of overdispersion Poisson regression is not ok):
xtnbreg dep ind, re
I can`t find a STATA command to test for heteroscedasticity , since the normal command of the Breush-Pagan test does not work here.
I tried:
estat hettest
The output I get is "invalid subcommand hettest"
Can someone please help me with this?
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