Hello everybody. I would be extremely grateful if you help me to find the stata command used to check for heteroscedasticity after Xtabond2 (GMM SYS PANEL), as a pretest command. I want to know If I am forced or not to add the command “robust”.
I would run either ghxt* or lmhlrxt** commands to check for heteroskedasticity. If there is heteroskedasticity, you can add "robust" to calculate robust standard errors.
* ghxt command estimates couple of heteroscedasticity tests including Lagrange Multiplier LM Test, Likelihood Ratio LR Test, and Wald Test.
The null hypothesis (H0) is homoscedasticity and H1: Heteroscedasticity.
Example: ghxt variable1 variable2, id(number of cross-sections)
** lmhlrxt command estimates Greene Likelihood Ratio (LR) panel heteroscedasticity test.
Null hypothesis (H0) is homoscedasticity and H1: Heteroscedasticity.
Example: lmhlrxt variable1 variable2, id(number of cross-sections in your panel dataset)
- Badges
- Science topic
- Similar topics
- Force