Dear Tom,
Does RATS offer a program to test for period heteroskedasticty?
Thanks.
period heteroskedasticity
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TomDoan
- Posts: 7825
- Joined: Wed Nov 01, 2006 4:36 pm
Re: period heteroskedasticity
Do you have a reference?
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jack
- Posts: 160
- Joined: Tue Sep 27, 2016 11:44 am
Re: period heteroskedasticity
No I don't have any reference. But it is a question for me that how one can find any evidence regarding the presence of heteroskedasticity in panel data model.
I would be grateful if you could possibly guide me.
I would be grateful if you could possibly guide me.
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TomDoan
- Posts: 7825
- Joined: Wed Nov 01, 2006 4:36 pm
Re: period heteroskedasticity
Baltagi's Econometric Analysis of Panel Data has a page with some tests for heteroscedasticity. It's a bit thin since there are no examples, but you can see what's out there.