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period heteroskedasticity
Posted: Tue Dec 13, 2016 1:24 pm
by jack
Dear Tom,
Does RATS offer a program to test for period heteroskedasticty?
Thanks.
Re: period heteroskedasticity
Posted: Tue Dec 13, 2016 1:44 pm
by TomDoan
Do you have a reference?
Re: period heteroskedasticity
Posted: Tue Dec 13, 2016 1:48 pm
by jack
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.
Re: period heteroskedasticity
Posted: Tue Dec 13, 2016 3:52 pm
by TomDoan
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.