Hello,

I've got a panel data set with 200 banks, with data from 2002-2016 with varying degrees of data availability. On average there is about 8.5 years of data available per bank. I've got a dependent variable: Default risk. And several explanatory variables: Board Characteristics for each bank. Plus various control variables.

Now I was wondering how I should go about testing for serialcorrelation and heteroskedasticity. I've already read this https://www.stata.com/support/faqs/s...tocorrelation/ but that is not entirely what I am looking for as it is unclear to me what is exactly happening. I would like to manually run tests for serial correlation and heteroskedasticity.

I've done a Breusch-Godfrey test for serial correlation before but not on a panel dataset, just on time series. I this also suitable for panel data? And how would I perform this test for panel data?

Similarly, I've done a Breusch-Pagan test for heteroskedasticity before, but never on panel data, is this suitable for panel data?

Some help would be greatly appreciated, as I am new to panel data analysis.

Kind regards,

Niels

I've got a panel data set with 200 banks, with data from 2002-2016 with varying degrees of data availability. On average there is about 8.5 years of data available per bank. I've got a dependent variable: Default risk. And several explanatory variables: Board Characteristics for each bank. Plus various control variables.

Now I was wondering how I should go about testing for serialcorrelation and heteroskedasticity. I've already read this https://www.stata.com/support/faqs/s...tocorrelation/ but that is not entirely what I am looking for as it is unclear to me what is exactly happening. I would like to manually run tests for serial correlation and heteroskedasticity.

I've done a Breusch-Godfrey test for serial correlation before but not on a panel dataset, just on time series. I this also suitable for panel data? And how would I perform this test for panel data?

Similarly, I've done a Breusch-Pagan test for heteroskedasticity before, but never on panel data, is this suitable for panel data?

Some help would be greatly appreciated, as I am new to panel data analysis.

Kind regards,

Niels

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