Heteroskedasticity for Random Effects

[Jessica Sardinha]

How can I test Heteroskedasticity in a Random Effects panel?
I know xttest3 but it doesn't work in RE.

[Carlo Lazzaro]

Jessica:
assuming you have a N>T panel dataset, see https://economics.stackexchange.com/...vs-time-series

[Jessica Sardinha]

Thanks Carlos!

I have T>N. So Can I use the code below too?

xtreg y x1 x2, re predict uhat, ue predict xb, xb gen uhatsq = uhat^2 reg uhatsq c.xb##c.xb, vce(cl id) testparm c.xb##c.xb

If yes, when the F statistic is significant I have Heteroskedasticity? If no, how can I test Heteroskedasticity for random effects?

[Carlo Lazzaro]

Jessica:
see #15 at https://www.statalist.org/forums/for...how-to-procede
that replied to your very same question.