My dataset consists of T=29 years and N=185 banks. I plan to conduct both static panel data analysis and dynamic analysis using System GMM. For the static models, I identified the Random Effects (RE) model as appropriate for the linear relationship, whereas the Fixed-Effects (FE) model was found suitable for the non-linear specification.
I performed the Wald test for heteroskedasticity (xttest) and the Wooldridge test for autocorrelation (xtserial) for the Fixed Effects model. However, I am unable to apply these same diagnostic tests to the Random Effects model. Could you please advise on how to assess heteroskedasticity and autocorrelation in the Random Effects model? Your guidance on this matter would be greatly appreciated.
I performed the Wald test for heteroskedasticity (xttest) and the Wooldridge test for autocorrelation (xtserial) for the Fixed Effects model. However, I am unable to apply these same diagnostic tests to the Random Effects model. Could you please advise on how to assess heteroskedasticity and autocorrelation in the Random Effects model? Your guidance on this matter would be greatly appreciated.
Comment