Breusch-Pagan test and white ccm for a balanced panel
Posted: Tue Oct 17, 2017 9:37 am
I am running balanced panel using fixed effects and would like to produce robust s.e.
So, is it true that the Breusch-pagan test results can tell me which White coefficient covariance method to use (i.e cross-section, period or diagonal)? or can i just choose among them on definition basis. By that i mean to choose the white period method because my data are cross-sectionally clustered and hence i assume correlation among periods residuals?
Thanks!
So, is it true that the Breusch-pagan test results can tell me which White coefficient covariance method to use (i.e cross-section, period or diagonal)? or can i just choose among them on definition basis. By that i mean to choose the white period method because my data are cross-sectionally clustered and hence i assume correlation among periods residuals?
Thanks!