Heteroskedasticity and Autocorrelation test for Panel Data

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sarchi
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Heteroskedasticity and Autocorrelation test for Panel Data

Postby sarchi » Fri Mar 23, 2018 8:35 am

hi,
I am trying to test for Heteroskedasticity and/or autocorrelation in my panel regression in Eviews 9. There do not appear to be the necessary tests available. The serial correlation LM test and Heteroskedasticity test is only available for a Undated Data. Is there another way to test them for Panel Data?

Tanz

EViews Gareth
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Re: Heteroskedasticity and Autocorrelation test for Panel Data

Postby EViews Gareth » Fri Mar 23, 2018 8:48 am

Heteroskedasticity tests are build in under View->Residual Diagnostics->Heteroskedasticity test.

The Arrelano-Bond autocorrelation test is available if you have estimated via DPD.
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sarchi
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Re: Heteroskedasticity and Autocorrelation test for Panel Data

Postby sarchi » Fri Mar 23, 2018 9:08 am

Unfortunatly There is no Heteroscedasticity test in View->Residual Diagnostics->Heteroskedasticity test in my Panel Data. it is only available in undated Data .

and Arrelano Bond serial Korrelation test is only available for GMM equations estimated by first differentes.

Is there any other way?

Thanks
Last edited by sarchi on Fri Mar 23, 2018 9:15 am, edited 3 times in total.

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Re: Heteroskedasticity and Autocorrelation test for Panel Data

Postby EViews Gareth » Fri Mar 23, 2018 9:32 am

Image
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sarchi
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Re: Heteroskedasticity and Autocorrelation test for Panel Data

Postby sarchi » Sat Mar 24, 2018 3:37 am

Thank you for your answer. but in my Data is not Hetroskedasticity test Avalble. I have Student Version. Maybe is there problem?
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EViews Gareth
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Re: Heteroskedasticity and Autocorrelation test for Panel Data

Postby EViews Gareth » Sat Mar 24, 2018 6:52 am

sarchi wrote:Thank you for your answer. but in my Data is not Hetroskedasticity test Avalble. I have Student Version. Maybe is there problem?

Do you have EViews 10 Student Version?
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sarchi
Posts: 19
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Re: Heteroskedasticity and Autocorrelation test for Panel Data

Postby sarchi » Sat Mar 24, 2018 7:02 am

I have student version 9.

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Re: Heteroskedasticity and Autocorrelation test for Panel Data

Postby EViews Gareth » Sat Mar 24, 2018 7:54 am

You’ll need 10
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sarchi
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Re: Heteroskedasticity and Autocorrelation test for Panel Data

Postby sarchi » Tue Mar 27, 2018 2:48 pm

Thank you for your answer.
I have Eeviews student 10 installed. Now I have another problem. how can I remove the hetroskedasticity in EViews 10?

Thanx

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Re: Heteroskedasticity and Autocorrelation test for Panel Data

Postby EViews Gareth » Tue Mar 27, 2018 2:54 pm

There are a number of covariance matrix options available to rectify problems such as heteroskedasticity. Which one you use is entirely up to you and your data.
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