clustered robust standard errors and noise in residual plot
Posted: Thu Jan 29, 2015 5:44 pm
Hi All,
I have estimated a fixed effects regression and am using cluster-robust standard errors (cluster by cross-section) for within cluster heteroskedasticity and serial corrrelation. As I am writing a paper and need to demonstrate as much as of my methods as possible, I was wondering if the heteroskedastic and autocorrelation effects would be visible as noise in the residual plots? This is because there is no built in Breusch-Pagan or Breusch-Godfrey test for panel data.
Would really appreciate the help.
Rhea
I have estimated a fixed effects regression and am using cluster-robust standard errors (cluster by cross-section) for within cluster heteroskedasticity and serial corrrelation. As I am writing a paper and need to demonstrate as much as of my methods as possible, I was wondering if the heteroskedastic and autocorrelation effects would be visible as noise in the residual plots? This is because there is no built in Breusch-Pagan or Breusch-Godfrey test for panel data.
Would really appreciate the help.
Rhea