Residual Diagnostics for Cross-section Time Series Regression Models

Abstract

These routines support the diagnosis of groupwise heteroskedasticity and cross-sectional correlation in the context of a regression model fit to pooled cross-section time series (xt) data.

Keywords

st0004 fixed effects groupwise heteroskedasticity contemporaneous correlation

References

Breusch

, and Pagan

1980. The LM test and its application to model specification in econometrics. Review of Economic Studies 47: 239–254.

Greene

2000. Econometric Analysis. Upper Saddle River, NJ: Prentice–Hall.