I run OLS for my panel data ( with N=816, T=8) and check heteroskedasticity as below :
Code:
. reg To vl0 ll0
Source | SS df MS Number of obs = 816
-------------+---------------------------------- F(2, 813) = 291.16
Model | 1408.90316 2 704.45158 Prob > F = 0.0000
Residual | 1967.01621 813 2.41945413 R-squared = 0.4173
-------------+---------------------------------- Adj R-squared = 0.4159
Total | 3375.91937 815 4.14223236 Root MSE = 1.5555
------------------------------------------------------------------------------
To | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
vl0 | 3.862433 1.41577 2.73 0.007 1.083438 6.641429
ll0 | 6.818981 .2842538 23.99 0.000 6.261023 7.376939
_cons | -6.080591 1.634762 -3.72 0.000 -9.289442 -2.871739
------------------------------------------------------------------------------Code:
.
estat hettest
Breusch-Pagan / Cook-Weisberg test for heteroskedasticity
Ho: Constant variance
Variables: fitted values of To
chi2(1) = 21.03
Prob > chi2 = 0.0000Code:
. predict e, residual
. gen e2=e^2
. qui reg e2 vl0 ll0
. predict v
(option xb assumed; fitted values)
. regress To vl0 ll0 [aweight=1/v]
(sum of wgt is 3.6132e+02)
Source | SS df MS Number of obs = 816
-------------+---------------------------------- F(2, 813) = 290.21
Model | 1312.56218 2 656.28109 Prob > F = 0.0000
Residual | 1838.49921 813 2.26137664 R-squared = 0.4165
-------------+---------------------------------- Adj R-squared = 0.4151
Total | 3151.06139 815 3.866333 Root MSE = 1.5038
------------------------------------------------------------------------------
To | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
vl0 | 3.147649 1.357049 2.32 0.021 .4839154 5.811383
ll0 | 6.319949 .264015 23.94 0.000 5.801718 6.838181
_cons | -4.720035 1.558333 -3.03 0.003 -7.778866 -1.661205
------------------------------------------------------------------------------Thank in advance
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