Test multiple linear regression assumptions with panel data and xtreg

[Jana He]

Hello,

I have panel data and assume firm- and year-fixed effects. Now, I want to test the regression assumptions, i.e. autocorrelation, heteroscedasticity and multicollinearity. I used the xtreg command as I have panel data, using reg and including dummies to include fixed effects does not work in my case.
With the usual reg command I could test for example multicollinearity with etstat vif and I could test heteroscedasticity with estat hettest [varlist], iid or estat imtest, white. But these commands do not work with xtreg. Are there similar tests for xtreg?


Thanks in advance!

[Carlo Lazzaro]

Jana:
1) autocorrelation: see the community-contributed module -xtserial-;
2) heteroskedasticity: see the community-contributed module -xttest3-;
3) multicollinearity (frequently oversold about its relevance; see Chapter 23 in

https://www.hup.harvard.edu/catalog.php?isbn=9780674175440

): -estat vce-.