| Issue | Test | Stata Command | |----------------------|------------------------------------|--------------------------------------------------| | Groupwise heteroskedasticity | Modified Wald test | xttest3 (after xtreg, fe ) | | Serial correlation | Wooldridge test | xtserial (after xtreg ) | | Cross‑sectional dependence | Pesaran CD test | xtcd (from ssc install xtcd ) |
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This clean, production-ready script synthesizes the entire workflow discussed above into a repeatable template for your empirical research. | Issue | Test | Stata Command |
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xtset country year
Running xtsum is an exclusive necessity. It breaks down your standard deviation into: Variation across different entities.