topic Unbalanced Panel Data: Breusch-Pagan Test in Statistical Procedures

Unbalanced Panel Data: Breusch-Pagan Test

TWebb22 — Thu, 01 Nov 2018 14:00:53 GMT

Hello, I've been attempting to put a simple panel model together with an unbalanced data set and when I request the BP option for the Breusch-Pagan one-way test for random effects I receive the following warning:

WARNING: The Breusch-Pagan test is not supported for unbalanced panel data and will not be performed.

Is there any way around this warning? It seems that an unbalanced panel would be pretty common and the BP test is more or less a requirement for Panel Data models

Thanks for the help!

Re: Unbalanced Panel Data: Breusch-Pagan Test

pink_poodle — Tue, 06 Nov 2018 21:11:39 GMT

It is possible to perform a BP test on unbalanced data using STATA:

If you have unbalanced panel data you can perform the Breusch-Pagan LM test with the xttest1 command [1].

However, it seems to be impossible in PROC PANEL using SAS:

In the case of unbalanced panels, neither the BP nor BP2 statistics are valid [2].

References

[1] Breuch-Pagan test in STATA for unbalanced data

[2] PROC PANEL: Specifications Tests