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TWebb22
Fluorite | Level 6

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!

1 REPLY 1
pink_poodle
Barite | Level 11

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

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