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1# zppa66

我也正好用过相应的方法呢，和楼主的程序差不多。这个是有相应的程序包的，在进行xtreg .....,re后进行随机效应异方差检验，使用xttest1命令。PS：xttest1直接使用stata联网搜索然后下载安装就行了。

3# towmoons
xttest1是用来检验随机效应、序列相关以及随机效应和序列相关联合检验的，不是用来进行随机效应中的异方差检验的

xttest0, for use after xtreg, re, presents the Breusch and Pagan Lagrange multiplier test for random effects, a test that
    Var(v_i)=0.

xttest1 is used after xtreg, re, and presents several specification
tests for balanced error component models. It includes the Breusch and Pagan
(1980) Lagrange Multiplier test for random effects, the Baltagi-Li (1995) test
for first-order serial correlation, the Baltagi-Li (1991) joint test for
serial correlation and random effects, and the family of robust tests in Bera,
Sosa-Escudero, and Yoon (2001, BSY hereafter). xttest1 is an extension of
xttest0.