Residual testing for Pooled mean group estimator

Hi all,

I would like to investigate the relationship between gasoline and crude oil prices.

For these purposes I am applying the user-written command xtpmg (available from SSC) that implements the pooled mean group (PMG) estimator. My dataset is balanced and has a dimension of T =108(months) and N=68(regions). I am wondering how I can run diagnostic checks of residuals after xtpmg command (e.g, test for autocorrelation, heteroscedasticity).





Svetlana