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st: RE: Panal data and heteroskedasticity


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Panal data and heteroskedasticity
Date   Mon, 23 Jun 2003 18:30:24 +0100

D Jimenez Rubio

> Im running a panel data with annual dummies. I would like
> to check for
> heteroskedasticity in the errors of my model. Given that in
> STATA 7 I
> havent found any specific test for hetero in fixed-random effects
> models, I have tried to run LSDV with year dummies and my provincial
> (unit) dummies and then test for het using the command whitetst. But
> when I do so, I obtain the following:
>
> matsize too small; type -help matsize-
>
> So then I type -help matsize-, and I obtain:
>
> varlist not allowed
>
> Is there anyone who can tell me why this happens? Thanks a lot!

I can't advise on the econometrics here, but,
working backwards, when I type

help matsize

I get help on -matsize-, so I can't reproduce that problem
in Stata 7 (executable of 11 June 2002). And -whitetst- is
telling you that the matsize (matrix size) is too small,
so you need to increase that, unless, that is, your problem
requires a matrix bigger than your Stata can allow (which
could be 800 * 800, unless you have Stata 7/SE).

Nick
n.j.cox@durham.ac.uk

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