From: Kit Baum <[email protected]>
Reply-To: [email protected]
To: [email protected]
Subject: st: Re: xtgls hetero
Date: Sat, 5 Jul 2003 12:06:09 -0400
On Saturday, Jul 5, 2003, at 02:33 US/Eastern, Rodrigo wrote:
I am phd student. I was running a xtgls estimation in Stata 7. After this
I
tried to test the Breusch-Pagan Statistic for cross-section independence
in
the residuals. I had a problem with that becuase my screen show me
"correlation matrix of residuals is singular not possible with test.
Thanks
for help.
The residuals from an xt estimator, arrayed in a TxN matrix, where you have
T obs on each of N panel units, are the "data" from which one wants to
calculate this matrix of correlations. If you're trying to calculate such
for N>T, it will be singular, since one cannot have more linearly
independent vectors than the rank of the matrix, which cannot exceed T if
N>T.
Kit
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