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From |
"Clive Nicholas" <Clive.Nicholas@newcastle.ac.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Deleteing cases without warning in -hetgrot- |

Date |
Mon, 8 Mar 2004 13:31:47 -0000 (GMT) |

All, This is another problem I've been working with Brian on, but unfortunately to no avail (although this is certainly _not_ Brian's fault!). Below is the original question (with revisions) to Stata's technical support, which Brian answered last Wednesday. After running models in -xtgls-, I've been using an extremely useful test devised by Luca Nunziata called -hetgrot-, which tests for panel-level heteroscedasticity. I was helpfully pointed to this routine by another member of Statalist. Unfortunately, there's a problem. After calling -hetgrot [panelvar]- (which runs the test), the ado-file deletes one or two observations from each panel in the dataset. As you can imagine, this is quite disconcerting, and it means that I have to -exit, clear- each time. I'm sure there's something in the code that causes this (and perhaps correctly, because of the degrees of freedom consumed in calculating the statistic). Can anybody see any way around this? ---------------------------------------------------------------------------- prog def hetgrot, rclass ***by Luca Nunziata, Nuffield College, Oxford ***Version 1.0, 1/4/00 version 6 tempvar nind nindg e xbgls temp1 temp2 sig sigg a sumg arg tempname sig sumg LR if "`1'"=="" { display in red "ERROR, Name of group variable required as 1st argument" exit } if e(cmd)=="" { display in red "ERROR, need reg, xtreg or areg as command" exit 498 } if e(cmd)== "regress" | e(cmd)== "areg" { predict `e', res } if e(cmd)=="xtreg" { predict `e', e } if e(cmd)=="xtgls" { predict `xbgls' gen `e'=$S_E_depv-`xbgls' } if e(cmd)~="regress" & e(cmd)~="areg" & e(cmd)~="xtreg" & e(cmd)~="xtgls"{ display in red "ERROR, need reg, xtreg, xtgls or areg as command" exit 301 } qui { gen `temp1'=1 if e(sample)==1 egen `nindg'= count(`temp1'), by (`1') drop if e(sample)==0 *determination of number of groups egen `nind' = group(`1') replace `nind'=`nind'[_N] scalar `nind'=`nind'[_N] *calculation of sigma replace `e'=`e'^2 gen `sig'=sum(`e') replace `sig'=`sig'[_N]/`nind' scalar `sig'=`sig'[_N]/`nind' *calculation of sigman egen `sigg'=sum(`e'), by (`1') replace `sigg'=`sigg'/`nindg' ***calculation of LR test statistic *sum of groups var sort `1' by `1': gen `a'=1 if _n==_N replace `sigg'=log(`sigg') qui gen `arg'=`sigg'*`a'*`nindg' egen `sumg'=sum(`arg') scalar `sumg'=`sumg' scalar `LR'=`nind'*log(`sig')-`sumg' return scalar lr= `LR' return scalar pval= chiprob(`nind'-1,`LR') } *display results display"" display in green "Testing for Groupwise heteroscedasticity" display"" display "Ho: homoscedasticity" display "H1: groupwise heteroscedasticity by " "`1'" display"" di _col(10) in gr "chi2(" in ye `nind'-1 in gr ")" /* */ _col(23) "=" in ye /* */ _col(25) %9.2f `LR' di _col(10) in gr "Prob > chi2 =" in ye _col(30) /* */ %6.4f chiprob(`nind'-1,`LR') end ---------------------------------------------------------------------------- CLIVE NICHOLAS |t: 0(44)191 222 5969 Politics Building |e: clive.nicholas@ncl.ac.uk School of Geography, |f: 0(44)870 126 2421 Politics & Sociology | University of | Newcastle-upon-Tyne | Newcastle-upon-Tyne | NE1 7RU | United Kingdom |http://www.ncl.ac.uk/geps * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Deleteing cases without warning in -hetgrot-***From:*Richard Williams <Richard.A.Williams.5@nd.edu>

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