# Re: st: Re: Problems with -hetgrot-

 From "Clive Nicholas" To statalist@hsphsun2.harvard.edu Subject Re: st: Re: Problems with -hetgrot- Date Sun, 14 Mar 2004 23:53:00 -0000 (GMT)

```Scott/Michael,

Many thanks to both of you for your helpful (and generous) responses. I'm
sure you'll understand if I report back to you in one.

Starting with Michael's solution first, I tried to run this, following him
to the letter:

Settings\Temp\STD01000000.tmp"

. tempvar  e xbgls nindg sigg arg perg

. tempname sig sumg LR

. bys `1': gen `nindg'=_N
varlist required
r(100);

end of do-file
r(100);

this didn't seem appropriate given the contents of the rest of the code.

By way of contrast, Scott's solution worked perfectly, sic.:

. xtgls conch euconch, c(p) p(h) force

Cross-sectional time-series FGLS regression

Coefficients:  generalized least squares
Panels:        heteroskedastic
Correlation:   panel-specific AR(1)

Estimated covariances      =       576        Number of obs      =      2840
Estimated autocorrelations =       576        Number of groups   =       576
Estimated coefficients   =         2          Obs per group: min =         3
avg =  4.930556
max =         6
Wald chi2(1)       =   1635.92
Log likelihood           = -8031.751          Prob > chi2        =    0.0000
----------------------------------------------------------------------------
conch |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-----------+----------------------------------------------------------------
euconch |   .2663618   .0065855    40.45   0.000     .2534544    .2792693
_cons |  -2.052489    .060968   -33.67   0.000    -2.171984   -1.932994
----------------------------------------------------------------------------

. gwhet2

Testing for Groupwise heteroscedasticity

Ho: homoscedasticity
H1: groupwise heteroscedasticity by pano
chi2 (575)  =    543.80
Prob>chi2 =      0.8205

No prizes for guessing which solution I prefer. Thanks once again.

Now to tackle the problem of autocorrelation in my -xtgls- models, which
I'm still finding regardless of whether I use -c(p)- or -c(a). Any

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