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Re: st: Re: Problems with -hetgrot-


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

. do "C:\Documents and Settings\Administrator\Local
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);

I'm not sure what to say about this. I did consider swapping n for N, but
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
contributions gratefully received.

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
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