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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   Mon, 15 Mar 2004 00:00:35 -0000 (GMT)

Richard Williams wrote:

> I created my own variation called -hetgrot2-.  The good news is that both
> my -hetgrot2 and Scott's -gwhet2- seem to give identical results.  The bad
> news is that neither exactly matches the results reported by Greene!  But
> they come very close, and I'm not 100% sure Greene is doing it right.

I must immediately apologise to Richard here. His -hetgrot2- _did_ work.
But, being thick, I called -hetgrot [panelvar]- instead! However, check
this out (from the same -xtgls- model):

. gwhet2

Testing for Groupwise heteroscedasticity

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

. hetgrot2 pano
(option xb assumed; fitted values)
(615 missing values generated)
(617 missing values generated)

Testing for Groupwise heteroscedasticity

Ho: homoscedasticity
H1: groupwise heteroscedasticity by pano

         chi2(62)     =    543.80
         Prob > chi2  =      0.0000

As Richard rightly says, the chi-squared values are indeed identical. But
one rejects H0 whilst the other retains H0. Which to choose?

Whatever the answer to this question, may I publicly thank Richard for
spending a lot of personal time on helping me out with this problem.

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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