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Re: st: Re: Problems with -hetgrot-


From   Richard Williams <Richard.A.Williams.5@nd.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: Problems with -hetgrot-
Date   Sun, 14 Mar 2004 19:20:11 -0500

At 12:00 AM 3/15/2004 +0000, Clive Nicholas wrote:
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?
I think we have to declare -gwhet2- the winner. Note that the d.f. are different. You have 576 groups, so 575 is the correct d.f. The -hetgrot2- I sent you is probably fixable (maybe the data just need sorting or something) but -gwhet2- looks like a tidier program anyway. I haven't tried Michael's variation, but it looks like it might have some additional checks for missing data that would be worth incorporating into a final program. Like I said in my last posting though, while these recent variations are much better than the original -hetgrot-, I'm not sure any of them are doing things exactly the way that Greene says it should be done. Still, they may be close enough.


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Richard Williams, Notre Dame Dept of Sociology
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