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Re: st: Test for panel-level heteroskedasticity - what is the hypothesis


From   Richard Williams <Richard.A.Williams.5@ND.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Test for panel-level heteroskedasticity - what is the hypothesis
Date   Thu, 11 Aug 2005 09:29:18 -0500

At 03:17 PM 8/11/2005 +0200, you wrote:
I'm testing for panel-level heteroskedasticity and I apply the lrtest suggested in the FAQ section of Stata (http://www.stata.com/support/faqs/stat/panel.html).

I obtain the LR test result at the end but my problem is that I'm not really sure about the hypothesis I'm testing. Is the null hypothesis equal to "panels' error structures are heteroskedastic" or "panels' error structures are homoskedastic"?
homoskedasticity is the null. In the alternative, you are less restrictive because you allow error variances to vary.

Also, note how the FAQ is worded. The second model is the one "without heteroskedasticity". Further, it says "The number of panels/groups is stored in e(N_g) and, in the second model, we are constraining all of these to be single value". So, the 2nd model is the constrained model and hence represents the null hyp.



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Richard Williams, Notre Dame Dept of Sociology
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