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st: heteroskedasticity test in panel data


From   "Jing Zhou" <jing.zhou@rmit.edu.au>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: heteroskedasticity test in panel data
Date   Tue, 27 Jul 2010 12:57:52 +1000

Dear All,

I am going to test the heteroskedasticity in my panel data. by using the recommended commands on FAQ which are specified as:

xtgls..., igls panels (heteroskedastic)
estimates store hetero
xtgls...
local df=e (N_g)-1
lrtest hetero., df ('df')

the result shows wrong information as "matsize too small - should be at least 621". Could you please advise me what is the potential cause to this problem? and how can i refine it?

Many thanks!

Jing





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