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Re: st: heteroskedasticity test in panel data


From   "Jing Zhou" <jing.zhou@rmit.edu.au>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: heteroskedasticity test in panel data
Date   Tue, 27 Jul 2010 14:58:31 +1000

thank you Michael, for the command "lrtest hetero ., df ('df')", how can i get the value of df?

Jing

>>> "Michael N. Mitchell" <Michael.Norman.Mitchell@gmail.com> 27/07/2010 2:23 pm >>>
Greetings

   I wonder if this would help...

. set matsize 800

   (or select another number in place of 800).

Hope that helps,

Michael N. Mitchell
Data Management Using Stata      - http://www.stata.com/bookstore/dmus.html 
A Visual Guide to Stata Graphics - http://www.stata.com/bookstore/vgsg.html 
Stata tidbit of the week         - http://www.MichaelNormanMitchell.com 



On 2010-07-26 7.57 PM, Jing Zhou wrote:
> 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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