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# Re: st: heteroskedasticity test in panel data

 From "Michael N. Mitchell" To statalist@hsphsun2.harvard.edu Subject Re: st: heteroskedasticity test in panel data Date Mon, 26 Jul 2010 22:24:52 -0700

```Dear Jing

Based on your example, it looks like you could do this...

. xtgls..., igls panels (heteroskedastic)
. estimates store hetero
. xtgls...
. display e(N_g)-1

```
The last command will show, I believe, the number of groups minus 1. It looks like your example uses this for the degrees of freedom. Say that number was 157. You could then type
```
. lrtest hetero ., df (157)

```
and it looks like it would use 157 as the df. I am out of my element here, so I trust that someone else will correct me if I am off base. But I hope this 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 9.58 PM, Jing Zhou wrote:
```
```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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```