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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 16:40:36 +1000

Dear Michael,

Thank you for your kind assistance. follow the recommended commands on FAQs, and your suggestion, i run this test in stata. the result is however a little weird. the value of df is large (620), and Prob > chi2 =    1.0000. Can i just conclude that my panel data is not exposed to heteroskedasticity from this result? or there still exists some problem in the process? Thanks!

Jing


>>> "Michael N. Mitchell" <Michael.Norman.Mitchell@gmail.com> 27/07/2010 3:24 pm >>>
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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