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Re: st: heteroskedasticity test in panel data


From   "Michael N. Mitchell" <Michael.Norman.Mitchell@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: heteroskedasticity test in panel data
Date   Tue, 27 Jul 2010 00:37:57 -0700

Dear Jing

Based on reading the FAQ (at http://www.stata.com/support/faqs/stat/panel.html) and the results you report, it sounds like your data do not show heteroskedasticity across panels. But, at the same time, I share your concern about getting a p value of 1.000. Perhaps you could post your commands and output (suppressing any output that you need to suppress for privacy/confidentiality) so we might be able to see any clues of trouble.

Best regards,

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 11.40 PM, Jing Zhou wrote:
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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