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Re: st: heteroskedasticity test in panel data


From   Christopher Baum <[email protected]>
To   "[email protected]" <[email protected]>
Subject   Re: st: heteroskedasticity test in panel data
Date   Wed, 28 Jul 2010 09:24:31 -0400

<>
On Jul 28, 2010, at 2:33 AM, Jing wrote:

> 
> . lrtest hetero ., df(620)
> 
> Likelihood-ratio test                                            LR chi2(620)=  -6436.22
> (Assumption: hetero nested in .)                       Prob > chi2 =    1.0000
> 
Backwards! Homo is a special case of hetero, which explains why you're getting a NEGATIVE Chi-square value. You have to 
give the arguments to lrtest in the right order.

A positive Chi-square of 6400 with a large df has a p-value of zero, not one.

Kit



Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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