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From |
"Michael N. Mitchell" <Michael.Norman.Mitchell@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: heteroskedasticity test in panel data |

Date |
Wed, 28 Jul 2010 10:23:04 -0700 |

Dear Kit

. xtgls ... , igls panels(heteroskedastic) . estimates store hetero to fit the model with panel-level heteroskedasticity and save the likelihood. We can fit the model without heteroskedasticity by typing . xtgls ...

. local df = e(N_g) - 1 The test is then obtained by typing . lrtest hetero . , df(`df') Thanks! 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 2010-07-28 6.24 AM, Christopher Baum wrote:

<> 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 = 1.0000Backwards! 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 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

* * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**Re: st: heteroskedasticity test in panel data***From:*Christopher Baum <kit.baum@bc.edu>

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