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st: r(198) error using lrtest to test for heteroskedasticity.


From   Sean Lim <seanlim174@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: r(198) error using lrtest to test for heteroskedasticity.
Date   Fri, 6 Jul 2012 13:15:17 +0100

Dear Statalisters,

I am trying to test for heteroskedasticity in a panel dataset I have.
I am following the steps described in
http://www.stata.com/support/faqs/statistics/panel-level-heteroskedasticity-and-autocorrelation/
 but I am getting an error: " r(198) error when trying to use lrtest.
".

Any advice on how I should continue with this is appreciated. Below is
my output.

Many thanks,


Sean

. xtgls leverage avol7 time_tomaturity grade1 bid_ask_predict, igls
panels(heteroskedastic)
Iteration 1: tolerance = .03519474
Iteration 2: tolerance = .10619771
Iteration 3: tolerance = .13432693
Iteration 4: tolerance = .12540942
Iteration 5: tolerance = .0969322
Iteration 6: tolerance = .02952538
Iteration 7: tolerance = .01171261
Iteration 8: tolerance = .00374088
Iteration 9: tolerance = .00121751
Iteration 10: tolerance = .00043942
Iteration 11: tolerance = .00016508
Iteration 12: tolerance = .00006333
Iteration 13: tolerance = .00002464
Iteration 14: tolerance = 9.688e-06
Iteration 15: tolerance = 3.844e-06
Iteration 16: tolerance = 1.537e-06
Iteration 17: tolerance = 6.189e-07
Iteration 18: tolerance = 2.506e-07
Iteration 19: tolerance = 1.019e-07
Iteration 20: tolerance = 4.167e-08


Cross-sectional time-series FGLS regression

Coefficients:  generalized least squares
Panels:        heteroskedastic
Correlation:   no autocorrelation

Estimated covariances      =        21          Number of obs      =     15018
Estimated autocorrelations =         0          Number of groups   =        21
Estimated coefficients     =         5          Obs per group: min =       110
                                                               avg =  715.1429
                                                               max =       782
                                                Wald chi2(4)       = 953523.91
Log likelihood             =  13896.44          Prob > chi2        =    0.0000

------------------------------------------------------------------------------
    leverage |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
       avol7 |  -.7824862   .0049243  -158.90   0.000    -.7921376   -.7728347
time_tomat~y |  -.0002712   .0000154   -17.65   0.000    -.0003013   -.0002411
      grade1 |   -.399934   .0010845  -368.76   0.000    -.4020597   -.3978084
bid_ask_p~ct |   .0661513   .0043105    15.35   0.000     .0577029    .0745996
       _cons |   .9815676   .0009443  1039.42   0.000     .9797167    .9834184
------------------------------------------------------------------------------

. estimates store hetero

. local df = e(N_g) - 1

. di `df'
20

. lrtest hetero , df(20)
models hetero specified more than once
r(198);
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