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From |
Nick Cox <njcoxstata@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Fri, 6 Jul 2012 19:24:23 +0100 |

The FAQ recommends different syntax. You omitted the period (.) in lrtest hetero . , df(`df') Nick On Fri, Jul 6, 2012 at 1:15 PM, Sean Lim <seanlim174@gmail.com> wrote: > 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); * * 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/

**Follow-Ups**:**Re: st: r(198) error using lrtest to test for heteroskedasticity.***From:*Sean Lim <seanlim174@gmail.com>

**References**:**st: r(198) error using lrtest to test for heteroskedasticity.***From:*Sean Lim <seanlim174@gmail.com>

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