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


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);
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