All,
After plenty of 'behind-the-curtains' discussions with Richard Williams,
we agreed that it would be a good idea to bring this to the attention of
the list.
Essentially, there appear to be problems in getting sensible chi-squared
estimates out of -hetgrot-, a user-written procedure testing for groupwise
heteroscedascity after -reg-, -areg-, -xtreg- and -xtgls- (I've been
calling it after the last of these) which is based on a proposal by Greene
(1993: 395).
Statalisters will be aware that -hetgrot- as originally formulated was
deleting cases after execution. With help from Kit Baum, Richard was able
to solve this problem by carefully positioning -preserve- and -restore- in
the right places. The revised code runs thus:
----------------------------------------------------------------------------
prog def hetgrot, rclass
***by Luca Nunziata, Nuffield College, Oxford
***Version 1.0, 1/4/00
version 6
preserve
tempvar nind nindg e xbgls temp1 temp2 sig sigg a sumg arg
tempname sig sumg LR
if "`1'"=="" {
display in red "ERROR, Name of group variable required as 1st argument"
exit
}
if e(cmd)=="" {
display in red "ERROR, need reg, xtreg or areg as command"
exit 498
}
if e(cmd)== "regress" | e(cmd)== "areg" {
predict `e', res
}
if e(cmd)=="xtreg" {
predict `e', e
}
if e(cmd)=="xtgls" {
predict `xbgls'
gen `e'=$S_E_depv-`xbgls'
}
if e(cmd)~="regress" & e(cmd)~="areg" & e(cmd)~="xtreg" & e(cmd)~="xtgls"{
display in red "ERROR, need reg, xtreg, xtgls or areg as command"
exit 301
}
qui {
gen `temp1'=1 if e(sample)==1
egen `nindg'= count(`temp1'), by (`1')
drop if e(sample)==0
*determination of number of groups
egen `nind' = group(`1')
replace `nind'=`nind'[_N]
scalar `nind'=`nind'[_N]
*calculation of sigma
replace `e'=`e'^2
gen `sig'=sum(`e')
replace `sig'=`sig'[_N]/`nind'
scalar `sig'=`sig'[_N]/`nind'
*calculation of sigman
egen `sigg'=sum(`e'), by (`1')
replace `sigg'=`sigg'/`nindg'
***calculation of LR test statistic
*sum of groups var
sort `1'
by `1': gen `a'=1 if _n==_N
replace `sigg'=log(`sigg')
qui gen `arg'=`sigg'*`a'*`nindg'
egen `sumg'=sum(`arg')
scalar `sumg'=`sumg'
scalar `LR'=`nind'*log(`sig')-`sumg'
return scalar lr= `LR'
return scalar pval= chiprob(`nind'-1,`LR')
}
*display results
display""
display in green "Testing for Groupwise heteroscedasticity"
display""
display "Ho: homoscedasticity"
display "H1: groupwise heteroscedasticity by " "`1'"
display""
di _col(10) in gr "chi2(" in ye `nind'-1 in gr ")" /*
*/ _col(23) "=" in ye /*
*/ _col(25) %9.2f `LR'
di _col(10) in gr "Prob > chi2 =" in ye _col(30) /*
*/ %6.4f chiprob(`nind'-1,`LR')
restore
end
----------------------------------------------------------------------------
The problem now is that -hetgrot- keeps producing _negative_ chi-squared
values after -xtgls-. I've used it about 30 times (before and since the
recoding by Kit and Richard) and it has always done this.
I've not tried it against -areg- (as I little about the procedure), but
calling
. hetgrot [panelvar]
consistently produces negatives after -xtgls- and -xtreg- (all forms).
Richard mentioned to me that some papers from -hetgrot-'s originator, Luca
Nunziata, does report using the procedure and comes out with positive
numbers. I cannot replicate this with my data!
I should say that I have tried to contact Luca, but no response has been
forthcoming. Any help on this problem from anybody on the list would be
most appreciated. Thanks.
CLIVE NICHOLAS |t: 0(44)191 222 5969
Politics Building |e: [email protected]
School of Geography, |f: 0(44)870 126 2421
Politics & Sociology |
University of |
Newcastle-upon-Tyne |
Newcastle-upon-Tyne |
NE1 7RU |
United Kingdom |http://www.ncl.ac.uk/geps
Greene WH (2nd ed, 1993) ECONOMETRIC ANALYSIS, New York: Prentice Hall.
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