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Re: st: Test for panel heteroskedasticity

From   Richard Williams <[email protected]>
To   [email protected], <[email protected]>
Subject   Re: st: Test for panel heteroskedasticity
Date   Thu, 31 Mar 2005 14:43:22 -0500

At 09:36 PM 3/31/2005 +0200, Armen Khachatryan wrote:
Dear statalisters,

I follow exactly the suggestion of Vince Wiggins to FAQ: Testing for
panel-level heteroskedasticity and autocorrelation (see please ) to test, not to sound
strange, for heteroskedasticity after running a xtgls, and I type

.estimates store hetero
.local df=e(N_g)-1
.lrtest hetero . , df(`df')

I get a scaring error message saying

models hetero specified more than once!
No, it appears you have left out the step of estimating the model without heteroskedasticity. Check the FAQ again. As things now stand, hetero is being tested against itself.

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