Yes, first I did as you say, but then I run the regression again without
p(h) and the again did all that
.estimates store hetero
.local df=e(N_g)-1
.lrtest hetero . , df(`df')
As far as I understand from the manual, -estimates store- would keep the
estimates from the last regression, i.e. without panels(hetero).
So, I did follow Wiggins, but the error is still the same!
No, according to the FAQ, there needs to be another xtgls command after
your estimates store command, where you estimate the model without
hetero. To keep it straight, it might help if you did one model, called it
hetero, and then estimated the other model, and called it nonhetero. You
need to have 2 models to compare, and right now you only have one (the .
refers to the current model, which in the above is the same as hetero.)
