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st: White test for heteroskedasticity: maxvar

From   "Gauri Khanna" <>
Subject   st: White test for heteroskedasticity: maxvar
Date   Tue, 15 Aug 2006 16:35:40 +0000

Dear Statalist,

I am trying to do the following test for heteroskedasticity for my cobb douglas production function where logoutput is my dependant variable. As you will notice I have many dependant variables. Since the white test for heteroskedasticity is really running an auxilliary regression using the independant variables (we do not see this auxilliary regression, we only see the test results), I hit the maximum number of variables possible. The regression is run in Stata SE 8.1.

regress logoutput logcorarea loglabour logmanure logfertiliserval logtrac logox logirrigationbefore31july logirrigationafter31july cropdum /*
*/farmerdum1-farmerdum26 farmerdum28-farmerdum77 farmerdum79-farmerdum97 farmerdum99-farmerdum104 farmerdum106

. imtest, white
no room to add more variables
An attempt was made to add a variable that would have resulted in more than 5000 or
4999 variables (Stata reserves one variable for its own use). You have the following

1. Drop some variables; see help drop.

2. If you are using Stata/SE, increase maxvar; see help maxvar.

QUESTION1: What are my options? I tried to run the following command

set maxvar 5000

but I still get this error.

I even reduce the number of variables in my data file to just the variables used in the regression but still the same error message. The problem is that since I have so many independant variables I will run into this problem no matter what as I exceed the maximum variable permissible. So, what can I do?

QUESTION2. Would this work in Stata 9 i.e. is it more liberal with maximum no. of variables that it can allow? Even so, I would still like to know the solution to this problem.

And yes, I need all those dummies!

Thank you for your attention.


Ms. Gauri Khanna

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