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st: heteroskedastisity and panel data problem (again)


From   Marck Bulter <177316mb@student.eur.nl>
To   statalist@hsphsun2.harvard.edu
Subject   st: heteroskedastisity and panel data problem (again)
Date   Mon, 10 Dec 2007 18:58:24 +0100

Dear Statalist readers,

I am working on a panel data project. I would like to test for heteroskedastisity in a unbalanced panel data set. I searched the list, and found the following info:

1. http://www.stata.com/support/faqs/stat/panel.html
2. And I tried the following http://www.stata.com/statalist/archive/2005-03/msg01029.html, to include the nonhetero.

Following the suggestions in the links above, I tried the following:

xtgls pstrmon price mat age coup pstrmonprev pstrprev intr ivol compl , igls panels(heteroskedastic)
estimates store hetero
xtgls pstrmon price mat age coup pstrmonprev pstrprev intr ivol compl
estimates store nonhetero
local df = e(N_g) - 1
lrtest hetero . , df(`df')

In the last stage it gives the following error:

lrtest hetero . , df(`df')
nonhetero does not contain scalar e(ll)
r(498);

Does anyone have an idea how to solf this problem. Or since the link is over 2,5 years old, is there a stata routine to accomplish this? I am using Stata 10

Help very much appreciated,

regards,
Marck



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