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Re: st: heteroskedastisity and panel data problem (again)


From   Marck Bulter <177316mb@student.eur.nl>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: heteroskedastisity and panel data problem (again)
Date   Mon, 10 Dec 2007 23:30:48 +0100

Brian P. Poi wrote:
On Mon, 10 Dec 2007 18:58:24 +0100, Marck Bulter <177316mb@student.eur.nl> wrote:


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);
-xtgls- is not saving the log-likelihood for the second model, even though -xtgls- without any options produces maximum likelihood estimates. We will fix this in a future adofile update.

In the meantime, Marck can simply include the "igls" option with his second model:

. xtgls pstrmon price mat age coup pstrmonprev pstrprev intr ivol compl, igls

In this case 'igls' will not affect the estimates, but it will cause -xtgls- to save the log-likelihood, so that -lrtest- will work.


-- Brian Poi
-- bpoi@stata.com


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Dear Brian Poi,

The additional option works,

Likelihood-ratio test LR chi2(107)= 9385.67
(Assumption: nonhetero nested in hetero) Prob > chi2 = 0.0000



I assume that the null is homoskedasticity?

regards,
Marck




*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/




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