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st: Testing for panel-level heteroskedasticity with xtgls


From   rado645-bg@yahoo.de
To   statalist@hsphsun2.harvard.edu
Subject   st: Testing for panel-level heteroskedasticity with xtgls
Date   Mon, 31 Jan 2011 04:15:36 +0000 (GMT)

I am a bit confused from the result I got for a LR test. I want to test about 
heteroscedasticity across panels as suggested by the Stata team in their FAQ 
section.

In particular, it is suggested to calculate iterated GLS with only 
heteroskedasticity first and save the likelihood. Then to fit the model but 
without the heteroscedasticity assumption (though it is not specified if this 
second model shall be iterated or it shall be left without this option).

Below is the result I got. i would like also to ask if  my p-value of the test 
now indicates that I have heteroscedasticity or actually not? I am confused 
because they provide no explanation. Moreover, is it a bad sign to get no output 
of estimates for ll(null)?


. lrtest hetero . , df(`df') stats

Likelihood-ratio test                                  LR chi2(16) =    493.43
(Assumption: . nested in hetero)                       Prob > chi2 =    0.0000

-----------------------------------------------------------------------------
   Model |    Obs    ll(null)   ll(model)     df          AIC         BIC
-------------+---------------------------------------------------------------
           . |    367           .   -29.55142     29     117.1028    230.3583
   hetero |    367           .    217.1648     46    -342.3296   -162.6829
-----------------------------------------------------------------------------
               Note:  N=Obs used in calculating BIC; see [R] BIC note



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