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Re: st: r(198) error using lrtest to test for heteroskedasticity.
From
Nick Cox <[email protected]>
To
[email protected]
Subject
Re: st: r(198) error using lrtest to test for heteroskedasticity.
Date
Fri, 6 Jul 2012 19:24:23 +0100
The FAQ recommends different syntax. You omitted the period (.) in
lrtest hetero . , df(`df')
Nick
On Fri, Jul 6, 2012 at 1:15 PM, Sean Lim <[email protected]> wrote:
> Dear Statalisters,
>
> I am trying to test for heteroskedasticity in a panel dataset I have.
> I am following the steps described in
> http://www.stata.com/support/faqs/statistics/panel-level-heteroskedasticity-and-autocorrelation/
> but I am getting an error: " r(198) error when trying to use lrtest.
> ".
>
> Any advice on how I should continue with this is appreciated. Below is
> my output.
>
> Many thanks,
>
>
> Sean
>
> . xtgls leverage avol7 time_tomaturity grade1 bid_ask_predict, igls
> panels(heteroskedastic)
> Iteration 1: tolerance = .03519474
> Iteration 2: tolerance = .10619771
> Iteration 3: tolerance = .13432693
> Iteration 4: tolerance = .12540942
> Iteration 5: tolerance = .0969322
> Iteration 6: tolerance = .02952538
> Iteration 7: tolerance = .01171261
> Iteration 8: tolerance = .00374088
> Iteration 9: tolerance = .00121751
> Iteration 10: tolerance = .00043942
> Iteration 11: tolerance = .00016508
> Iteration 12: tolerance = .00006333
> Iteration 13: tolerance = .00002464
> Iteration 14: tolerance = 9.688e-06
> Iteration 15: tolerance = 3.844e-06
> Iteration 16: tolerance = 1.537e-06
> Iteration 17: tolerance = 6.189e-07
> Iteration 18: tolerance = 2.506e-07
> Iteration 19: tolerance = 1.019e-07
> Iteration 20: tolerance = 4.167e-08
>
>
> Cross-sectional time-series FGLS regression
>
> Coefficients: generalized least squares
> Panels: heteroskedastic
> Correlation: no autocorrelation
>
> Estimated covariances = 21 Number of obs = 15018
> Estimated autocorrelations = 0 Number of groups = 21
> Estimated coefficients = 5 Obs per group: min = 110
> avg = 715.1429
> max = 782
> Wald chi2(4) = 953523.91
> Log likelihood = 13896.44 Prob > chi2 = 0.0000
>
> ------------------------------------------------------------------------------
> leverage | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> avol7 | -.7824862 .0049243 -158.90 0.000 -.7921376 -.7728347
> time_tomat~y | -.0002712 .0000154 -17.65 0.000 -.0003013 -.0002411
> grade1 | -.399934 .0010845 -368.76 0.000 -.4020597 -.3978084
> bid_ask_p~ct | .0661513 .0043105 15.35 0.000 .0577029 .0745996
> _cons | .9815676 .0009443 1039.42 0.000 .9797167 .9834184
> ------------------------------------------------------------------------------
>
> . estimates store hetero
>
> . local df = e(N_g) - 1
>
> . di `df'
> 20
>
> . lrtest hetero , df(20)
> models hetero specified more than once
> r(198);
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