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Re: st: r(198) error using lrtest to test for heteroskedasticity.
From
Sean Lim <[email protected]>
To
[email protected]
Subject
Re: st: r(198) error using lrtest to test for heteroskedasticity.
Date
Sat, 7 Jul 2012 00:07:22 +0100
Dear Nick,
Thank you for your reply.
I have tried the commands with the alterations you suggested.
I am afraid I still have the same error even when I include the period(.).
. lrtest hetero . , df(20)
models hetero specified more than once
r(198);
Could this be an issue with my dataset? I have a very unbalanced panel
with many data points missing in the independent variables.
On 6 July 2012 19:24, Nick Cox <[email protected]> wrote:
> 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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