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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 03:42:28 +0100
That explains it all. Thank you for making this so much clearer to me!
On 7 July 2012 01:44, Nick Cox <[email protected]> wrote:
> You omitted to estimate the model again. Therefore -hetero- is still
> the most recent set of estimates and you are comparing it with itself.
> The -lrtest- hinges on comparing two different model fits. If you look
> again at the FAQ you will see that there are two model fits.
>
> (I first looked at your bottom line, which looked wrong. I didn't
> notice in my first posting that you made two mistakes.)
>
> Nick
>
> On Sat, Jul 7, 2012 at 12:07 AM, Sean Lim <[email protected]> wrote:
>> 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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