Richard Williams wrote:
> I created my own variation called -hetgrot2-. The good news is that both
> my -hetgrot2 and Scott's -gwhet2- seem to give identical results. The bad
> news is that neither exactly matches the results reported by Greene! But
> they come very close, and I'm not 100% sure Greene is doing it right.
I must immediately apologise to Richard here. His -hetgrot2- _did_ work.
But, being thick, I called -hetgrot [panelvar]- instead! However, check
this out (from the same -xtgls- model):
. gwhet2
Testing for Groupwise heteroscedasticity
Ho: homoscedasticity
H1: groupwise heteroscedasticity by pano
chi2 (575) = 543.80
Prob>chi2 = 0.8205
. hetgrot2 pano
(option xb assumed; fitted values)
(615 missing values generated)
(617 missing values generated)
Testing for Groupwise heteroscedasticity
Ho: homoscedasticity
H1: groupwise heteroscedasticity by pano
chi2(62) = 543.80
Prob > chi2 = 0.0000
As Richard rightly says, the chi-squared values are indeed identical. But
one rejects H0 whilst the other retains H0. Which to choose?
Whatever the answer to this question, may I publicly thank Richard for
spending a lot of personal time on helping me out with this problem.
CLIVE NICHOLAS |t: 0(44)191 222 5969
Politics Building |e: [email protected]
School of Geography, |f: 0(44)870 126 2421
Politics & Sociology |
University of |
Newcastle-upon-Tyne |
Newcastle-upon-Tyne |
NE1 7RU |
United Kingdom |http://www.ncl.ac.uk/geps
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