Re: st: Test for panel-level heteroskedasticity - what is the hypothesis

[Richard Williams <Richard.A.Williams.5@ND.edu>]

At 03:17 PM 8/11/2005 +0200, you wrote:
> I'm testing for panel-level heteroskedasticity and I apply the lrtest 
> suggested in the FAQ section of Stata 
> (http://www.stata.com/support/faqs/stat/panel.html).
>
> I obtain the LR test result at the end but my problem is that I'm not 
> really sure about the hypothesis I'm testing. Is the null hypothesis equal 
> to "panels' error structures are heteroskedastic" or "panels' error 
> structures are homoskedastic"?
homoskedasticity is the null.  In the alternative, you are less restrictive 
because you allow error variances to vary.

Also, note how the FAQ is worded.  The second model is the one "without 
heteroskedasticity".  Further, it says "The number of panels/groups is 
stored in e(N_g) and, in the second model, we are constraining all of these 
to be single value".  So, the 2nd model is the constrained model and hence 
represents the null hyp.



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