st: White test for heteroskedasticity: maxvar

["Gauri Khanna" <gwkhanna@hotmail.com>]

Dear Statalist,

I am trying to do the following test for heteroskedasticity for my cobb 
douglas production function where logoutput is my dependant variable. As you 
will notice I have many dependant variables. Since the white test for 
heteroskedasticity is really running an auxilliary regression using the 
independant variables (we do not see this auxilliary regression, we only see 
the test results), I hit the maximum number of variables possible.  The 
regression is run in Stata SE 8.1.

regress logoutput logcorarea  loglabour logmanure logfertiliserval logtrac 
logox logirrigationbefore31july logirrigationafter31july cropdum /*
*/farmerdum1-farmerdum26 farmerdum28-farmerdum77 farmerdum79-farmerdum97 
farmerdum99-farmerdum104 farmerdum106

. imtest, white
no room to add more variables
   An attempt was made to add a variable that would have resulted in more 
than 5000 or
   4999 variables (Stata reserves one variable for its own use).  You have 
the following
   alternatives:

    1.  Drop some variables; see help drop.

    2.  If you are using Stata/SE, increase maxvar; see help maxvar.


QUESTION1: What are my options? I tried to run the following command

set maxvar 5000

but I still get this error.

I even reduce the number of variables in my data file to just the variables 
used in the regression but still the same error  message. The problem is 
that since I have so many independant variables I will run into this problem 
no matter what as I exceed the maximum variable permissible. So, what can I 
do?

QUESTION2. Would this work in Stata 9 i.e. is it more liberal with maximum 
no. of variables that it can allow? Even so, I would still like to know the 
solution to this problem.

And yes, I need all those dummies!

Thank you for your attention.

Regards,

Ms. Gauri Khanna

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