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Re: st: heteroskedastisity and panel data problem (again)
On Mon, 10 Dec 2007 18:58:24 +0100, Marck Bulter <[email protected]>
wrote:
I am working on a panel data project. I would like to test for
heteroskedastisity in a unbalanced panel data set. I searched the list,
and found the following info:
1. http://www.stata.com/support/faqs/stat/panel.html
2. And I tried the following
http://www.stata.com/statalist/archive/2005-03/msg01029.html, to include
the nonhetero.
Following the suggestions in the links above, I tried the following:
xtgls pstrmon price mat age coup pstrmonprev pstrprev intr ivol compl ,
igls panels(heteroskedastic)
estimates store hetero
xtgls pstrmon price mat age coup pstrmonprev pstrprev intr ivol compl
estimates store nonhetero
local df = e(N_g) - 1
lrtest hetero . , df(`df')
In the last stage it gives the following error:
lrtest hetero . , df(`df')
nonhetero does not contain scalar e(ll)
r(498);
-xtgls- is not saving the log-likelihood for the second model, even though
-xtgls- without any options produces maximum likelihood estimates. We
will fix this in a future adofile update.
In the meantime, Marck can simply include the "igls" option with his
second model:
. xtgls pstrmon price mat age coup pstrmonprev pstrprev intr ivol compl, igls
In this case 'igls' will not affect the estimates, but it will cause
-xtgls- to save the log-likelihood, so that -lrtest- will work.
-- Brian Poi
-- [email protected]
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