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Re: st: heteroskedasticity test in panel data
From
"Jing Zhou" <[email protected]>
To
<[email protected]>
Subject
Re: st: heteroskedasticity test in panel data
Date
Tue, 27 Jul 2010 16:40:36 +1000
Dear Michael,
Thank you for your kind assistance. follow the recommended commands on FAQs, and your suggestion, i run this test in stata. the result is however a little weird. the value of df is large (620), and Prob > chi2 = 1.0000. Can i just conclude that my panel data is not exposed to heteroskedasticity from this result? or there still exists some problem in the process? Thanks!
Jing
>>> "Michael N. Mitchell" <[email protected]> 27/07/2010 3:24 pm >>>
Dear Jing
Based on your example, it looks like you could do this...
. xtgls..., igls panels (heteroskedastic)
. estimates store hetero
. xtgls...
. display e(N_g)-1
The last command will show, I believe, the number of groups minus 1. It looks like your
example uses this for the degrees of freedom. Say that number was 157. You could then type
. lrtest hetero ., df (157)
and it looks like it would use 157 as the df. I am out of my element here, so I trust
that someone else will correct me if I am off base. But I hope this helps.
Michael N. Mitchell
Data Management Using Stata - http://www.stata.com/bookstore/dmus.html
A Visual Guide to Stata Graphics - http://www.stata.com/bookstore/vgsg.html
Stata tidbit of the week - http://www.MichaelNormanMitchell.com
On 2010-07-26 9.58 PM, Jing Zhou wrote:
> thank you Michael, for the command "lrtest hetero ., df ('df')", how can i get the value of df?
>
> Jing
>
>>>> "Michael N. Mitchell"<[email protected]> 27/07/2010 2:23 pm>>>
> Greetings
>
> I wonder if this would help...
>
> . set matsize 800
>
> (or select another number in place of 800).
>
> Hope that helps,
>
> Michael N. Mitchell
> Data Management Using Stata - http://www.stata.com/bookstore/dmus.html
> A Visual Guide to Stata Graphics - http://www.stata.com/bookstore/vgsg.html
> Stata tidbit of the week - http://www.MichaelNormanMitchell.com
>
>
>
> On 2010-07-26 7.57 PM, Jing Zhou wrote:
>> Dear All,
>>
>> I am going to test the heteroskedasticity in my panel data. by using the recommended commands on FAQ which are specified as:
>>
>> xtgls..., igls panels (heteroskedastic)
>> estimates store hetero
>> xtgls...
>> local df=e (N_g)-1
>> lrtest hetero., df ('df')
>>
>> the result shows wrong information as "matsize too small - should be at least 621". Could you please advise me what is the potential cause to this problem? and how can i refine it?
>>
>> Many thanks!
>>
>> Jing
>>
>>
>>
>>
>>
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>
>
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*
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*
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* http://www.ats.ucla.edu/stat/stata/