Re: st: heteroskedasticity test in panel data

["Michael N. Mitchell" <Michael.Norman.Mitchell@gmail.com>]

Dear Jing

  Based on reading the FAQ (at http://www.stata.com/support/faqs/stat/panel.html) and the 
results you report, it sounds like your data do not show heteroskedasticity across panels. 
But, at the same time, I share your concern about getting a p value of 1.000. Perhaps you 
could post your commands and output (suppressing any output that you need to suppress for 
privacy/confidentiality) so we might be able to see any clues of trouble.

Best regards,

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 11.40 PM, Jing Zhou wrote:
> 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"<Michael.Norman.Mitchell@gmail.com>  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"<Michael.Norman.Mitchell@gmail.com>   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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