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Re: st: Testing for panel-level heteroskedasticity with xtgls
From
Clive Nicholas <[email protected]>
To
[email protected]
Subject
Re: st: Testing for panel-level heteroskedasticity with xtgls
Date
Tue, 1 Feb 2011 01:30:48 +0000
[email protected] wrote:
> I am a bit confused from the result I got for a LR test. I want to test about
> heteroscedasticity across panels as suggested by the Stata team in their FAQ
> section.
>
> In particular, it is suggested to calculate iterated GLS with only
> heteroskedasticity first and save the likelihood. Then to fit the model but
> without the heteroscedasticity assumption (though it is not specified if this
> second model shall be iterated or it shall be left without this option).
>
> Below is the result I got. i would like also to ask if my p-value of the test
> now indicates that I have heteroscedasticity or actually not? I am confused
> because they provide no explanation. Moreover, is it a bad sign to get no output
> of estimates for ll(null)?
>
>
> . lrtest hetero . , df(`df') stats
>
> Likelihood-ratio test LR chi2(16) = 493.43
> (Assumption: . nested in hetero) Prob > chi2 = 0.0000
>
> -----------------------------------------------------------------------------
> Model | Obs ll(null) ll(model) df AIC BIC
> -------------+---------------------------------------------------------------
> . | 367 . -29.55142 29 117.1028 230.3583
> hetero | 367 . 217.1648 46 -342.3296 -162.6829
> -----------------------------------------------------------------------------
> Note: N=Obs used in calculating BIC; see [R] BIC note
Going simply by the significance of your LR chi-square statistic in
your test, this would appear to support the hypothesis that your IGLS
model does have panel-level heteroscedascity.
Since this is case, maybe you should switch to fitting an OLS model
with panel-corrected standard errors (-xtpcse-) to deal with this
issue?
--
Clive Nicholas
[Please DO NOT mail me personally here, but at
<[email protected]>. Please respond to contributions I make in
a list thread here. Thanks!]
"My colleagues in the social sciences talk a great deal about
methodology. I prefer to call it style." -- Freeman J. Dyson.
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