COVTEST works properly starting in 9.2, including the release you have. The red color occurs, even though the statement is supported. You didn't say what you are getting for the estimated variance-covariance matrix. I am guessing that the program is not able to estimate the G-side parameters (or they are 0). If you don't have var-cov parameters, there is nothing for COVTEST to actually test. I think your model is over-parameterized in terms of random effects. You are asking for an unstructred matrix nested within another unstructured matrix (with the constraint imposed by the chol option). I doubt if this will work.
... View more