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st: Re: xtregar and hetero

From   Joseph Coveney <>
To   Statalist <>
Subject   st: Re: xtregar and hetero
Date   Mon, 28 Apr 2003 22:52:33 +0900

Martin Linde-Rahr posted:


As I understand, it is not possible to correct for heteroscedasticity in 
xtregar (re). Has anyone written a program to takes care of both AR(1) and 
heteroscedasticity in a re model and can please share their developments 
with me? If so, I would be very grateful.


I'm not sure whether this is what Martin is looking for, but he might want to take a look 
at -xtgls- (-help xtgls-), e.g., -xtgls . . . , panels(heteroskedastic) corr(ar1 [or psar1])- to 
see if this suits his needs.

Joseph Coveney

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