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st: Heteroscedasticity & xtregar


From   Caroline Gunning-Trant <caroline@primal.ucdavis.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Heteroscedasticity & xtregar
Date   Mon, 17 Nov 2003 15:48:09 -0800 (PST)

Hello,

Could someone please offer advice on how to deal with
heteroscedasticity between panels when using the xtregar command?
I tried estimating my model with xtgls which corrects for het. and serial
correlation but it was no good since the right hand side of my
model contains a lagged dependent variable. Any advice is appreciated. I'm
new at Stata and fumbling wildly.

Thanks very much,
Caroline Gunning-Trant
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