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st: xtgls & heteroskedasticity

From   Cordula Stolberg <>
Subject   st: xtgls & heteroskedasticity
Date   Tue, 18 May 2004 11:05:55 +0100

Dear all,

I have a question regarding the xtgls command and heteroskedasticity. I have seen that several other people have asked similar questions, but I couldn't find any answers.

I am estimating a random effects model and I know that you can do a LR test for heteroskedasticity using xtgls, igls. That's what I have done and though I got some output indicating heteroskedasticity, the iteration is actually never achieved. Does that mean there is a problem with my data (I have only 69 observations and 8 years) and what does that mean for the goodness of the LR test?

Moreover, if I do any xtgls regression, how do I get an r squared / adjusted r squared?

Thanks for your help,

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