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st: RE: xtgls & heteroskedasticity


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: xtgls & heteroskedasticity
Date   Tue, 18 May 2004 11:11:56 +0100

I yield on most of these points to specialists, 
but on the last draw attention to the FAQ at 
http://www.stata.com/support/faqs/stat/rsquared.html

Nick 
n.j.cox@durham.ac.uk 

Cordula Stolberg
 
> 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?

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