Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: RE: xtgls & heteroskedasticity

From   "Nick Cox" <>
To   <>
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


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?

*   For searches and help try:

© Copyright 1996–2017 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index