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st: goodness of fit for xtgls regression


From   "Grohsjean, Thorsten W" <t.grohsjean@imperial.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: goodness of fit for xtgls regression
Date   Thu, 14 Jul 2011 13:23:56 +0000

Dear Statalist,
I have an unbalanced panel data set with 67 firms and 20 years. I have performed several tests, such as the Hausman test, a test for autocorrelation (xtserial), and a test for heteroskedasticity (xttest3) that indicate XTGLS with fixed effects is the correct procedure in my case.

Hence I'm running the following regressions: 

xtgls y x1 x2, panels(heteroskedastic) corr(ar1) force

xtgls y x1 x2 x3, panels(heteroskedastic) corr(ar1) force

How can I test in this case if the introduction of the variable x3 improves the goodness of fit as neither the loglikelihood nor the r2 is given?
Thanks for your help,
Thorsten 

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