Dear statalist!
I know how to do an heteroskedasticity test with the command xtgls. I read it on the FAQ questions. You only have to do a test using the maximum likelihood estimators. Therefore, you first need to do an iterated gls regression.
The problem is that with my data, the iteration is never achieved, stata goes and goes iterating.
1) Is that a problem of my data? (I only have 79 subjects and 7 years) Do I have a very little dataset?
2) How can then I perform a heteroskedasticity test without the igls option?
Thank you in advance for all your help!
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