Martin Linde-Rahr posted:
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As I understand, it is not possible to correct for heteroscedasticity in
xtregar (re). Has anyone written a program to takes care of both AR(1) and
heteroscedasticity in a re model and can please share their developments
with me? If so, I would be very grateful.
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I'm not sure whether this is what Martin is looking for, but he might want to take a look
at -xtgls- (-help xtgls-), e.g., -xtgls . . . , panels(heteroskedastic) corr(ar1 [or psar1])- to
see if this suits his needs.
Joseph Coveney
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