Dear All,
I estimated an xtpcse model, and I observed that any of my runs without
noconstant option has very low R-squared (i.e. 0.08--and this is the same
result if I run it in xtreg which has no nocons option) but with noconstant
option, all R-squared become high (i.e. from 0.80).Does anyone have
explanation for that?
In addition, I did an lrtest to test for heteroskedasticity using xtgls
(since xtpcse does not allow these tests) but there appeared a comment ---
log-likelihoods of null models cannot be compared, followed by
likelihood-ratio test LR chi2(72)
-115.82
(Assumption: hetero nested in .) Prob > chi2 =
1.0000
Could anyone pls give me hint what's going on there? Thanks
Cris
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