st: heteroskedasticity problem in panel

[parisa <samimi_parisa59@yahoo.com>]

Hi, 
I 'd like to get some expert advice on heteroskedasticity in panel data. 
I have an unbalanced panel with N=20 group and T=28 time period. 
I  followed the heteroskedasticity test described in the FAQ using xtgls 
(http://www.stata.com/support/faqs/stat/panel.html ) . 

The following test I have done: 
xtgls depvar indvars, igls panels(heteroskedastic) 
estimates store hetero 
xtgls depvar indvars 
local df = e(N_g) - 1 
lrtest hetero  . , df(`df') 

Result: 

(log-likelihoods of null models cannot be compared)
Likelihood-ratio test                                  LR chi2(12) =   
248.60
(Assumption: nohetero nested in hetero)                Prob > chi2 =   
0.0000


So I clearly have a heteroskedasticity problem. But I have two questions:
1-What is the meaning of the first sentence in the test result
(log-likelihoods of null models cannot be compared)?
2-how to correct for heteroskedasticity in panel data except GLS (xtgls
depvar indvars, igls panels(heteroskedastic))?
 
Thank you 


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