Setup for using KGDB
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Preparing the Linux Kernel
The vanilla Linux Kernel doesn't have the support for KGDB. You have to download the KGDB for your specific kernel and and follow the steps given on this page to prepare the kernel with KGDB support. More ever you will require some specific hardware and software changes for using KGDB.

Preparing the moudules for debugging
The modules have to be built with debugging information and some steps have to be followed for using KGDB while debugging modules.