A CE500 FLT CREW LOST THEIR DIRECTIONAL GYROSCOPE JUST AFTER TKOF.

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I WAS THE CAPT FOR A POST MAINT TEST FLT OF AN RVSM INSTALLATION ON A CITATION II. AFTER LIFTOFF WE WERE HANDED TO ATC (ATL DEP) AND CTLR ASSIGNED HDG 090 DEGS AT 3000 FT. DURING THE TURN I SENSED MY DIRECTIONAL GYROSCOPE (DG) WAS INCORRECT. LEVELING OUT THE WINGS IT GAVE A S HDG; THOUGH WE WERE HDG NE. I THEN CONSULTED THE CO-PLT AND HE REALIZED HIS DIRECTIONAL GYROSCOPE WAS ALSO FALSE AND DID NOT AGREE WITH MINE. WE LOOKED AT THE MAGNETIC COMPASS AND REALIZED BOTH OUR SYS WERE WAY OFF. I ADVISED ATC OF THE PROB AND WE WERE SOON CLRED TO RETURN TO PDK. BY USING THE GPS AND MAGNETIC COMPASS I SUCCESSFULLY RETURNED SAFELY TO THE ARPT. LOOKING BACK WE WERE RUSHED DUE TO PLANNED FLTS FOLLOWING THE TEST AND MUST HAVE FORGOTTEN TO VERIFY THE INSTS WERE CORRECT. FORTUNATELY IT WAS VFR; THOUGH MARGINAL DUE TO HAZE. IF IFR THIS COULD HAVE BEEN MORE DIFFICULT TO HANDLE. CONTRIBUTING FACTOR WAS THAT THE ACFT WAS A CUSTOMER'S WITH SOME UNFAMILIAR EQUIP AND I HAD LITTLE RECENT FLT EXPERIENCE IN TYPE.