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Re: st: GLS in STATA
Rijo John wrote:
> Is there a simple way to do Generalised Least squares in STATA?
The default -xtreg- command fits random-effects GLS models. -xtgls- fits
cross-sectional time-series FGLS regressions.
> The robust option along with the _regress_ is not equivallant to doing a
> GLS right? So appart from doing GLS as below is there a simple command
> which does the job?
> regress depvar x1.... xk
> predict e, residual
> generate esq = e^ 2
> regress esq x1.... xk
> predict v
> regress depvar x1.... xk [aweight = 1/v]
> [This is a feasible GLS estimation or feasible weighted least sqares
Looks like WLS to me, which you can fit with rather less hassle by
. xtreg y x1 x2 xk, be wls
which gives you the 'between-effects' model. See -whelp xtreg- for more.
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