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Re: st: GLS in STATA


From   Rijo John <rijo@igidr.ac.in>
To   Statalist <statalist@hsphsun2.harvard.edu>
Subject   Re: st: GLS in STATA
Date   Wed, 30 Jun 2004 12:50:56 +0530 (IST)

Dear Nicholas,

Thanks for your suggestion.

Regards,
Rijo John.


On Tue, 29 Jun 2004, Clive Nicholas wrote:

: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
:> estimation]
:
: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.
:
:CLIVE NICHOLAS        |t: 0(044)191 222 5969
:Politics              |e: clive.nicholas@ncl.ac.uk
:Newcastle University  |http://www.ncl.ac.uk/geps



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