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st: GLS estimation using a weighting matrix


From   heisnam singh <thoihen@yahoo.com>
To   stata <statalist@hsphsun2.harvard.edu>
Subject   st: GLS estimation using a weighting matrix
Date   Fri, 25 Feb 2005 09:24:55 -0800 (PST)

Dear Statalist users,
 I am trying to estimate a linear regression by using
GLS procedure. I can't use the xtgls command however.
What I have is an estimated nxn matrix U (from an
earlier procedure) which is to be used as a weighting
matrix.
So my estimator has the GLS form. i.e.

 B_hat=inv[X'*inv(U)*X]*X'inv(U)*y

Is there a procedure in Stata which allows me to
estimate this without having to resort to brute force
technique.
 I am interested in getting the regression result with
all the information that a standard "regress" command
in stata yields. Please help me. Thanks in advance.
Thoihen

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