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st: sureg with custom weights on 1 equation
I want to jointly estimate 2 equations using the --sureg-- command.
However, I want the first equation to be estimated using a customized
weight and applying GLS (to correct for a heteroskedasticity issue)
while the second equation does not incorporate this weight. It appears
that the --sureg-- command only allows weights applied to both
equations. Is there any option or other approach within Stata which I
can use to achieve this, short of writing out the system?
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