Statalist The Stata Listserver


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: Advanced linear regression question (non constant random perturbationvariance)


From   Guillermo Villa <guillermo.villa@uc3m.es>
To   Guillermo Villa <guillermo.villa@uc3m.es>
Subject   st: Advanced linear regression question (non constant random perturbationvariance)
Date   Wed, 28 Jun 2006 13:58:29 +0200

Dear statalisters,

I want to estimate a linear regression in which the variance of the random perturbation is not constant. I do not want this variance to depend on some explanatory variable, rather I have two types of observations and each of this types should have its own constant variance.

My sample is divided in two parts (I = I1 + I2). Then, ei follows a normal distribution with mean 0 and variance sigma1 if i belongs to I1 and ei follows a normal distribution with mean 0 and variance sigma2 if i belongs to I2.

I suppose this model should be estimated using GLS, but I do not know how to tell Stata that here the random perturbation variance is not constant. Any idea?

Thanks.

G




*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/




© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index