[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]
st: Advanced linear regression question (non constant random perturbationvariance)
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?
* For searches and help try: