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Re: st: Advanced linear regression question (non constant randomperturbation variance)


From   Timothy.Mak@iop.kcl.ac.uk
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Advanced linear regression question (non constant randomperturbation variance)
Date   Wed, 28 Jun 2006 13:30:40 +0100

I've asked a similar question before. I can't remember what conclusion I 
came to. But having gone through the emails I think the closest Stata 
comes to dealing with heteroscedastic regression is a program called 
-regh- . 

I think these problems are better dealt with in R or Splus... 

Tim 




Guillermo Villa <guillermo.villa@uc3m.es> 
Sent by: owner-statalist@hsphsun2.harvard.edu
28/06/2006 12:58
Please respond to
statalist@hsphsun2.harvard.edu


To
Guillermo Villa <guillermo.villa@uc3m.es>
cc
statalist@hsphsun2.harvard.edu
Subject
st: Advanced linear regression question (non constant random perturbation 
variance)






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




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