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 <[email protected]>
Sent by: [email protected]
28/06/2006 12:58
Please respond to
[email protected]
To
Guillermo Villa <[email protected]>
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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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