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RE: st: Advanced linear regression question (non constant random perturbation variance)


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Advanced linear regression question (non constant random perturbation variance)
Date   Wed, 28 Jun 2006 14:12:49 +0100

It sounds as if Guillermo has a known break- or change-point. 

This sounds straightforward as a -ml- problem. 
You just need to write your short driver program. That is, 
more or less, what you need to do in R or S-Plus, 
is it not? 

Nick 
n.j.cox@durham.ac.uk 

Timothy.Mak@iop.kcl.ac.uk
 
> 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... 

Guillermo Villa <guillermo.villa@uc3m.es> 
 
> 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?

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