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RE: st: Advanced linear regression question (non constant random perturbation variance)
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?
> 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 <firstname.lastname@example.org>
> 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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