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Re: st: vwls


From   Ali Khashan <Ali.Khashan@postgrad.manchester.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: vwls
Date   Wed, 26 Sep 2007 13:44:04 +0100

Thanks Nicola,
Yes Robust estimation is fine and it gave very similar results. However, I used
vwls because I knew where the problem of non-constant variance came from and
was able to estimate the standard deviation. I do not necessarily need a
reference specific to vwls but thought it is worth asking if there were any.

Many Thanks
Ali


Quoting nicola.baldini2@unibo.it:


I have no statistical references, sorry, and I don't have access to Stata manuals. But if the problem is heteroskedasticity, can't you simple use option robust? Has your variance some clear trend (e.g. increasing with time)?
Can -wls0- from http://www.ats.ucla.edu/stat/stata/ado/analysis help? It cites the Greene's manual "Econometric Analysis" fourth edition
Nicola

At 12.25 24/09/2007 +0100, you wrote:

Thanks Nicola,

I used vwls for a birthweight model with gestational age as an explanatory
variable. One of the problems of regress was the constant variance assumption.
The variance was different for different gestational age weeks. I calculated
the standard deviation for each gestational age week and included it in the
model as suggested by stata manuals.

I have references for weighted least squares but was wondering whether there was
any references that clearly talk about vwls apart from the two references in
stata manual.

Many thanks
Ali


Quoting nicola.baldini2@unibo.it:


I have a lot of empirical papers using weighted least squares to account for heteroskedasticity. But it sounds more like -regress- with analytic weights than -vwls- (the latter is useful only in particularly rare situations, I believe, in which you'd never think about OLS), and I am not sure about what you are referring to.
Nicola

At 02.33 21/09/2007 -0400, Ali Khashan wrote:

Dear all,

I have used variance weighted least squares (vwls) instead of ordinary least
squares regression in my study. I need a reference for this method but I can't
find any papers which clearly mention it.

Are there any papers/books which clearly recommend the use of vwls in some
cases?

your help is highly appreciated

Many Thanks
Ali
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