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Re: st: vwls
Ali Khashan <Ali.Khashan@postgrad.manchester.ac.uk>
Re: st: vwls
Wed, 26 Sep 2007 13:44:04 +0100
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.
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
At 12.25 24/09/2007 +0100, you wrote:
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
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.
At 02.33 21/09/2007 -0400, Ali Khashan wrote:
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
your help is highly appreciated