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Re: st: AW: Weighted Least Squares - wls0


From   Eva Poen <eva.poen@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: AW: Weighted Least Squares - wls0
Date   Fri, 20 Feb 2009 13:29:40 +0000

Further on this:

The crucial line in the ado appears to be

generate _wls_wgt = 1/(`p1')

where `p1' is the linear prediction from an auxiliary linear
regression (which may, of course, be negative, depending on the data).
This applies to weight types abse and e2. I don't know if this
calculation corresponds to what one can find in textbooks (I haven't
checked).

In addition to this, it seems that -wls0- is a little sloppy with
handling [if] and [in] conditions (they are not applied to predictions
and auxiliary regressions in the code).

It is of course possible that there is an enhanced version of -wls0-
out there, but invisible to -findit-.

Eva


2009/2/20  <Phil1899@gmx.de>:
> Hi,
>
> thanks for your answers.
>
> Nick - the reason why you cannot find it might be that I mixed up two letters in my first mail; it is wls0, and not wsl0. There should be no problem in finding it.
>
> Martin - it is exactly the same in my case, STATA drops observations when I use "e2" or "abse". But if you say that I should not be concerned about the "restriction", I am a little reliefed as I get quite nice results with respect to the fitted values vs. residual plot in case of e2.
>
> If someone knows the reason behind this restriction, I would still be very interested in learning about it.
>
> Best
>
> Phil
>
>
> -------- Original-Nachricht --------
>> Datum: Fri, 20 Feb 2009 13:48:06 +0100
>> Von: "Martin Weiss" <martin.weiss1@gmx.de>
>> An: statalist@hsphsun2.harvard.edu
>> Betreff: st: AW: Weighted Least Squares - wls0
>
>>
>> <>
>>
>> Phil, although I do have a hard time telling why Stata uses less variables
>> for certain wls types here, you should not say that they have been
>> dropped.
>> That would be cause for concern indeed. Instead, Stata simply restricts
>> the
>> estimation sample, just as it would if you passed it the -if- qualifier.
>> It
>> does that for "abse" and "e2" in my example...
>>
>>
>> *****
>> use http://www.ats.ucla.edu/stat/stata/ado/analysis/hetdata, clear
>> foreach type in abse absen e2 loge2 xb2{
>> wls0 exp age ownrent income incomesq, wvar(income incomesq) type(`type')
>> }
>> *****
>>
>>
>>
>> HTH
>> Martin
>>
>>
>> -----Ursprüngliche Nachricht-----
>> Von: owner-statalist@hsphsun2.harvard.edu
>> [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von
>> Phil1899@gmx.de
>> Gesendet: Freitag, 20. Februar 2009 12:30
>> An: statalist@hsphsun2.harvard.edu
>> Betreff: st: Weighted Least Squares - wls0
>>
>> Dear Statlist,
>>
>> I have a problem with weighted least squares where I cannot find a
>> solution
>> to. I use the wsl0 command to obtain the results; however, there are two
>> things I am confused about:
>>
>> First, for some reason STATA drops observations when I use certain weight
>> types. STATA does not give any documentation about this; however, the
>> number
>> of observations is significantly lower according to the output table. Does
>> anybody has an idea why STATA does that?
>>
>> Second, when I use squared fitted values (xb2) as weighting type, I get
>> the
>> same fitted value vs. residual plot independent of the variable(s) I
>> weight
>> proportionally to. Is this normal?
>>
>> I would appreciate any help,
>>
>> Best regards
>>
>> Phil
>>
>> --
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>>
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>
> --
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> *
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>

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