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Re: st: AW: Weighted Least Squares - wls0


From   Phil1899@gmx.de
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: AW: Weighted Least Squares - wls0
Date   Fri, 20 Feb 2009 14:37:48 +0100

Hi Eva,
thank you very much! Your explanation makes of course sense.
I will try WLS estimation without that command.
Best 
Phil

-------- Original-Nachricht --------
> Datum: Fri, 20 Feb 2009 13:29:40 +0000
> Von: Eva Poen <eva.poen@gmail.com>
> An: statalist@hsphsun2.harvard.edu
> Betreff: Re: st: AW: Weighted Least Squares - wls0

> 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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