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st: Program for OLS regression coefficients using weights


From   "Schnepf S.V." <S.V.Schnepf@soton.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Program for OLS regression coefficients using weights
Date   Thu, 18 Jun 2009 15:17:04 +0100

Dear Statalist users,

I would need to write a programme that gives me the b coefficients of an OLS regression, using weights.
This is an easy task if no weights are used with b being (X'X)-1(X'Y):

mat accum xprimex = x
mat vecaccum yprimex = y x
*Transpose
mat xprimey =yprimex'
mat b = inv(xprimex)*(xprimey)
mat list b

However, I would like to estimate b=(X'DX)-1 X'DY, hence applying design weights.
D is now a diagonal weight matrix.

My sample size is considerably above 800 which creates problems with matsize. And I find the command matrix glsaccum rather difficult to apply.

Could anyone help?

Many thanks
Sylke V. Schnepf



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