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st: FGLS Estimation

From   Stefan <>
Subject   st: FGLS Estimation
Date   Wed, 09 Jun 2010 15:21:25 +0200


I am trying to do a three step FGLS estimation with Stata but run into some problems maybe someone has a good idea. I start with an ordinary OLS regression and then regress the residuals on the same right hand side variables. Then I have adjust the right and left hand side variables as well as the residuals by the predicted values of the right hand side variable y.
Here is my problem:
I did not find a way to adjust the residuals for the regression by my predicted weights.

This is the transformation I would like to do:
y/weight=X/weight * ß + e/weight

Adjusting the variables is no problem. I simply use egen to generate new ones. (using aweights does not work since I can not simply square my predicted value weight to fit the sqrt(weight)*y formula used by aweights, maybe there is exists an easier way here too?) But I simply do not know how to transform the residuals for my next step regression.

Thanks in advance


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