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st: FGLS


From   Michael Musyoka <pmusyokastata@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: FGLS
Date   Sun, 19 Jun 2011 11:49:25 -0700 (PDT)

Hi all,

When I run a LA/AIDS with the SUREG command in stata without specifying ISURE, 
is the covariance matrix of the two step estimates  
heteroskedasticity-consistent in line with  the two-step approach of Shonkwiler 
and Yen (1999) and Su and Yen,  (2000) in accounting for zero budget shares in 
demand analysis. Simply is it a True FGLS?

Kindly

Philliph Michael
PhD-Student
Uni Giessen-Germany
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