Dear all,
I'm trying to run a weighted least squares regression, weighting by
the variance of the error term using grouped data. I found that there
is a program wls0 that run this procedure, and it has an option w( .)
to indicate the weighting variable. I was wondering if in my case I
need to estimate first the variance of the residual of this regression
and then run the wls0 procedure.
Yj = b0*Xj + ej ; where j indicates the group.
Thank you.
Lina.
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