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st: About weighted least squares for grouped data


From   Lina C <linacs81@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: About weighted least squares for grouped data
Date   Fri, 8 Jul 2011 14:05:22 +0100

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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