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st: quasi-GLS


From   Wu Zhang <wuzhang50@yahoo.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: quasi-GLS
Date   Tue, 2 Apr 2013 10:15:26 -0700 (PDT)



Hi, folks,

    I would like to do the following GLS for a cross sectional data: y=beta*x+e


1. I assume the covariance matrix of the error term, e, is omg is exchangeable with parameter rou up to order of 500;

2. Use the omg matrix to do GLS; since both beta and rou are unknow, this is not the usual GLS, I call it "quasi-GLS"

Could someone give me some help about how to implement it in STATA?

Thanks,

Wu 



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