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Re: st: question about Weighted Least Square(WLS)


From   Wu Zhang <wuzhang50@yahoo.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: question about Weighted Least Square(WLS)
Date   Tue, 2 Apr 2013 17:28:05 -0700 (PDT)

Hi Rich,

  That really helps. Thank you very much!
 By the way,  I could run the WLS as the GLS like this:
 gen xstar=x/sqrt(exp(v))
 gen ystar=y/sqrt(exp(v))
 reg ystar xstar

So the parameter estimates should be the same as  method 1 and 2, right? But in my case, they are different.

P.S.: 
> 1.  regress y x [aweight = 1/exp(v)]
> 
> 2. vwls y x , sd(sqrt(exp(v)))

I am very confused .

Thanks again,

Wu 


________________________________
 From: Richard Goldstein <richgold@ix.netcom.com>
To: statalist@hsphsun2.harvard.edu 
Sent: Tuesday, April 2, 2013 4:16 PM
Subject: Re: st: question about  Weighted Least Square(WLS)
 
this is discussed, briefly, on pp. 2305-2306 of [R] vwls

Rich

On 4/2/13 4:01 PM, Wu Zhang wrote:
> 
> Hi folks,
> 
>    I run two versions of WLS:
> 
> 1.  regress y x [aweight = 1/exp(v)]
> 
> 2. vwls y x , sd(sqrt(exp(v)))
> 
> The estimates of parameters are exactly the same, while the standard errors are totally different: the ratio of the two standard errors for each estimate is a constant. Could someone explain how those result would happen?
> 
> Thanks,
> 
> Wu 
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