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st: RE: residuals' se after weighted least squares

From   "FEIVESON, ALAN H. (AL) (JSC-SD) (NASA)" <>
To   "''" <>
Subject   st: RE: residuals' se after weighted least squares
Date   Fri, 27 Dec 2002 14:18:28 -0600

Luca - If you're doing weighted regression, check p.89 of the Q-St manual
under -regress-. By using the "hat" option with _predict, you can get h_j,
after which s.e.(r_j)=s*sqrt(1-h_j) where s is the root residual mean
square. The "hat" option appears to work for weighted regression. However, I
haven't thoroughly checked to see if  the "hat" option really gives the
correct variance estimate of the j-th predicted value when there are
weights. HOwever, a quick comparison with unweighted and weighted regression
shows that "hat" values do indeed change when weights are used - so maybe
they're correct.

Al Feiveson

-----Original Message-----
From: Luca Mancini []
Sent: Friday, December 27, 2002 11:11 AM
Subject: st: residuals' se after weighted least squares

I need to calculate the standard errors  of the residuals (for each
observation) after weighted least squares. I noticed that the Stata
'predict stdr' option does not work in this case.   Any thoughts on how
to get round this?

Luca Mancini
Department of Economics 
University of Warwick
Phone: +39 328 09 52 193
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