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st: GLS in STATA

From   Rijo John <[email protected]>
To   Statalist <[email protected]>
Subject   st: GLS in STATA
Date   Tue, 29 Jun 2004 18:01:12 +0530 (IST)

Dear Stata users,

 Is there a simple way to do Generalised Least squares in STATA?
The robust option along with the _regress_ is not equivallant to doing a
GLS right? So appart from doing GLS as below is there a simple command
which does the job?

regress depvar x1.... xk
predict e, residual
generate esq = e^ 2
regress esq x1.... xk
predict v
regress depvar x1.... xk [aweight = 1/v]

[This is a feasible GLS estimation or feasible weighted least sqares

Thanks in advance,
Rijo John.

Rijo.M.John,Research Scholar
Indira Gandhi Institute of Developement Research,
Film City Road, Goregaon East,
Mumbai, India-400065.
contact: (+91)9892412476

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