st: Advanced linear regression question (non constant random perturbationvariance)

[Guillermo Villa <guillermo.villa@uc3m.es>]

Dear statalisters,

I want to estimate a linear regression in which the variance of the 
random perturbation is not constant. I do not want this variance to 
depend on some explanatory variable, rather I have two types of 
observations and each of this types should have its own constant variance.

My sample is divided in two parts (I = I1 + I2). Then, ei follows a 
normal distribution with mean 0 and variance sigma1 if i belongs to I1 
and ei follows a normal distribution with mean 0 and variance sigma2 if 
i belongs to I2.

I suppose this model should be estimated using GLS, but I do not know 
how to tell Stata that here the random perturbation variance is not 
constant. Any idea?

Thanks.

G




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