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st: Weighted Least Squares - wls0

Subject   st: Weighted Least Squares - wls0
Date   Fri, 20 Feb 2009 12:29:42 +0100

Dear Statlist,

I have a problem with weighted least squares where I cannot find a solution to. I use the wsl0 command to obtain the results; however, there are two things I am confused about:

First, for some reason STATA drops observations when I use certain weight types. STATA does not give any documentation about this; however, the number of observations is significantly lower according to the output table. Does anybody has an idea why STATA does that?

Second, when I use squared fitted values (xb2) as weighting type, I get the same fitted value vs. residual plot independent of the variable(s) I weight proportionally to. Is this normal?

I would appreciate any help,

Best regards


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