Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: FGLS vs. OLS


From   Jordan Silberman <[email protected]>
To   [email protected]
Subject   st: FGLS vs. OLS
Date   Tue, 16 Jul 2013 11:50:17 -0400

Can anyone tell me if it's correct that coefficients computed from an
OLS regression should be equal to those computed from feasible
generalized least squares (FGLS) estimation, while standard errors and
p values should differ across the 2 methods? I'm interested in
comparing a single linear model across the 2 methods, so there's no
"seemingly unrelated regression." Thanks, Jordan
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/faqs/resources/statalist-faq/
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index