Dear Statalist users,
I am trying to estimate a linear regression by using
GLS procedure. I can't use the xtgls command however.
What I have is an estimated nxn matrix U (from an
earlier procedure) which is to be used as a weighting
matrix.
So my estimator has the GLS form. i.e.
B_hat=inv[X'*inv(U)*X]*X'inv(U)*y
Is there a procedure in Stata which allows me to
estimate this without having to resort to brute force
technique.
I am interested in getting the regression result with
all the information that a standard "regress" command
in stata yields. Please help me. Thanks in advance.
Thoihen
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