I have a lot of empirical papers using weighted least squares to account for heteroskedasticity. But it sounds more like -regress- with analytic weights than -vwls- (the latter is useful only in particularly rare situations, I believe, in which you'd never think about OLS), and I am not sure about what you are referring to.
Nicola
At 02.33 21/09/2007 -0400, Ali Khashan wrote:
>Dear all,
>
>I have used variance weighted least squares (vwls) instead of ordinary least
>squares regression in my study. I need a reference for this method but I can't
>find any papers which clearly mention it.
>
>Are there any papers/books which clearly recommend the use of vwls in some
>cases?
>
>your help is highly appreciated
>
>Many Thanks
>Ali
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