Re: st: vwls

[Ali Khashan <Ali.Khashan@postgrad.manchester.ac.uk>]

Thanks Nicola,
Yes Robust estimation is fine and it gave very similar results. 
However, I used
vwls because I knew where the problem of non-constant variance came from and
was able to estimate the standard deviation. I do not necessarily need a
reference specific to vwls but thought it is worth asking if there were any.

Many Thanks
Ali


Quoting nicola.baldini2@unibo.it:


> I have no statistical references, sorry, and I don't have access to 
> Stata manuals. But if the problem is heteroskedasticity, can't you 
> simple use option robust? Has your variance some clear trend (e.g. 
> increasing with time)?
> Can -wls0- from http://www.ats.ucla.edu/stat/stata/ado/analysis help? 
> It  cites the Greene's manual "Econometric Analysis" fourth edition
> Nicola
>
> At 12.25 24/09/2007 +0100, you wrote:
>
> > Thanks Nicola,
> >
> > I used vwls for a birthweight model with gestational age as an explanatory
> > variable. One of the problems of regress was the constant variance 
> > assumption.
> > The variance was different for different gestational age weeks. I calculated
> > the standard deviation for each gestational age week and included it in the
> > model as suggested by stata manuals.
> >
> > I have references for weighted least squares but was wondering 
> > whether there was
> > any references that clearly talk about vwls apart from the two references in
> > stata manual.
> >
> > Many thanks
> > Ali
> >
> >
> > Quoting nicola.baldini2@unibo.it:
> >
> >
> > > 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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