st: FGLS Estimation

[Stefan <stefan@gravemeyer.de>]

Hello,

I am trying to do a three step FGLS estimation with Stata but run into 
some problems maybe someone has a good idea.
I start with an ordinary OLS regression and then regress the residuals 
on the same right hand side variables.
Then I have adjust the right and left hand side variables as well as the 
residuals by the predicted values of the right hand side variable y.
Here is my problem:
I did not find a way to adjust the residuals for the regression by my 
predicted weights.

This is the transformation I would like to do:
y/weight=X/weight * ß + e/weight

Adjusting the variables is no problem.  I simply use egen to generate 
new ones.
(using aweights does not work since I can not simply square my predicted 
value weight to fit the sqrt(weight)*y formula used by aweights, maybe 
there is exists an easier way here too?)
But I simply do not know how to transform the residuals for my next step 
regression.

Thanks in advance

Stefan


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