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st: FGNLS estimator
From
Jordan Silberman <[email protected]>
To
[email protected]
Subject
st: FGNLS estimator
Date
Sat, 19 Jan 2013 00:13:22 -0500
Hi Statalist,
Question regarding the feasible generalized nonlinear least squares
(FGNLS) estimator used for the nlsur command. It's been recommended in
some cases that a linear version of this estimator (FGLS) be used to
address heteroskedasticity in some cases. I would like to instead use
the FGNLS. Can anyone tell me if the FGNLS, like the FGLS, is robust
to heteroskedasticity? I strongly suspect that it is, but I want to
make sure.
Thanks,
Jordan
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