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st: quasi-GLS
From
Wu Zhang <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: quasi-GLS
Date
Tue, 2 Apr 2013 10:15:26 -0700 (PDT)
Hi, folks,
I would like to do the following GLS for a cross sectional data: y=beta*x+e
1. I assume the covariance matrix of the error term, e, is omg is exchangeable with parameter rou up to order of 500;
2. Use the omg matrix to do GLS; since both beta and rou are unknow, this is not the usual GLS, I call it "quasi-GLS"
Could someone give me some help about how to implement it in STATA?
Thanks,
Wu
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