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| From | Bob Reed <bob.reed@canterbury.ac.nz> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| Subject | st: RE: FGLS vs. OLS |
| Date | Tue, 16 Jul 2013 16:03:28 +0000 |
Hi Jordan, OLS and GLS estimators will produce different estimates. The formulae are different, as you can check by referring to most econometrics textbooks. W. Robert Reed Professor Department of Economics and Finance University of Canterbury Private Bag 4800 Christchurch New Zealand Phone: +64-3-3642846 Fax: +64-3-3642635 Email: bobreednz@yahoo.com Homepage: http://www.econ.canterbury.ac.nz/personal_pages/bob_reed/ Replications Co-Editor, Public Finance Review http://www.sagepub.com/journalsProdEditBoards.nav?prodId=Journal200768 Editor, ISRN Economics http://www.isrn.com/journals/economics/editors/ ________________________________________ From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] on behalf of Jordan Silberman [silberman.stata@gmail.com] Sent: Wednesday, 17 July 2013 3:50 a.m. To: statalist@hsphsun2.harvard.edu Subject: st: FGLS vs. OLS Can anyone tell me if it's correct that coefficients computed from an OLS regression should be equal to those computed from feasible generalized least squares (FGLS) estimation, while standard errors and p values should differ across the 2 methods? I'm interested in comparing a single linear model across the 2 methods, so there's no "seemingly unrelated regression." Thanks, Jordan * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/ This email may be confidential and subject to legal privilege, it may not reflect the views of the University of Canterbury, and it is not guaranteed to be virus free. If you are not an intended recipient, please notify the sender immediately and erase all copies of the message and any attachments. Please refer to http://www.canterbury.ac.nz/emaildisclaimer for more information. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/