I n d i a n a U n i v e r s i t y University Information Technology Services and SPSS Hun Myoung Park, The feasible generalized least squares Useful Stata Commands (for Stata versions 13, 14, & 15) Kenneth L.
Simons This document is updated continually. For the latest version, open it from the course disk space. This document briefly summarizes Stata commands useful in ECON4570 Econometrics Feasible Generalized Least Squares Feasible generalized least squares (FGLS) estimates the coefficients of a multiple linear regression model and their covariance matrix in the presence of nonspherical innovations with an unknown covariance matrix.
Jan 05, 2015 Learn how to eliminate the problem of heteroscedasticity by the method of generalized least squares. In STATA, Generalized Lease Square(GLS) means Weighted Least Square Population average model Using GLS xtgls Y X, i(id) corr() feasible generalized least squares Nov 19, 2015 Weighted least squares regression using SPSS SPSS General Linear Model Weighted Least Squares in practice feasible GLS Feasible Generalized Least Squares Using Machine estimators are Weighted Least Squares is known and Feasible Generalized Least Squares This function fits a linear model using generalized least squares.
The errors are allowed to be correlated andor have unequal variances. a twosided linear formula object describing the model Feasible GLS (FGLS) Instead of assuming the structure of heteroskedasticity, we may estimate the structure of heteroskedasticity from OLS.
This method is called Feasible GLS (FGLS). First, we estimate from OLS, and, second, we use insteadof. FGLS X X X y ( 1 )1 1 There are many ways to estimate FGLS. Feasible generalized least squares If the covariance of the errors is unknown, one can get a consistent estimate of, say, using an implementable version of GLS known as the feasible generalized least squares (FGLS) estimator.
b EGLS is termed the estimated generalized least squares (EGLS) or feasible generalized least squares (FGLS) estimator. It may be possible to derive a" square root" of W1, i.
e. a symmetric matrix W12 such that (W12)(W12) W1. Amani Original Message From: Stas Kolenikov Sent: 26 June 2002 09: 04 To: Subject: Re: st: Feasible Generalised Least Squares xtgls in STATA uses Feasible Generalized Least Square (FGLS) with