help for regwls ()

Title

regwls - Estimates Weighted Least Squares, making use of the wls0 and areg command, incorporating support for factor variables and the possibility to absorb one fixed effect variable.

Syntax

regwls depvar indepvars [if] [in], wvar(varlist) type(wlstype) [noconst robust hc2 hc3 graph Absorb(varname]

Description

This command incorporates support for factor variables for the command wls0.
It also allows for the absorbtion of one fixed effects using the algorithm of the command areg.
This is particularly useful when in the need of running a Weighted-Least Squares (WLS) model that requires a large number of dummy variables.

Options

wvar(varlist): Variables in the weightling equation.

type(wlstype): The wls type. The choices are:
abse - absolute value of residual
e2 - residual squared
loge2 - log residual squared
xb2 - fitted value squared

noconst: do not include a constant in the weighting equation.

robust: using robust standard errors in the final regression.

graph: plots the wls residuals vs fitted.

absorb(varname): categorical variable to be absorbed

Author

Dany Bahar, Harvard University

Email: dbaharc@gmail.com

Comments welcome!

Acknowledgements

This program uses the code of wls0 and makes use of the areg command when required.

Also see

wls0 (if installed), areg