Hi folks, In trying to answer questions from some of my students, I did the following (using the data set "food.gdt" from Hill et al): 1) define x1 = 1/x 2) wls x1 y 0 x, save residuals uhat1 3) define ystar = y/sqrt(x), cstar = 1/sqrt(x), xstar = x/sqrt(x) (ie, wls "by hand") 4) ols ystar cstar xstar, save residuals uhat2 (I actually used the gui, but replicated this with the console)
I was surprised to find that uhat1 and uhat2 are different, even though the coefficient estimates are exactly the same. In fact, uhat2 = cstar*uhat1. Is this intended? Thanks! PS =============================== Dr. Peter Summers Assistant Professor Department of Economics Texas Tech University ===============================
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Hi folks, In trying to answer questions from some of my students, I did
the following (using the data set “food.gdt” from Hill et al): 1) define x1 =
1/x 2) wls x1 y 0
x, save residuals uhat1 3) define ystar
= y/sqrt(x), cstar = 1/sqrt(x), xstar = x/sqrt(x) (ie, wls “by hand”) 4) ols ystar cstar
xstar, save residuals uhat2 (I actually used the gui, but replicated this with the
console) I was surprised to find that uhat1 and uhat2 are
different, even though the coefficient estimates are exactly the same. In fact,
uhat2 = cstar*uhat1. Is this intended? Thanks! PS =============================== Dr. Peter Summers Assistant Professor Department of Economics =============================== |
