Re: [R] WLS ins systemfit question

From: Arne Henningsen <ahenningsen_at_agric-econ.uni-kiel.de>
Date: Thu 20 Jul 2006 - 02:25:39 EST

On Wednesday 19 July 2006 16:22, Benn Fine wrote:
> How does one specify the weights for WLS in the
> systemfit command ?
>
> That is, there is a weight option in lm(), but there
> doesn't seem to be weight option for systemfit("WLS")

WLS in systemfit means that the different _equations_ (not the observations) are weighted differently. The weights of the equations are taken from a first-step OLS regression by taking the (inverse of the) residual variances of each equation. Of course, this can be iterated. The WLS estimation is similar to SUR but in WLS all off-diagonal elements of the residual covariance matrix are constrained to be zero.

Best regards,
Arne

>
> Thanks!
>
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-- 
Arne Henningsen
Department of Agricultural Economics
University of Kiel
Olshausenstr. 40
D-24098 Kiel (Germany)
Tel: +49-431-880 4445
Fax: +49-431-880 1397
ahenningsen@agric-econ.uni-kiel.de
http://www.uni-kiel.de/agrarpol/ahenningsen/

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Received on Thu Jul 20 03:39:27 2006

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