On Wed, 22 Dec 2010, yinung at Gmail wrote: > I cannot replicate the FGLS estimation results as shown in > Example 8.7 (demand for cigarettes) of Wooldridge's > "Introductory Econometrics" (I am using the 3rd edition, on page > 293-294). > > I use the default FGLS function under the the main menu > \Model\Other linear models\Heteroscedasticity corrected. with > the datafile as attached. Or run the following script command > > hsk cigs const lincome cigpric educ age agesq restaurn > > The result is different from the one in Wooldridge's textbook. > Do I use the wrong model? Probably not, if what you want is WLS to take into account estimated heteroskedasticity. However, you should read the help for "hsk" carefully to see what gretl is doing. I don't have Wooldridge's text to hand, but maybe he's not using a log transformation for the squared residuals in the auxiliary regression, as gretl does? Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users