[moved to gretl-devel]
I don't remember if there was a discussion on this (Jack's wiki?), but
maybe 'hsk' is a candidate for deprecation, in favor of 'ols .. --hsk'
or something like that?
Haven't thought this through, but it strikes me as quite special to have
its own command.
Am 22.12.2010 13:42, schrieb Allin Cottrell:
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
> 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?
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