Hi,

Not sure if this is a gretl issue or an econometric one actually.

I'm trying to come up with a script that replicates Stata's "rreg" command which is basically a robust estimation for outliers correction. It is based on an iterative WLS resulting in an optimal weight vector.

Now, for testing purposes, I'm running OLS and WLS models successively. I note that the WLS' "Statistics based on the original data" SSR and S.E of regression are slightly different from the respective OLS' output (in bold below). Should these parts of outputs be the same? 

If not, hhat is the difference coming from ?

Well, it should be the different estimators, no? If I understand the output correctly, WLS reports what's the outcome if the unweighted data are used, but the coefficient values from WLS are applied, in order to have a meaningful comparison with the OLS results. And if there were no difference, WLS wouldn't have made any difference.

cheers

sven