Did you square w to use as the weight variable in the wls command?  wtvar = w^2<br><br><div class="gmail_quote">On Wed, Apr 11, 2012 at 6:42 AM, Andreas <span dir="ltr">&lt;<a href="mailto:quasiwasi@lycos.com">quasiwasi@lycos.com</a>&gt;</span> wrote:<br>
<blockquote class="gmail_quote" style="margin:0 0 0 .8ex;border-left:1px #ccc solid;padding-left:1ex">I seem to be missunderstanding something about WLS in gretl. My understading is the WLS option from the dropdown model Menu weighs the variables with the weights series. So if I have a regression of y on a constant and x and I add a weight series w in the WLS menu, then the regression will be y*w on 1*w (the constant) and x*w. However, if I do this manually by constricting variables y*w, 1*w, x*w and then run an OLS regression on these variables I get different parameter estimates. <br>
What am I missing?<br>
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