[Gretl-users] Re: gretl vs Stata: different WLS estimates for weights=0
Le mer. 20 janv. 2021 à 15:05, Sven Schreiber <svetosch(a)gmx.net> a écrit :
Am 20.01.2021 um 14:26 schrieb Artur Bala:
I don't know what Stata does there (although I suspect it is documented),
Yes, sure. To be frank I haven't researched this yet as I was surprised by
the difference. I mean, the user does not necessarily need to be aware of
the technical details and for such a "classical" model as WLS, he/she
expects the same result from different software I think.
but in principle it seems easy enough to compute a fitted value yhat
even
for any obs (y-X-constellation) which wasn't part of the estimation sample.
I mean that's what we do for prediction, no? Does a (static) "fcast" work
there in gretl?
That's right too. My point is that I'm trying to replicate an iterative
WLS
algorithm for outliers correction first implemented in Stata. And if Stata
and gretl mak different treatments for weight 0 I wonder if I should
adjust the algorithm in order to come up with the same results as Stata -
and then need to scrutinize how Stata deals with it - or prefer the way
gretl handles the problem - as I'm doing currenlty, even if the results
will be different.
Best,
Artur
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