Dear all,
I realized that WLS estimation results in gretl are different from those
in Stata
in the case when observations with weight=0 do exist.
Now, in gretl, the mechanics of the algorithm drops these observations
from the estimation process. And indeed, both Stata and gretl report the
same
number of observations (ie. observations actually involved in computing)
with gretl
giving addtional info on dropped observations.
Consequently, gretl doesn't provide postestimation values on these
dropped
observations (uhat, yhat)...but Stata does!!! And I struggle to
understand the logic
behind Stata's proceeding and how it affects the estimates...
Best,
Artur