Le mer. 20 janv. 2021 à 14:35, Riccardo (Jack) Lucchetti <p002264@staff.univpm.it> a écrit :
Could you post a short example script showing the differences? Thanks.

Dear Riccardo,
Not quite sure if this is what you asked for but here I am.

<hansl>
open greene12_1.gdt
list lx = const income ownrent selfemp
# some arbitrary weights
set seed 100
w = abs(normal(0,1))
wls w expend lx
# some arbitrary 0 weights
w0=w
w0[5]=0
w0[10]=0
w0[20]=0

wls w0 expend lx
series uhat=$uhat
series yhat=$yhat
smpl w0==0 --restrict 
print expend w0 yhat uhat --byobs
</hansl>

Then, I exported the same data file to stata and executed the respective Stata commands which provides the output below (to compare bay analogy, with gretl's. 
Hope it helps, 
Best,
Artur

. use "/Users/user/Desktop/greene12_1.dta", clear
(Written by gretl 2021a)

. reg expend income ownrent selfemp [aw=w]
(sum of wgt is   8.2284e+01)

      Source |       SS       df       MS              Number of obs =     100
-------------+------------------------------           F(  3,    96) =    5.65
       Model |  949877.544     3  316625.848           Prob > F      =  0.0013
    Residual |  5382083.03    96  56063.3649           R-squared     =  0.1500
-------------+------------------------------           Adj R-squared =  0.1235
       Total |  6331960.58    99  63959.1977           Root MSE      =  236.78

------------------------------------------------------------------------------
      expend |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
      income |   35.13955   14.01452     2.51   0.014     7.320954    62.95814
     ownrent |   114.1856   52.52346     2.17   0.032     9.927328    218.4438
     selfemp |   11.53469   110.0354     0.10   0.917    -206.8838    229.9532
       _cons |   8.651678   52.43104     0.17   0.869    -95.42311    112.7265
------------------------------------------------------------------------------

. reg expend income ownrent selfemp [aw=w0]
(sum of wgt is   7.9537e+01)

      Source |       SS       df       MS              Number of obs =      97
-------------+------------------------------           F(  3,    93) =    4.25
       Model |  734603.026     3  244867.675           Prob > F      =  0.0074
    Residual |  5361805.11    93  57653.8184           R-squared     =  0.1205
-------------+------------------------------           Adj R-squared =  0.0921
       Total |  6096408.14    96  63504.2515           Root MSE      =  240.11

------------------------------------------------------------------------------
      expend |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
      income |   32.59137   15.52483     2.10   0.038     1.762137    63.42059
     ownrent |   109.6996   53.48384     2.05   0.043     3.491276    215.9079
     selfemp |   16.04231   112.8278     0.14   0.887    -208.0113    240.0959
       _cons |   20.00571    56.5598     0.35   0.724    -92.31083    132.3223
------------------------------------------------------------------------------

. quietly predict double yhat
. quietly predict double uhat, resid

. list expend w0 yhat uhat if w0==0

     +--------------------------------------+
     | expend   w0        yhat         uhat |
     |--------------------------------------|
  5. |  546.5    0   448.77476    97.725243 |
 10. |  52.58    0   124.29808    -71.71808 |
 20. |      0     0   130.81635   -130.81635 |
     +--------------------------------------+