[Gretl-users] Re: How could ESS data be weighted in Gretl software package?
On Thu, 21 Jul 2022, elfsog(a)yahoo.gr wrote:
The problem is that I won't do simple OLS estimations but 2SLS...
[...]
I cannot do something similar in Gretl, which has a more powerful
routine for 2SLS relative to SPSS....
It wouldn't be difficult to write a Hansl script to achieve this: once the
cross-product matrices are computed, the rest is simple algebra.
However, from a purely statistical point of view, the benefits of
weighting are not at all obvious. In fact, in some cases, weighting could
be even detrimental for efficiency. See eg
https://www.oecd.org/skills/piaac/events/Item_10_Jeffrey_Wooldridge.pdf
This IMO explains why weighted linear models are not particularly popular
in econometrics, outside certain special cases.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------