[Gretl-users] Re: How could ESS data be weighted in Gretl software package?

Am 22.07.2022 um 21:08 schrieb Sven Schreiber: I remembered that I have Stata on this machine, so I cross-checked with the help of your nice foreign-invoking script. If i add the --robust option to my weighted tsls variant, then I get exactly Stata's output, including the standard errors for inference (well, except the R2, as expected). So to sum up, here's an example how to do weighted IV regression in gretl: <hansl> nulldata 128 # artificial input data y = normal() x = normal() z1 = normal() z2 = normal() # artificial weighting wt = exp(normal()) # root normalized weights series w_factor = sqrt(wt / mean(wt)) # multiply to each variable (including the constant!) loop foreach i const y x z1 z2     series $i_w = w_factor * $i endloop list Xw = const_w x_w list Zw = const_w z1_w z2_w # run IV on the weighted data tsls y_w Xw ; Zw --no-tests --robust </hansl> Again, disregard the R2 and related statistics in the output. In principle this could be put in a function like Jack did with the 2-stage wls approach, then could be packaged up to also treat stuff like the variable names properly and so on. Plus perhaps calculate a correct R2. But the econometrics as such is in the few lines above. cheers sven