Re: [Gretl-users] About estimating the Feasible GLS model
On Wed, 22 Dec 2010, yinung at Gmail wrote:
I cannot replicate the FGLS estimation results as shown in
Example 8.7 (demand for cigarettes) of Wooldridge's
"Introductory Econometrics" (I am using the 3rd edition, on page
293-294).
I use the default FGLS function under the the main menu
\Model\Other linear models\Heteroscedasticity corrected. with
the datafile as attached. Or run the following script command
hsk cigs const lincome cigpric educ age agesq restaurn
The result is different from the one in Wooldridge's textbook.
Do I use the wrong model?
Probably not, if what you want is WLS to take into account
estimated heteroskedasticity. However, you should read the help
for "hsk" carefully to see what gretl is doing. I don't have
Wooldridge's text to hand, but maybe he's not using a log
transformation for the squared residuals in the auxiliary
regression, as gretl does?
Allin Cottrell