Re: [Gretl-users] error with heteroscedacity function.
On Wed, 28 Apr 2010, denis joubert wrote:
Using libgretl 1.8.7, with heteroscedacity function, i got the error
:
"Weight variable is all zeros, aborting regression"
but when i add one observations it works or some observations added later it
does the same error, more observations later same it works and
so on...
The test libgretl was using for "weights all zero" was not really
appropriate: it was that the sum of squares of the weight series
equals machine zero. I've now modified this in CVS and your
example runs. (The weights are extremely small, but not literally
zero.)
However, the example is rather odd and this may explain gretl's
complaints. The auxiliary regression for hsk estimation produces a
perfect fit with the original dataset (T = 226), since you have
151 usable observations and 151 regressors (75 lags, 75 squares of
lags, plus constant). Adding another observation gives one degree
of freedom to the auxiliary regression, which seems to help
matters.
Allin Cottrell