[Gretl-users] Re: How could ESS data be weighted in Gretl software package?
Am 22.07.2022 um 11:50 schrieb Riccardo (Jack) Lucchetti:
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.
Isn't it even simpler than that? I mean, if you have a known weighting
factor you multiply that with the relevant series to get a weighted
result, and from there you can go on as you usually would. Of course
there's a manual pre-step involved and so it isn't quite as handy as if
there were a specialized setting available, OK. But no need for special
scripting, or am I missing something?
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
True.
cheers
sven