[Gretl-users] Re: FGLS/WLS estimation
On Mon, 24 Jun 2019, javier.garcia(a)ehu.es wrote:
OK, thanks a lot. But... which is the motivation of this approach?
Why a "standard" version of the TSS is not given as the one you
obtain if the regression is run "by hand"?
I think we're talking about WLS here, and the fact that gretl (as R)
uses the "weighted TSS" when computing certain auxiliary statistics.
I don't wish to claim this method is uniquely correct, but it
clearly makes some sense. In the WLS regression the "constant" is
not actually constant, and for the purpose of testing the overall
specification the null model arguably should not include a true
constant either, but rather the non-constant weighted transformation
of a sequence of 1s. That's just what using the "weighted TSS"
achieves.
Allin