Hi, Does anyone have experiences to run the Feasible GLS model in gretl? Especially, 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? Thanks Yi-Nung Yang Chair and Associate Professor Dept. of International Trade, CYCU, Taiwan.