[R] WLS ins systemfit question

Arne Henningsen ahenningsen at agric-econ.uni-kiel.de
Wed Jul 19 18:25:39 CEST 2006

On Wednesday 19 July 2006 16:22, Benn Fine wrote:
> How does one specify the weights for WLS in the
> systemfit command ?
> That is, there is a weight option in lm(), but there
> doesn't seem to be weight option for systemfit("WLS")

WLS in systemfit means that the different _equations_ (not the observations) 
are weighted differently. The weights of the equations are taken from a 
first-step OLS regression by taking the (inverse of the) residual variances 
of each equation. Of course, this can be iterated. The WLS estimation is 
similar to SUR but in WLS all off-diagonal elements of the residual 
covariance matrix are constrained to be zero.

Best regards,

> Thanks!
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Arne Henningsen
Department of Agricultural Economics
University of Kiel
Olshausenstr. 40
D-24098 Kiel (Germany)
Tel: +49-431-880 4445
Fax: +49-431-880 1397
ahenningsen at agric-econ.uni-kiel.de

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