Hi, a question more of process than actually having a problem.
So consider that we want to use the FGLS estimator to model heteroskedasticity. As Cameron and Trivedi (2010) show this can be done with weighted least squares using aweight. The process is normally the following: estimate the homoskedastic model, predict the residuals, square the predictions, estimate the variance model using the squared of the predictions as the dependent variable, predict the variance, and use 1/variance prediction for aweight. So far so good.
I was wondering... what happens if we want to use weights in our estimation? For example, we may be using survey data that provides weights and we want to use them in our estimation. If we do all the intermediate estimations using the weights, do we need to also include the survey weights in addition of weighting to do FGLS? If so, how? I was kind of thinking that since the intermediate steps have been using the survey weights, the prediction of the variance is affected by the survey weights, and thus we may not need accommodate for the survey weights in the final estimation.
Help and thoughts would be appreciated, thanks!
Reference:
Cameron, A. Colin and Pravin K. Trivedi. 2010. Microeconometrics Using Stata. Revised ed. College Station, TX USA: Stata Press.
So consider that we want to use the FGLS estimator to model heteroskedasticity. As Cameron and Trivedi (2010) show this can be done with weighted least squares using aweight. The process is normally the following: estimate the homoskedastic model, predict the residuals, square the predictions, estimate the variance model using the squared of the predictions as the dependent variable, predict the variance, and use 1/variance prediction for aweight. So far so good.
I was wondering... what happens if we want to use weights in our estimation? For example, we may be using survey data that provides weights and we want to use them in our estimation. If we do all the intermediate estimations using the weights, do we need to also include the survey weights in addition of weighting to do FGLS? If so, how? I was kind of thinking that since the intermediate steps have been using the survey weights, the prediction of the variance is affected by the survey weights, and thus we may not need accommodate for the survey weights in the final estimation.
Help and thoughts would be appreciated, thanks!
Reference:
Cameron, A. Colin and Pravin K. Trivedi. 2010. Microeconometrics Using Stata. Revised ed. College Station, TX USA: Stata Press.
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