I am running something like

The manual for regression postestimation says:

and goes on to adjust the hat-values by the normalized weight. Does anybody know why this is necessary? That is,

Has anybody looked at the issue? Can Stata Corp. please comment?

Code:

sysuse auto, clear reg mpg price foreign [aw=length] predict hat, hat

After analytically weighted estimation, predict is willing to calculate only the prediction (no

options), residual (residual option), standard error of the prediction (stdp option), and diagonal

elements of the projection matrix (hat option). Moreover, the results produced by hat need to

be adjusted, as will be described.

options), residual (residual option), standard error of the prediction (stdp option), and diagonal

elements of the projection matrix (hat option). Moreover, the results produced by hat need to

be adjusted, as will be described.

- What is it exactly that
**predict, hat**produces here? - What is the correction that is being offered?

Has anybody looked at the issue? Can Stata Corp. please comment?

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