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Great - just to clarify... There is new functionality in version 8 that will allow me to apply a weighting series to the system object? Or at least to set the system object to minimize a weighted SSR? I'm not entirely sure what you mean by 'just going directly at the ssr'. Does this require the Logl...

Turns out this is still a problem after all this time. The solution you suggested doesn't really work. We now typically use the system object to evaluate our regional models, but they are still limited in that you can't specifiy a weight/ or size series to weight the coefficient estimates by. I see ...

Hi, You know how you can apply a weight series to an OLS time series regression (Estimate>Options>Weights>Select Type> select the series to weight your regression by)? Well, I would like to do something very similar to that only in a panel model (2 way FE). I don't see an obvious way to do this and ...