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What are the characteristics of the weighting matrix? Is W diagonal? Weighting matrix W should be a block diagonal. It is a block matrix which is a square matrix, and having main diagonal blocks square matrices, such that the off-diagonal blocks are zero matrices. Or it shoud be any block square ma...

Could you pleace comment prohibition of using WLS with ARMA specification. Eviews 7 Help says: "You shold note that weighted estimation is not offered in equations containing ARMA specifications..." At the same time Eviews enables to estimate pool model with AR terms and Weights (for insta...

Thank you for your assistance!

Thank you for your answer! Could you please clarify another one aspect of DWstat for panel data. I am confused with terms which contain resids from different cross-sections. Namely term.PNG How can we interpret such term? I was not able to find buckground for this. In particular Alok Bhargava [1982]...

Dear experts,

I have found out that Eviews 7 shows different DW stat if I include some NA values to the end of the sample. This modification does not change estimation results except DW stat.
Screen shots show data and estimations results.

Thanks!

Thank you for your answer. I understand meaning.

I've attached the picture with models estimates to explain my previous post

Could you please help me. What is the reason for Mean dependent variable to have different value for the same models. We can estimate simple panel model ( Cross-section = None ) with GLS Weights = Cross-Section weights as ordinary linear regression (with weights) by rearranging factors and dependent...