Feasible Generalized Least Squares

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fnaticsk
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Joined: Wed Oct 19, 2011 5:09 pm

Feasible Generalized Least Squares

Postby fnaticsk » Wed Oct 19, 2011 5:12 pm

Hi, I can't seem to find out how to re-estimate a model using Feasible Generalized Least Squares, could someone please care to explain how it's performed? It would be greatly appreciated. Thanks!
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EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
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Joined: Tue Sep 16, 2008 5:38 pm

Re: Feasible Generalized Least Squares

Postby EViews Gareth » Wed Oct 19, 2011 5:15 pm

You'll have to be more specific - what do you mean by "re-estimate"?
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fnaticsk
Posts: 3
Joined: Wed Oct 19, 2011 5:09 pm

Re: Feasible Generalized Least Squares

Postby fnaticsk » Wed Oct 19, 2011 8:17 pm

Ummm.. I'm not sure, but basically I did a Heteroskedasticity BreuschPagan test and got the regression and now I'm supposed to transform the regression using the FGLS to get a better fit/lower standard errors of the coefficients.

Hope that made sense :?

Edit: Oh and I concluded that Heteroskedasticity was present if that helps..
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startz
Non-normality and collinearity are NOT problems!
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Joined: Wed Sep 17, 2008 2:25 pm

Re: Feasible Generalized Least Squares

Postby startz » Wed Oct 19, 2011 8:59 pm

Most likely the assignment is to use the Breusch-Pagan regression to forecast variances and then use the forecast variances as weights.
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