Extract Panel GLS Weights

[rdwest]

Hi,

I am working with panel data, using cross-sectional GLS weights in a least squares regression.

I know that the option "keepwgts" stores the vector of weights, but I can't figure out how to extract these values from the equation object.

Thank you,
Rachel

[Simon_Banbury]

Hi - Did you ever find a way around this. Got the same problem at the moment.
Simon

[EViews Glenn]

There's currently no function to expose those weights. The easiest thing to do is to estimate the model without GLS weights, save the residuals, then compute the variances by cross-section using the @varsby function. It's quite straightforward.