cross sectional weights

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kazmi89
Posts: 14
Joined: Thu Sep 11, 2014 4:07 pm

cross sectional weights

Postby kazmi89 » Thu Feb 12, 2015 5:47 pm

i am working on panel data using fixed effect model, i want to know that how eviews estimate the GLS cross sectional weights in panel data? can you please tell me the method of it along with the formula
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EViews Glenn
EViews Developer
Posts: 2682
Joined: Wed Oct 15, 2008 9:17 am

Re: cross sectional weights

Postby EViews Glenn » Thu Feb 12, 2015 7:02 pm

As described in the manual, we perform preliminary estimation to obtain residuals. We then compute the variances of these residuals by taking the average of the sum of squares for each cross-section. The data are then weighted by the inverse of the roots of these variances.
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