EViews.com

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

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

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.