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GLS or WLS
Posted: Sat Sep 08, 2012 10:55 am
by vahidestan
hi
i used OLS for a time series model then i found out the problem is heteroscedasticity so i try to estimate the model with GLS or WLS but i do not know how to do it in EViews.
also which one of the independent variables should be multiplied by the either sides of the equation to make an equation with homoscedasticitic variance?
Re: GLS or WLS
Posted: Sat Sep 08, 2012 11:07 am
by startz
In the equation Estimate tab choose options and use the Weights field.
Re: GLS or WLS
Posted: Sun Sep 09, 2012 7:08 am
by vahidestan
i had done what you have told but i do not know how to fill the fields of "TYPE" and "WEIGHT SERIES" in the window of "equation estimation>option".
"TYPE" includes variance, S.D deviation and their inverses. which one should be used?
what should be written in the box of "WEIGHT SERIES"?
Re: GLS or WLS
Posted: Sun Sep 09, 2012 7:33 am
by startz
There's no automatic answer to this question. What you do depends on your model for the heteroskedasticity.
Re: GLS or WLS
Posted: Sun Sep 09, 2012 8:00 am
by vahidestan
firstly thanks for ur responses
what i asked depends on the relationship between variance and one of the independent variables,
how can i find the relationship
for example if var= Z . X
var= variance
Z= what i need
X= one of the coefficients
then how can i gain variance to calculate Z ?
Re: GLS or WLS
Posted: Sun Sep 09, 2012 8:44 am
by startz
I'm not sure I understand what you need. But if you are saying that the variance of the errors is proportional to an independent variable Z, then choose Type variance and weight series Z.