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Hello,

I'd like to account for possible heteroskedasticity in my series when I calculate correlation coefficients. There is a 'wgtmethod' option in the 'cor' 'interactive use command'. My question would be what is this option? Is it a kind of GLS option? How can be activated this option?

When I'd like to apply it to a group, it does not work.
For instance let grp be a group for which I'd like to calculate a correlation matrix. If I try grp.cor(wgtmethod="stdev"), it calculates the ordinary correlation matrix. I've also tried without "", the result is the same.

Could you help me?
Thank you.
Best,
Peter

The weights are row-wise (observation weights). You need to supply a weight series. The weight-method corresponds to the coding of the weight series. The option that you specified indicates that the weights are the standard-deviations of the observation. The correlations will then be computed using the appropriate transformation to heterogeneity (in this case dividing the series by the weights).