* Linear WLS Model for Compensation * * Keywords: * regression, weights, wls, linear, heteroskedasticity, compensation, * employment size * * Description: * We illustrate how to estimate a Linear Weighted Least Squares (WLS) Model * for Compensation and Employment Size * * Author(s): * Skif Pankov * * Source: * Damodar N. Gujarati and Dawn C. Porter, Basic Econometrics - 5th Edition * McGraw-Hill International Edition, Chapter 11, Example 11.7 (page 390) * sample 1 9 * Reading the datafile and naming variables read(data_11.7.shd) comp empl sig * Generating weights which shall later be used in the WLS regression genr w = 1/sig * Running a WLS regression of y on x, using w as weights ols comp empl / weight = w * Running an OLS regression of y on x ols comp empl stop * Note: * parameter estimates of the WLS regression will differ from those in the * book due of different levels of accuracy when applying weights