From smarkus@fas.harvard.edu Sun Mar 30 01:46:56 2003
From: smarkus@fas.harvard.edu
To: gov2001@lists.gking.harvard.edu
Subject: [gov2001-l] Feasible Generalized Least Squares
Date: Sat, 29 Mar 2003 20:46:56 -0500
Message-ID: <001401c2f65e$3edaa370$9369f78c@stanman>
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can somebody, please, explain what a "Feasible Generalized Least
Squares" regression is..? how does one make it happen in R...?
thanks!
****************************
Stanislav Markus
Ph.D. Candidate
Harvard University
Department of Government
e: smarkus(a)fas.harvard.edu
t: 617.513.5407
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can =
somebody,=20
please, explain what a "Feasible Generalized Least Squares" regression =
is..? how=20
does one make it happen in R...?
thanks!
****************************
Stanislav=20
Markus
Ph.D. Candidate
Harvard University
Department of=20
Government
e: smarkus(a)fas.harvard.edu
t:=
=20
617.513.5407
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From kimai@fas.harvard.edu Sun Mar 30 14:01:29 2003
From: kimai@fas.harvard.edu
To: gov2001@lists.gking.harvard.edu
Subject: [gov2001-l] Feasible Generalized Least Squares
Date: Sun, 30 Mar 2003 09:01:29 -0500
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If I remember correctly, FGLS is something like:
1. Run OLS
2. calculate residual variances
3. use these variances as weights and run weighted least squares.
Take a look at any econometrics textbook, you should be able to find it
out.
Kosuke
On Sun, 30 Mar 2003, Gary King wrote:
>
> a special case of this is weighted least squares. but there are other
> special cases. it depends on what exactly you want to do.
> Gary
>
> On Sat, 29 Mar 2003, Stanislav Markus wrote:
>
> > can somebody, please, explain what a "Feasible Generalized Least
> > Squares" regression is..? how does one make it happen in R...?
> >
> > thanks!
> >
> >
> > ****************************
> >
> > Stanislav Markus
> > Ph.D. Candidate
> >
> > Harvard University
> > Department of Government
> >
> > e: smarkus(a)fas.harvard.edu
> > t: 617.513.5407
> >
> >
> >
>
> _______________________________________________
> gov2001-l mailing list
> gov2001-l(a)fas.harvard.edu
> http://www.fas.harvard.edu/mailman/listinfo/gov2001-l
>
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From smarkus@fas.harvard.edu Sun Mar 30 23:14:13 2003
From: smarkus@fas.harvard.edu
To: gov2001@lists.gking.harvard.edu
Subject: [gov2001-l] Feasible Generalized Least Squares
Date: Sun, 30 Mar 2003 18:14:13 -0500
Message-ID: <004f01c2f712$13c19180$9369f78c@stanman>
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We are trying to replicate the results of a pooled regression which is
described as:
"Feasible Generalized Least Squares regressions run with Stata 6.0;
corrected for first-order autocorrelation using panel-specific process.
Each regression is run with dummy variables for every year (but one)
covered by the data."
We've been able to get very close results with Stata, but I'd like to
know how to do it in R as well..
Also, I'm not clear (a) what panel-specific process is, and (b) why
excluding one year "mitigates autocorrelation"? Does it matter which
year is excluded?
Thank you,
Stan
****************************
Stanislav Markus
Ph.D. Candidate
Harvard University
Department of Government
e: smarkus(a)fas.harvard.edu
t: 617.513.5407
-----Original Message-----
From: gov2001-l-admin(a)fas.harvard.edu
[mailto:gov2001-l-admin(a)fas.harvard.edu] On Behalf Of Gary King
Sent: Sunday, March 30, 2003 12:06 AM
To: Stanislav Markus
Cc: gov2001-l(a)fas.harvard.edu
Subject: Re: [gov2001-l] Feasible Generalized Least Squares
a special case of this is weighted least squares. but there are other
special cases. it depends on what exactly you want to do.
Gary
On Sat, 29 Mar 2003, Stanislav Markus wrote:
> can somebody, please, explain what a "Feasible Generalized Least
> Squares" regression is..? how does one make it happen in R...?
>
> thanks!
>
>
> ****************************
>
> Stanislav Markus
> Ph.D. Candidate
>
> Harvard University
> Department of Government
>
> e: smarkus(a)fas.harvard.edu
> t: 617.513.5407
>
>
>
_______________________________________________
gov2001-l mailing list
gov2001-l(a)fas.harvard.edu
http://www.fas.harvard.edu/mailman/listinfo/gov2001-l
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From kimai@fas.harvard.edu Sun Mar 30 23:34:11 2003
From: kimai@fas.harvard.edu
To: gov2001@lists.gking.harvard.edu
Subject: [gov2001-l] Feasible Generalized Least Squares
Date: Sun, 30 Mar 2003 18:34:11 -0500
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In-Reply-To: <004f01c2f712$13c19180$9369f78c@stanman>
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FGLS is a way to get around the heteroskedasticity in least squares. I
don't have any book with me right now (you need to take a look at any
econometrics textbook to get exact procedures). Basically FGLS is done
with the following 3 steps. In the first step, you run least squares and
get residuals. In the second step, you calculate, in this case, the first
order autocovariances of the residuals. In the final step, you use these
estimated autocovariances and run least squares. It should be
straightforward to do this in R.
> Also, I'm not clear (a) what panel-specific process is, and (b) why
> excluding one year "mitigates autocorrelation"? Does it matter which
> year is excluded?
(a) they are referring to the fact that there might be unobserved effects
specific to countries or individuals (whatever your units are).
(b) you can't include all the year dummy variables if you have an
intercept. so it doesn't matter which year is excluded.
Kosuke
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From king@harvard.edu Tue Feb 9 22:42:04 2021
From: Gary King
To: gov2001@lists.gking.harvard.edu
Subject: [gov2001-l] Feasible Generalized Least Squares
Date: Sun, 30 Mar 2003 00:05:40 -0500
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In-Reply-To: <001401c2f65e$3edaa370$9369f78c@stanman>
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a special case of this is weighted least squares. but there are other
special cases. it depends on what exactly you want to do.
Gary
On Sat, 29 Mar 2003, Stanislav Markus wrote:
> can somebody, please, explain what a "Feasible Generalized Least
> Squares" regression is..? how does one make it happen in R...?
>
> thanks!
>
>
> ****************************
>
> Stanislav Markus
> Ph.D. Candidate
>
> Harvard University
> Department of Government
>
> e: smarkus(a)fas.harvard.edu
> t: 617.513.5407
>
>
>
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