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
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