Home » Weighted Least Squares Regression, 2013 Edition by G. David Garson
Weighted Least Squares Regression, 2013 Edition G. David Garson

Weighted Least Squares Regression, 2013 Edition

G. David Garson

Published December 4th 2013
Kindle Edition
69 pages
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 About the Book 

WEIGHTED LEAST SQUARES REGRESSIONA graduate-level introduction and illustrated tutorial on weighted least squares regression (WLS) using SPSS, SAS, or Stata. WLS addresses the heteroscedasticity problem in OLS. In the face of heteroscedasticity, ordinary regression computes erroneous standard errors. This in turn makes significance tests incorrect.New in the 2013 edition:Over twice as much depth (now 54 pp. compared to 19 in the 2012 edition)Covers SPSS, SAS, and StataDiscussion of a wide variety of weighting functions.Explains why robust standard errors do not substitute for WLS25 new illustrationsBelow is the unformatted table of contents.WEIGHTED LEAST SQUARESTable of ContentsOverview of WLS 5What the researcher can expect if WLS regression is needed 6Are robust standard errors a substitute for WLS? 6Weighting with replicates 7Weight estimation functions 8Data example 9Key Terms and Concepts 9The homoscedasticity assumption in regression 9Weighted cases 11WLS in SPSS 11SPSS overview 11Testing for heteroscedasticity in SPSS 11The graphical method 11Statistical tests for heteroscedasticity 12Park test 13Breusch-Pagan test 15Whites test 16Goldfeld-Quandt test 16Glejser test 17Weighting cases in SPSS 17Weight estimation input: Weighting with powers 17Weight estimation output: The log-likelihood values table 19Output from SPSS Weight Estimation 21SPSS OLS regression on weighted cases 23SPSS input 23SPSS output 24WLS in SAS 28Overview 28SAS input 29SAS output 34WLS in Stata 39Stata overview 39Stata input 39Stata output 42Assumptions 45Proper specification 45Proper weighting 46Data level 46Multivariate normality 46Linearity 46Independence 46Predictable variance 47Frequently Asked Questions 47Is WLS regression something that could be used with regression models other than OLS? 47What is SPSS syntax for WLS? 47How can one get OLS regression with robust standard errors in SAS? 48How does PROC ROBUSTREG in SAS work? 48Heteroskedasticity or heteroscedasticity? 51Acknowledgment 52Bibliography 52Pagecount: 54