Weighted Least Squares Regression 

Author:
 Garson, G. David 
ISBN:  9781626380172 
Publication Date:  Aug 2013 
Publisher:  Statistical Associates Publishers

Book Format:  Ebook 
List Price:  USD $5.00 
Book Description:

WEIGHTED LEAST SQUARES REGRESSION
A graduatelevel 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...
More DescriptionWEIGHTED LEAST SQUARES REGRESSION
A graduatelevel 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 Stata
Discussion of a wide variety of weighting functions.
Explains why robust standard errors do not substitute for WLS
25 new illustrations
Below is the unformatted table of contents.
WEIGHTED LEAST SQUARES
Table of Contents
Overview of WLS 5
What the researcher can expect if WLS regression is needed 6
Are robust standard errors a substitute for WLS? 6
Weighting with replicates 7
Weight estimation functions 8
Data example 9
Key Terms and Concepts 9
The homoscedasticity assumption in regression 9
Weighted cases 11
WLS in SPSS 11
SPSS overview 11
Testing for heteroscedasticity in SPSS 11
The graphical method 11
Statistical tests for heteroscedasticity 12
Park test 13
BreuschPagan test 15
White's test 16
GoldfeldQuandt test 16
Glejser test 17
Weighting cases in SPSS 17
Weight estimation input: Weighting with powers 17
Weight estimation output: The loglikelihood values table 19
Output from SPSS Weight Estimation 21
SPSS OLS regression on weighted cases 23
SPSS input 23
SPSS output 24
WLS in SAS 28
Overview 28
SAS input 29
SAS output 34
WLS in Stata 39
Stata overview 39
Stata input 39
Stata output 42
Assumptions 45
Proper specification 45
Proper weighting 46
Data level 46
Multivariate normality 46
Linearity 46
Independence 46
Predictable variance 47
Frequently Asked Questions 47
Is WLS regression something that could be used with regression models other than OLS? 47
What is SPSS syntax for WLS? 47
How can one get OLS regression with robust standard errors in SAS? 48
How does PROC ROBUSTREG in SAS work? 48
Heteroskedasticity or heteroscedasticity? 51
Acknowledgment 52
Bibliography 52
Pagecount: 54