Timeline for Failing to get correct results for GLS regression
Current License: CC BY-SA 4.0
4 events
| when toggle format | what | by | license | comment | |
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| Nov 18 at 20:38 | comment | added | Thomas Lumley |
glm isn't designed for GLS specifically, it's for generalised linear models, but basically yes. You pass it a vector that is $W$ or proportional to $W$ and it will compute $\hat\sigma^2$. If you want GLS you might try nlme::gls
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| Nov 18 at 15:43 | comment | added | s5s | Let, $cov(\hat{\beta}) = \sigma^2 (X'V^{-1}X)^{-1} = (X'W^{-1}X)^{-1}$. I am passing $W$ - are you saying the library expects me to pass $V$ and it will multiply by the estimated $\hat{\sigma}^2$ | |
| Nov 18 at 15:37 | comment | added | s5s | I'm a bit confused. How is this different from my equations in which $\sigma^2 = 1$? | |
| Nov 18 at 2:21 | history | answered | Thomas Lumley | CC BY-SA 4.0 |