Wednesday, March 01, 2006

st: Comparing OLS and WLS results


I want to estimate a model using OLS and Weighted Least Squares (both with standard errors adjusted for clustering) and then compare them. The null hypothesis is to assume that both estimators are unbiased with the regressions homogenous across strata.

If true, the difference between them will have an expected value of zero. However, if heterogeneity and design effects are important, the two expecations will differ.

How can I perform such a test of comparison with Stata? Thanks in advance for any insight/suggestions.


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