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st: Re: Weighted regression


From   mai7777 <mai7777@gmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: Re: Weighted regression
Date   Sun, 3 Apr 2011 11:30:25 +0200

Any thoughts on this pls?

On Sat, Apr 2, 2011 at 3:19 PM, mai7777 <mai7777@gmail.com> wrote:
> Hi,
> I read a bit about the weighting options in stata, awight, iweight...
> I am running a reg on the stock prices of some firms and need to
> weight the reg by the market cap of the firms, that is firms with
> bigger market cap should play a bigger role in the estimation of the
> betas. iweight changes the number of firms in the regression in order
> to create the weights, thus it results in strange t-stat results. Is
> there a way to do an importance weighted regression aside form
> iweight?
> Thanks!
>
> Mohamad
>
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