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Re: st: Re: Weighted regression


From   brendan.halpin@ul.ie (Brendan Halpin)
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: Weighted regression
Date   Sun, 03 Apr 2011 11:28:52 +0100

On Sun, Apr 03 2011, mai7777 wrote:
> 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?

Would it help to scale the weight variable so it sums to the sample
size?

Brendan
-- 
Brendan Halpin,  Department of Sociology,  University of Limerick,  Ireland
Tel: w +353-61-213147 f +353-61-202569 h +353-61-338562; Room F1-009 x 3147
mailto:brendan.halpin@ul.ie  http://www.ul.ie/sociology/brendan.halpin.html
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