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Re: st: Re: Weighted regression


From   Daniel Feenberg <feenberg@nber.org>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Re: Weighted regression
Date   Sun, 3 Apr 2011 08:28:30 -0400 (EDT)


On Sun, 3 Apr 2011, mai7777 wrote:

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!

reg supports pweights, they do not affect the degrees of freedom.

Daniel Feenberg


Mohamad

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