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st: Weighted regression
From
mai7777 <[email protected]>
To
statalist <[email protected]>
Subject
st: Weighted regression
Date
Sat, 2 Apr 2011 15:19:40 +0200
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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