naive "collinear" weighted linear regression

On Nov 11, 2009, at 7:45 PM, Mauricio Calvao wrote:

When I try:

fit_mod <- lm(y~x,weights=1/error^2)

I get

Warning message:
In lm.fit(x, y, offset = offset, singular.ok = singular.ok, ...) :
extra arguments weigths are just disregarded.

(Actually the weights are for adjusting for sampling, and I do not see any 
sampling in your "design".)

No, the weights are not for adjusting for sampling.  You will get the wrong standard errors if you put sampling weights into the  `weights` argument.

  The warning is saying that he had misspelt 'weights' as 'weigths' (and so the code he posted wasn' t the same as the code he ran).


      -thomas

Thomas Lumley			Assoc. Professor, Biostatistics
tlumley at u.washington.edu	University of Washington, Seattle