Mimicking SPSS weighted least squares
On 11/03/2008, at 4:04 AM, Ben Domingue wrote:
Howdy, In SPSS, there are 2 ways to weight a least squares regression: 1. You can do it from the regression menu. 2. You can set a global weight switch from the data menu. These two options have no, in my experience, been equivalent. Now, when I run lm in R with the weights= switch set accordingly, I get the same set of results you would see with option #1 in SPSS. Does anybody know how to duplicate option #2 from SPSS in R?
I think it's up to you to find out what ``option #2 from SPSS'' actually
*does*. If you know that, then you can (with a modicum of effort)
duplicate that option in R. The help file for lm() tells you that
R uses the weights by minimizing sum(w*e^2) where w = weights and
e = ``errors'' or residuals.
cheers,
Rolf Turner
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