I was asked to do a WLS estimation, so I thought of lm() with weights like wls=lm(Y~X-1,weight=INC) however, it gives different result as below code, which use the formula of WLS y<-Y*INC^-0.5 x<-X*INC^-0.5 wls=lm(y~x-1) Can anybody explain to me why the first code can not give the right answer? Many thanks -- View this message in context: http://r.789695.n4.nabble.com/a-problem-about-WLS-tp4635446.html Sent from the R help mailing list archive at Nabble.com.
a problem about WLS
3 messages · jacquesliu, Thomas Lumley
On Thu, Jul 5, 2012 at 11:40 AM, jacquesliu <jacquesliu at gmail.com> wrote:
I was asked to do a WLS estimation, so I thought of lm() with weights like wls=lm(Y~X-1,weight=INC) however, it gives different result as below code, which use the formula of WLS y<-Y*INC^-0.5 x<-X*INC^-0.5 wls=lm(y~x-1) Can anybody explain to me why the first code can not give the right answer?
The two examples are using the opposite weights. To replicate the answer from the second approach with lm, use weight=INC^-1 In lm(), observations with high weights have more, um, weight. They influence the results more than observations with low weight. Your code does the opposite. -thomas -- Thomas Lumley Professor of Biostatistics University of Auckland
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