Message-ID: <6e8360ad0604301056r7ff24711s9f9bd72e665f1de4@mail.gmail.com>
Date: 2006-04-30T17:56:40Z
From: BBands
Subject: negative weights
In-Reply-To: <002e01c66c5e$c56e65b0$0ac0a8c0@MightyMini>
On 4/30/06, Dan Rie <drie at portfoliointelligence.com> wrote:
> but in most cases does not change the expected
> value of the coefficient estimates themselves.
That was an aha for me, though I should have known it... I calculated
a couple of regressions by hand with varying weight schemes to verify
and I get it now. (Actually I saw this early on, but assumed it was a
mistake in my usage of R.) For my purposes I must apply the weights to
the dependent returns prior to doing an unweighted regression. An
initial pass on purpose-built test data produced intuitively correct
results.
Thanks to all,
jab
--
John Bollinger, CFA, CMT
www.BollingerBands.com
If you advance far enough, you arrive at the beginning.