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| From | mai7777 <mai7777@gmail.com> |
| To | statalist <statalist@hsphsun2.harvard.edu> |
| 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 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/