Re: [R] Mimicking SPSS weighted least squares

From: Rolf Turner <r.turner_at_auckland.ac.nz>
Date: Tue, 11 Mar 2008 08:48:28 +1300

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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