[R] using weights in lm()

Wolfgang Koller koller2 at fgr.wu-wien.ac.at
Tue Dec 7 15:00:31 CET 1999


When I know the vector of the variance of the disturbances (i.e. the 
structure of heteroskedasticity), say Var(u_{i})=v_{i},
what is the weights I should use as argument to lm(): 

M <- lm(y~x,weigths=1/v)


M <- lm(y~x,weights=1/(v^0.5))   ???

In the help pages I did not find a clear answer to this question, so 
please could someone help me!


Wolfgang Koller

Wolfgang Koller,  koller2 at fgr.wu-wien.ac.at
Forschungsinstitut fuer Europafragen
Wirtschaftsuniversitaet Wien
Althanstrasse 39-45, 1090 Wien, Austria
r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html
Send "info", "help", or "[un]subscribe"
(in the "body", not the subject !)  To: r-help-request at stat.math.ethz.ch

More information about the R-help mailing list