[R] using weights in lm()

[Wolfgang Koller]

Hello!

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)

  or 

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!

Thanks,

Wolfgang Koller




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Wolfgang Koller,  koller2 at fgr.wu-wien.ac.at
Forschungsinstitut fuer Europafragen
Wirtschaftsuniversitaet Wien
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