I'm guessing that you have more elements in your weights vector than you have observations?  It's hard to tell without seeing your data.
 
See below:
 
#Generate fake data
y=rnorm(10)
X1=rnorm(10)
X2=rnorm(10)
X3=rnorm(10)
 
#Create a 10 element vector of weights
wts=abs(rnorm(10))
 
#weighted lm works fine
lm(y~X1+X2+X3, weights=wts)
 
#Add an additional element to weight vector
wts=c(wts, abs(rnorm(1)))
#weighted lm throws warning message 
lm(y~X1+X2+X3, weights=wts)
 
--Mark J. Lamias


________________________________
From: rbowman16 <roosevelt.bowman@gmail.com>
To: r-help@r-project.org 
Sent: Wednesday, November 21, 2012 9:34 AM
Subject: [R] Weighted least squares

Hi everyone, 

I admit I am a bit of an R novice, and I was hoping someone could help me
with this error message:

Warning message:
In lm.fit(x, y, offset = offset, singular.ok = singular.ok, ...) :
  extra arguments weigths are just disregarded.


My equation is:


lm( Y ~ X1 + X2 + X3, weigths = seq(0.1, 1, by = 0.1))



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