[R-sig-finance] Fwd: negative weights

[BBands]

On 4/30/06, Dan Rie <drie at portfoliointelligence.com> wrote:

> but in most cases does not change the expected
> value of the coefficient estimates themselves.

That was an aha for me, though I should have known it... I calculated
a couple of regressions by hand with varying weight schemes to verify
and I get it now. (Actually I saw this early on, but assumed it was a
mistake in my usage of R.) For my purposes I must apply the weights to
the dependent returns prior to doing an unweighted regression. An
initial pass on purpose-built test data produced intuitively correct
results.

Thanks to all,

    jab
--
John Bollinger, CFA, CMT
www.BollingerBands.com

If you advance far enough, you arrive at the beginning.