[R] Mimicking SPSS weighted least squares

[Peter Dalgaard]

Rolf Turner wrote:
> 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.
>
>
>   
I believe case weighting in SPSS effectively replicates the relevant row 
(not sure if anything sensible comes out if weights are non-integer).  So

lm(...., data=mydata[rep(1:nrow(mydata),w),])

or thereabouts should do it. Might not be too efficient though.

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