Displaying 1 result from an estimated 1 matches for "tp3668577p3670176".
2011 Jul 14
1
WLS regression, lm() with weights as a matrix
Dear All,
I've been trying to run a Weighted Least Squares (WLS) regression:
Dependent variables: a 60*200 matrix (*Rit*) with 200 companies and 60 dates
for each company
Independent variables: a 60*4 matrix (*Ft*) with 4 factors and 60 dates for
each factor
Weights: a 60*200 matrix (*Wit*) with weights for 200 companies and 60 dates
for each company
The WLS regression I would like to run