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Topic: Is it reasonable for a weight equal to 1 million in the weighted regression?
Replies: 1   Last Post: Nov 29, 2012 11:04 PM

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Richard Ulrich

Posts: 2,866
Registered: 12/13/04
Re: Is it reasonable for a weight equal to 1 million in the weighted regression?
Posted: Nov 29, 2012 11:04 PM
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On Fri, 30 Nov 2012 03:08:51 +0000, @ com (JJ) wrote:

>As my understanding, when I assign a weight n (say) to an observation in
>the weighted regression (logistic or linear), it is equivalent to repeat
>the same observation n times in the data set.
>I have seen people assign 1 million as the weight to an observation. It
>seems unreasonable to me but I don't have the knowledge to say why it is
>not reasonable.


It's an ad-hoc way to force the regression line through that point,
for the usual, smaller N, when you work from the variance of the
point. But it surely screws up the degrees of freedom if you
do it by means of "repeating the observation" by weighting outside
of the regression program (as you can do, say, with SPSS).


>If you have any references (titles of books, articles, etc) discussing
>the role of weight in modeling, please let me know.


Survey sampling uses weights, at times, but that does not sound
like the sort of problem that you were citing.

In case no one suggests something particular, I will suggest
looking at the regression books by Harrell or J. Cohen, and see
if they mention the topic, and work from there.

--
Rich Ulrich



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