Dear All,
I have a question regarding WLS regression using Stata commands regwls and regress and would kindly ask for your help.
For your information, The general idea is I want to use WLS regression with the monthly number of firms for each observation as weights (I created the weight column on excel and imported into Stata since I do not know how to generate it on Stata). Additionally, the "avg" variable is the equal-weighted monthly returns on each portfolio this is my dependent variable.
Firstly, I used the command "regwls avg MktRF SMB HML [aw=1/ Weight]" for the WLS regression with the analytical weight (However this command does not work on my Stata 13 version). Lately, I tried the command "regress avg MktRF SMB HML [aw=1/ Weight]" and it worked.
Could someone please let me know if the two commands are the same and whether my approach is correct?
Many thanks for your help!
Best regards,
Chi
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