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weighted least squares

Tools of the trade: when to use those sample weights

Jed Friedman's picture

In numerous discussions with colleagues I am struck by the varied views and confusion around whether to use sample weights in regression analysis (a confusion that I share at times). A recent working paper by Gary Solon, Steven Haider, and Jeffrey Wooldridge aims at the heart of this topic. It is short and comprehensive, and I recommend it to all practitioners confronted by this question.