WLS regression using regwls and regress

[Le Chi]

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

[FernandoRios]

Hi Le,
I was curious about the command you describe. -regwls- is not an official Stata command, but a userwritten one. I wonder how you came by that obscure command.
If this comes from a supervisor or instructor, it would be better to ask why that command is needed, and understand what it does.
I dont see any information about the "details" behind the command on the helpfile, nor references to a paper, so i cannot say what exactly regwls do.
That being said. The command you describe does the standard wls. You should look into the formulas and methods -help regress-, which shows you exactly what Stata does when you add weights.
HTH
Fernando

[Le Chi]

Hi Fernando,
Many thanks for your answer. I had already looked into the formulas and methods- help regress and understand the command.
Regards,
Chi