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Weighted Regression in Excel

This document provides formulas for calculating a weighted average, weighted linear regression slope, and weighted linear regression intercept. The weighted average is calculated using SUMPRODUCT of the y-data and weights divided by the sum of the weights. The weighted linear regression slope is calculated using SUMPRODUCT of the demeaned y-data, x-data, and weights divided by SUMPRODUCT of the demeaned and squared x-data and weights. The weighted linear regression intercept is calculated using the y-weighted average minus the x-weighted average multiplied by the weighted slope. Care must be taken with missing data to not include unmatched data in the averages.

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dardo1990
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978 views1 page

Weighted Regression in Excel

This document provides formulas for calculating a weighted average, weighted linear regression slope, and weighted linear regression intercept. The weighted average is calculated using SUMPRODUCT of the y-data and weights divided by the sum of the weights. The weighted linear regression slope is calculated using SUMPRODUCT of the demeaned y-data, x-data, and weights divided by SUMPRODUCT of the demeaned and squared x-data and weights. The weighted linear regression intercept is calculated using the y-weighted average minus the x-weighted average multiplied by the weighted slope. Care must be taken with missing data to not include unmatched data in the averages.

Uploaded by

dardo1990
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Calculate a weighted average by

=SUMPRODUCT(<y-data>,<weights>)/SUM(<weights>)
(handle x-data analogously). The slope of weighted linear regression is
then
=SUMPRODUCT(<y-data>-<y-wtd_ave>,<x-data>-<x-wtd_ave>,<weights>) /
SUMPRODUCT((<x-data>-<x-wtd_ave>)^2,<weights>)
and the intercept of weighted linear regression is
=<y-wtd_ave> - <x-wtd_ave>*<wtd_slope>
These should work if there is no missing data. With missing data, you
must insure that the averages do not include unmatched data.
Jerry

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