# In SAS, is there a way to iterative refit a regression using different weights for observation with positive residual and negative residuals?

I have fitted a model using proc reg, say, using this

proc reg data = mydata;
model a = b;
run;


But in this particular application it is better to over-estimate than it is to under-estimate. So I actually want to refit this model this time using the residuals as weights so they an over-estimate is penalised more heavily.

Is there a way to do that without writing my own macro?

-

REWEIGHT <condition | ALLOBS> </ options> ;