# Multivariate Weighted Linear Regression

Very simple. I am looking for a package that does Multivariate Linear Regression with weights on the observations. Does anyone know of a package that does this? I am shocked that I have not been able to find any.

NOTE: R does NOT do multivariate regression. The lm() help page specifically states: "If response is a matrix a linear model is fitted separately by least-squares to each column of the matrix. " This means independent regression models for each response variable. Thus lm() does NOT do multivariate linear regression. It merely does several univariate linear regressions for convenience.