The STEPDISC Procedure

To use relative weights for each observation in the input data set, place the weights in a variable in the data set and specify the name in a WEIGHT statement. This is often done when the variance associated with each observation is different and the values of the WEIGHT variable are proportional to the reciprocals of the variances. If the value of the WEIGHT variable is missing or is less than zero, then a value of zero for the weight is assumed.

The WEIGHT and FREQ statements have a similar effect except that the WEIGHT statement does not alter the degrees of freedom.