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st: xtreg and weights
I would like to do random effects estimation with weighted data. However, while xtreg does allow for weights these have to be constants within panels (and this is not my case). I would like to know if this is a limitation of stata xtreg command, or instead if there is some econometric difficulty in doing this GLS regression with different weights for each individual within panels. In the former case, do you know any way out in Stata/some other software to deal with this problem?
Any comments or suggestions you might have would be most appreciated.
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