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st: weighted least squares with fixed effects


From   Allers <[email protected]>
To   [email protected]
Subject   st: weighted least squares with fixed effects
Date   Tue, 16 May 2006 13:49:10 +0200

Dear Stata users,

The -areg- command can estimate a fixed effects model with weights,
e.g.: areg  depvar indepvars [fweight=population], absorb(countycode).
However, when I do this, I get standard errors that are way too low,
because Stata artificially increases the sample size with the weight
variable (here: population). Adding -robust- is no solution. Does anyone
have a solution?

Regards,

Maarten

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