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st: RE: weighted least squares with fixed effects


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: weighted least squares with fixed effects
Date   Tue, 16 May 2006 16:03:15 +0100

Maarten,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Allers
> Sent: 16 May 2006 12:49
> To: statalist@hsphsun2.harvard.edu
> Subject: st: weighted least squares with fixed effects
> 
> 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?

-xtivreg2- supports fixed effects, weights, and no instrumenting, which
I think is what you are looking for.

Cheers,
Mark

Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes
 


> Regards,
> 
> Maarten
> 
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