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Re: st: RE: xtreg, fe and weights

From   "David W. Harless" <>
Subject   Re: st: RE: xtreg, fe and weights
Date   Mon, 02 Oct 2006 08:13:10 -0400

Daniel Simon wrote:
Hi - I'm estimating a weighted fixed-effects model. I'm using -areg- to do so. However, I want to obtain the within r-squared. When I try and run -xtreg, fe- with any of the weights options, I get an error message that weights are not allowed. So, is there any other way to get the within r-squared while estimated a weighted fe model?
And Mark Schaffer answered:
-xtivreg2- supports weights, and straight LSDV as well as IV, so it
should do want you want.
Can anyone suggest texts or journal articles that explain or justify the use of weights that vary within panels in a fixed effects regression model (within-transformation or first-difference transformation)?
Dave Harless
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