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st: weighting issue in panel regressions


From   "stata user" <sf.stata.user@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: weighting issue in panel regressions
Date   Fri, 27 Jun 2008 15:06:21 -0700

Hello All:

I have a question on what would be the appropriate weights to use in a
panel model I am running.

I want to run a simple panel model of Y_{i, t} = a_it + X_{i, t} +
industry-fixed effect + time-fixed effect. where i is the index
industry and t is the index time. Now since some industres are more
important than other industries (say industry A has more dollar sales
than other industries), I want the regression to reflect this
difference. That is, the relationship btw Y and X for industries with
larger dollar sales shall carry a larger weight.

I checked the stata menu and it looks that there are frequency weight,
analytical weight, and importance weight. I do not think freq weight
is appropriate here. Can anyone advise what is the appropriate weight
to use in this setting? And how to implement it in stata?

Many thanks.

Ken
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