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st: Re: Fixed effects regressions with probability weights


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: Fixed effects regressions with probability weights
Date   Mon, 9 Mar 2009 21:26:41 +0100

<>

Have you considered -xtmixed-?


HTH
Martin
_______________________
----- Original Message ----- From: "Leah K. Nelson" <lknelson@ucsd.edu>
To: <statalist@hsphsun2.harvard.edu>
Sent: Monday, March 09, 2009 9:22 PM
Subject: st: Fixed effects regressions with probability weights


I currently trying to run a regression with fixed effects using
probability weights.  The data is in a cross section.  The unit of
observation is household, and I am running fixed effects at the village
level.  Sampling (probability) weights are assigned at the household
level.

When I use the command

xtreg y x [pw=weight_household], fe i(village)

I get an error that says probability weights must be constant within each
village.

Is this a limitation of Stata, or is there an underlying econometric issue
with using household-level probability weights and village-level fixed
effects?  If this is simply a Stata issue, is there a way to get around
this restriction using the xtreg command?

I have already constructed village dummy variables and run the regression
including the dummy variables as follows:

xi i.village

reg y x _I* [pw=weight_household]

but I want to make sure that this method (including the fixed effects at
the village-level and the probability weights at the household-level) does
not yield biased or inconsistent estimates.  Does anyone have any insight
on this?

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