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Re: st: Fixed effects regressions with probability weights


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Fixed effects regressions with probability weights
Date   Tue, 10 Mar 2009 12:18:20 -0400

Leah K. Nelson <lknelson@ucsd.edu>:

You can switch to -areg- which allows pweights that vary within
village, and produces identical results to using -regress- and
including a dummy for each village (but one).  How many villages are
there?  You may want to cluster at the village level:

areg y x [pw=weight_household], a(village) cl(village)

On Mon, Mar 9, 2009 at 4:22 PM, Leah K. Nelson <lknelson@ucsd.edu> wrote:
> 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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