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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   Wed, 11 Mar 2009 15:51:26 -0400

Leah K. Nelson <lknelson@ucsd.edu>:
You can just run -logit- with dummies for each village and
cluster(village)--see e.g.
http://www.stata.com/statalist/archive/2007-10/msg01008.html

In general, using fixed effects does not automatically imply clustered
SEs, but using -xtreg, fe- with -robust- now does (as of update
25feb2008; see http://www.stata.com/help.cgi?whatsnew for details).

On Wed, Mar 11, 2009 at 3:21 PM, Leah K. Nelson <lknelson@ucsd.edu> wrote:
> Thanks to both Austin and Martin for their suggestions.  As it turns out,
> the outcome I am considering is binary.  Any thoughts on conditional
> logit-type estimation in which the probability weights vary within groups
> (villages)?
>
> Also, in general does using fixed effects estimation automatically cluster
> at the level of the fixed effect?
>
>> 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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