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st: pooling estimates across different datasets


From   Marcus Casey <mcasey@duke.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: pooling estimates across different datasets
Date   Thu, 28 May 2009 14:39:15 -0400

Hi All,

My question regards pooling estimates of parameter from different  
datasets. Specifically, I estimated the speifiction on transactions  
data for four markets.
I cannot pool these data because each dataset is quite large(millions  
of observations) because a combined dataset with control variables  
and requisite fixed effects would
exceed my available memory.

Hence, I want to combine the estimates of the parameter of interest  
into one overall parameter. I know this likely involves estimating a  
weighted mean but
I am unsure how to implement this in Stata and also construct a  
reasonable standard error. Any suggestions?

Regards,
Marcus

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