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Re: st: multiple weights per person in GEE?

From   Stas Kolenikov <>
Subject   Re: st: multiple weights per person in GEE?
Date   Sat, 18 Jul 2009 10:17:46 -0500

If SAS does it, it does not mean it is such a great idea. And
propensity score matching people rarelly care about any other
complications that may be arising from the complex data structure, in
my experience.

First, check out the FAQ: which talks about
the conceptual foundations for use of weights. Propensity score
weights are neither frequency, variance, or sampling weights; they are
more like kernel weights in non-parametric regression.

At any rate, my understanding of GEE is that a contribution to the
objective function is from the whole panel: you compute the residuals,
then, for each panel, you compute the quadratic form with the
residuals using the working correlation matrix, and then the whole
result is multiplied by the weight and added to the total. How exactly
would the different weights go into that quadratic form? SAS might
have found some algorithmic implementation (e.g., multiply each
residual by the square root of the weight before wrapping the
residuals around the correlation matrix), but I would personally want
to see a Biometrika paper that would justify this before I apply any
such method.

On Fri, Jul 17, 2009 at 11:40 AM, Ariel Linden<> wrote:
> This is a question more directed at the Stata folks than to the listserve
> per se.
> Is there a reason why xtgee does not allow different weights/person/wave? It
> gives an error message stating "weight must be constant within personnumber"
> While I hate to invoke the phrase, "but SAS does it", I am forced to. There
> is a growing body of literature in which the propensity score weighting
> method is applied to longitudinal data. Thus, by it's very nature, weights
> will differ within individuals over each wave.
> I recogize GLLAMM as an option, but it is not very user friendly and
> inordinately slower than other models within this family.
> Consider this a plea for improvement.:-)
> Thanks
> Ariel
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Stas Kolenikov, also found at
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