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st: xthtaylor with sampling weight


From   Zhe Ren <zheren@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: xthtaylor with sampling weight
Date   Fri, 23 Apr 2010 00:22:08 -0300

Dear statalisters,

I'm dealing with panel data with possible endogenous regressors. So
I'm considering xthtaylor command which is random-effects model
accommodating correlation between some regressors and individual
effects. However, my dataset comes from a survey and there is sampling
weights (reciprocal of sampling probability) along with the data. I
would like to apply this sampling weights when I estimate my model
using hausman-taylor estimator. As most of you already found, pweight
is not allowed in random-effects panel models in stata! I was reading
through the help notes and only got to know that the sampling weight
has to be constant across years for the cross-sectional units. My
question then is stragihtforward: the sampling weights ARE constant
across years for each cross-sectional units in my dataset (in other
words, it is a perfectly balanced panel). But how can I apply pweight
in xthtaylor? Any help would be greatly appreciated!

Jerry
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