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Re: st: xtreg and weights

From   Stas Kolenikov <>
Subject   Re: st: xtreg and weights
Date   Mon, 11 Oct 2010 22:58:54 -0500

On Sun, Oct 10, 2010 at 10:12 PM, comp Avail <> wrote:
> 1.       I’d like to estimate a standard panel data regression model
> using random effects, but with weights that vary across both time and
> panels.
> xtreg won’t allow that. Is there a way to get around it?
> 2.       I’d like to estimate a standard panel data regression model
> and impose some nonlinear restrictions on the parameters of the type
> b1/b2 = c1/c2. Is there a way to achieve that? Hopefully in a way that
> allows weights to be applied. A solution for either fixed effects or
> random effects or both, would be helpful.

1. -gllamm- allows for weights to vary both within and between panels.
Of course you'd want to use -xtreg- to provide the starting values.

2. Nonlinear constraints make any model extremely complicated. However
you might be able to rephrase your model with additional variables and
linear constraints among coefficients.

Stas Kolenikov, also found at
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