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st: xtivreg2 and pweights


From   Paulo Regis <pauloregis.ar@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtivreg2 and pweights
Date   Mon, 27 Feb 2012 21:20:01 +0800

Hello Statalisters,

Good day. I am using the command -xtivreg2, with a panel of 14 countries
and 28 years. The panel is unbalanced because of some missign values in
two of the variables. The number of observations per  country ranges from
21 to 28. Naming my variables Y, X1,..., X7, the command line looks like:

xtivreg2 Y X2 X3 X4 (X1 = X5 X6 X7) , fe tvar(year) ivar(country) gmm2
cluster(country)

where the variable X1 is endogenous.

The paper has been submited to a journal. One of the referees' comments
was related to the unbalancedness and asked me to check the robustness
to the use of weights. after going through the help files
of xtivreg2, ivreg2 and weights in general in Stata,  I concluded I
was looking for somethign like this:

xtivreg2 Y X2 X3 X4 (X1 = X5 X6 X7) [pweight=wvar], fe tvar(year)
ivar(country) gmm2 cluster(country)

where wvar is the number of observation in the dataset of each coutry.
That is, wvar assumes values from 21 to 28. The results look like what
i expected (not much change), however, I got confused by a comment
made in a resent post in statalist:

http://www.stata.com/statalist/archive/2012-02/msg00776.html

where it is mentioned that pweigths in xtivreg are just aweights+robust.

My use of sampling weights is not motivated by a complex sampling
design. My intention is to estimate a weighted least square model
where the weights of each observaton is the inverse of the number of
observations in each country, so that each country equally important and
my results are not driven by some particular country. I still need to use IV
because X2 is endogenous. Can xtivreg2 handle this sort of weights?

Best wishes,

Paulo
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