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st: Use of aweights command in xtivreg2


From   Daniel Brown <daniel.brown@lincoln.ox.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Use of aweights command in xtivreg2
Date   Mon, 5 Mar 2012 16:45:05 +0000

Dear Statalist,

I am running weighted regressions using the aweights command (to reflect the fact that the observations for my dependent variable are themselves averages calculated on the basis of a varying number of underlying observations). When I perform fixed effects regressions, Stata does not allow me to weight observations for the same cross-sectional unit in different time periods differently. However, when I then perform IV analysis controlling for fixed effects using xtivreg2 (,fe), I apparently can weight observations in different time periods within a cross-sectional unit differently. I wanted to know why I am able to do this when using xtivreg2 (,fe) but not when using xtreg (,fe)?

Thanks,

Dan
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