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st: RE: Use of aweights command in xtivreg2


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Use of aweights command in xtivreg2
Date   Wed, 7 Mar 2012 14:27:26 -0000

Dan,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Daniel Brown
> Sent: 05 March 2012 16:45
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Use of aweights command in xtivreg2
> 
> 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)?

xtivreg2,fe allows weights because it was easy enough to program the
feature - xtivreg2 is just a wrapper for ivreg2.

But whether or not weighting makes sense is up to the user.

xtivreg,fe does not allow weights, but areg - which reports the same
estimator - does.  The rationale is in -help areg-:

"areg is designed for datasets with many groups, but not a number of
groups that increases with the sample size.  See the xtreg, fe command
in [XT] xtreg for an estimator that handles the case in which the number
of groups increases with the sample size."

HTH,
Mark

> 
> Thanks,
> 
> Dan
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