st: time series panel regression with weights - any one know?

[Raphael Schoenle <schoenle@Princeton.EDU>]

Hello,

I am wondering how to properly run a time series regression with 
weights in STATA.

I have a balanced panel of industry averages in three years. Each 
industry has a changing weight associated with it that reflects its 
size and is important in my model.

xtreg does not have a weight option, and I am not sure if areg is not 
outdated (or if i need RE which i can only find out from a hausman 
test). also, because the weights are not constant, i dont think i can 
use any other xt command.

My question is: Can I multiply the weights into the variables and then 
use xtreg?

(I unfortunately can't run regressions for each industry and then 
average because I don't have the appropriate data).

Best,

Raphael

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