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st: Fixed effects regressions with probability weights

From   "Leah K. Nelson" <>
Subject   st: Fixed effects regressions with probability weights
Date   Mon, 9 Mar 2009 13:22:26 -0700 (PDT)

I currently trying to run a regression with fixed effects using
probability weights.  The data is in a cross section.  The unit of
observation is household, and I am running fixed effects at the village
level.  Sampling (probability) weights are assigned at the household

When I use the command

xtreg y x [pw=weight_household], fe i(village)

I get an error that says probability weights must be constant within each

Is this a limitation of Stata, or is there an underlying econometric issue
with using household-level probability weights and village-level fixed
effects?  If this is simply a Stata issue, is there a way to get around
this restriction using the xtreg command?

I have already constructed village dummy variables and run the regression
including the dummy variables as follows:

xi i.village

reg y x _I* [pw=weight_household]

but I want to make sure that this method (including the fixed effects at
the village-level and the probability weights at the household-level) does
not yield biased or inconsistent estimates.  Does anyone have any insight
on this?

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