Hi All,
My question regards pooling estimates of parameter from different
datasets. Specifically, I estimated the speifiction on transactions
data for four markets.
I cannot pool these data because each dataset is quite large(millions
of observations) because a combined dataset with control variables
and requisite fixed effects would
exceed my available memory.
Hence, I want to combine the estimates of the parameter of interest
into one overall parameter. I know this likely involves estimating a
weighted mean but
I am unsure how to implement this in Stata and also construct a
reasonable standard error. Any suggestions?
Regards,
Marcus
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