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st: weights for a longitudinal set (Was: probable error, "weights invalid" using stset]

From   <>
To   <>
Subject   st: weights for a longitudinal set (Was: probable error, "weights invalid" using stset]
Date   Thu, 3 Nov 2011 09:55:20 -0000


Date: Wed, 2 Nov 2011 16:10:27 +0000
From: "Brown, Elizabeth" <>
Subject: RE: st: probable error, "weights invalid" using stset

Oh, yes. That makes sense re: inverse probability of selection. Of
course. Thank you. 

- -----Original Message-----
[] On Behalf Of Austin
Sent: Tuesday, November 01, 2011 12:37 PM
Subject: Re: st: probable error, "weights invalid" using stset

Elizabeth <> :
You are perhaps thinking of a cross-sectional regression later in the
survey, where you might want to adjust for attrition.  But if you are
using obs from 1968 on, you do not want to use the later weights...
you want to use the weights that are the inverse probability of
selection into the sample in the first place.  But things get very
complicated in the PSID, so if you want to be careful, you will have to
make your own weights to adjust for your particular sample selection
rules to make your sample representative of some larger population--but
first define that population, as I said before.  All person-years in the
US 1968 to the present?  Not possible.  All those who were eligible or
had an ancestor eligible in 1968? Etc.


I'd like to second Austin's wise advice to consider seriously the
population that you are trying to represent with your sample.

Nonetheless there are complications (as you realise). The "weights"
variables that are provided in most household panel surveys (indeed in
most household surveys) are general purpose weights, and may not be
relevant to your analysis, at least on a strict interpretation. Most
people simply use the weights provided however; largely because they are
there, I suspect. Also, few want to go down the route of creating their
own or, alternatively, jointly modeling the response process along with
the outcome process.

I disagree with Austin about which weights to use for panel analysis. If
you are going to use the survey weights provided (subject to the last
paragraph's caveats), then I would use those for the /last/ wave
observed and not the first. Reason: in virtually all household panels I
am aware of, the longitudinal weights provided reflect not only design
factors (inverse probability of selection into the first wave), but also
correction for subsequent sample drop-out (attrition). I think the
"weights" in the US Panel Study of Income Dynamics are also longitudinal
weights of this kind. (Martha Hill's otherwise very useful introduction
to the PSID, published by Sage, isn't clear on this; my interpretation
comes from discussion with PSID staff several years ago.) 

Professor Stephen P. Jenkins <>
Department of Social Policy and STICERD
London School of Economics and Political Science
Houghton Street, London WC2A 2AE, UK
Tel: +44(0)20 7955 6527
Changing Fortunes: Income Mobility and Poverty Dynamics in Britain, OUP
Survival Analysis Using Stata:
Downloadable papers and software:

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