st: fixed, random effects

[Raphael Schoenle <schoenle@Princeton.EDU>]

Hi everyone,

I have tried to solve a simple problem for days but I can't figure out how to run it properly in Stata. If someone could give me a hint, this would be really great.

Basically, I want to run a standard fixed, and random effects regression (xtreg in STATA) but with _variable_ weights (they correspond to changing industry shares in the market).

So, for the random effects I tried gllamm but always get an error message of insufficient observations when I try to use weights.

Here is what I do:

sort ind7090

gllamm dsc dperc dcomp, i(ind7090) pw(wt)

any ideas what goes wrong?

(if there are no weights, then we just get the xtreg dsc dperc dcomp, fe results.)

Best,

-Raphael