For fixed effects with weights you could use -areg- and for random effects
you could use Kevin McKinney's -rfregk-
webuse grunfeld, clear
areg invest mvalue [aw = kstock], ab(com)
rfregk invest mvalue [aw = kstock]
Hope this helps,
Scott
________________________________________
From: [email protected]
[mailto:[email protected]] On Behalf Of Raphael Schoenle
Sent: Sunday, November 27, 2005 10:18 AM
To: [email protected]
Subject: st: fixed, random effects
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
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