Leah K. Nelson <[email protected]>:
You can switch to -areg- which allows pweights that vary within
village, and produces identical results to using -regress- and
including a dummy for each village (but one). How many villages are
there? You may want to cluster at the village level:
areg y x [pw=weight_household], a(village) cl(village)
On Mon, Mar 9, 2009 at 4:22 PM, Leah K. Nelson <[email protected]> wrote:
> 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
> level.
>
> 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
> village.
>
> 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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