Re: st: autocorrelated panel data with pweights

[Stas Kolenikov <skolenik@gmail.com>]

If you have complex survey data, then in all likelihood you have
clustering that you need to account for at the level way above the
panels. As a result, such clustering subsumes autocorrelations within
panels. Essentially, you'll be running -regress [pw=], cluster()-. The
downside is that you need many clusters to trust asymptotic results,
and there is a logical inconsistency in the number of parameters if
you introduce dummy fixed effects: you can only estimate (# of
clusters) parameters with their variances that way.

Estimators that work with -pweights- apply them to the contribution of
the unit to the objective function. In Steve's example, you can
compute the contribution of the panel to the GEE objective function,
and you can weight that with -pweight-. Fixed effect estimators
circumvent this: they apply linear transformations (contrasts) to the
data and end up with estimating equations defined at the level of
observations rather than at the level of panels. So there's again a
logical inconsistency between fixed effects and survey inference, as
they have different unit of analysis perspectives.

On Thu, Jul 1, 2010 at 4:32 PM, Mike Perry <m5552k@gmail.com> wrote:
> Thank you for that suggestion.  It's very close to what I need, but in
> the context I'm working, I can't justify the assumptions for the "pa"
> option.  I need to be able to use fixed effects.  I'm guessing that
> this is a difficult problem since many Stata commands come close to
> what I want, but none that I've seen actually do it.
>
> Mike
>
> On Thu, Jul 1, 2010 at 2:07 PM, Steve Samuels <sjsamuels@gmail.com> wrote:
>> How about:
>>
>> **********************CODE BEGINS****
>> webuse nlswork
>> xtreg ln_w grade [pweight=birth_yr], pa corr(ar)
>> **********************CODE ENDS****
>>
>> Steve
>>
>>  On Thu, Jul 1, 2010 at 4:24 PM, Mike Perry <m5552k@gmail.com> wrote:
>>> I would like to be able to run a panel regression that corrects for
>>> autocorrelation within panels and allows the use of pweights.
>>> Essentially, I would like either something like xtregar, but with the
>>> ability to use pweights, or else a survey command that corrects for
>>> autocorrelation.  Does anyone know of such a command in Stata?  If not
>>> Stata, does anyone know of any command like that in SAS, SPSS or R?
>>> Also, is there an easy way to sum up why xtregar can handle fweights,
>>> but not pweights?
>>>
>>> thanks much,
>>> Mike
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>>
>>
>>
>> --
>> Steven Samuels
>> sjsamuels@gmail.com
>> 18 Cantine's Island
>> Saugerties NY 12477
>> USA
>> Voice: 845-246-0774
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>>
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>
> *
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>



-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.

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