st: RE: RE: Use of aweights command in xtivreg2

[Daniel Brown <daniel.brown@lincoln.ox.ac.uk>]

Mark,

Thanks. I am still not entirely certain that I have followed.

I am under the impression from what you have said and from the help file, that areg performs the exact same estimation as xtreg , fe; assuming that I 'absorb' on my panel variable in the areg regression. In other words the only difference between areg and xtreg, fe if you absorb on the panel variable in areg is that areg allows me to use weights that do not have to be constant within the panel over time. But other than that areg , absorb(panelvar) performs fixed effects estimation.

Yet when I manually time demean variables and run a regression using the weights that vary within the panel (in other words manually doing what I think areg is doing) I get different estimates. So I must have misunderstood somewhere here.

Thanks,
Dan
________________________________________
From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] On Behalf Of Schaffer, Mark E [M.E.Schaffer@hw.ac.uk]
Sent: 07 March 2012 14:27
To: statalist@hsphsun2.harvard.edu
Subject: st: RE: Use of aweights command in xtivreg2

Dan,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
> Daniel Brown
> Sent: 05 March 2012 16:45
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Use of aweights command in xtivreg2
>
> Dear Statalist,
>
> I am running weighted regressions using the aweights command
> (to reflect the fact that the observations for my dependent
> variable are themselves averages calculated on the basis of a
> varying number of underlying observations). When I perform
> fixed effects regressions, Stata does not allow me to weight
> observations for the same cross-sectional unit in different
> time periods differently. However, when I then perform IV
> analysis controlling for fixed effects using xtivreg2 (,fe),
> I apparently can weight observations in different time
> periods within a cross-sectional unit differently. I wanted
> to know why I am able to do this when using xtivreg2 (,fe)
> but not when using xtreg (,fe)?

xtivreg2,fe allows weights because it was easy enough to program the
feature - xtivreg2 is just a wrapper for ivreg2.

But whether or not weighting makes sense is up to the user.

xtivreg,fe does not allow weights, but areg - which reports the same
estimator - does.  The rationale is in -help areg-:

"areg is designed for datasets with many groups, but not a number of
groups that increases with the sample size.  See the xtreg, fe command
in [XT] xtreg for an estimator that handles the case in which the number
of groups increases with the sample size."

HTH,
Mark

>
> Thanks,
>
> Dan
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