Probability weights in random effects models

[Hale Isaac]

Hello,

I am trying to estimate the effects of several time invariant variables on my outcome using random effects and xtreg. I am using panel data and I need to incorporate probability weights. I am aware that xtreg does not allow for pweights or aweights, so I am not sure what my options are at the moment?

The error message I get is

weights not allowed
r(101);

which makes sense, so then would I have to abandon the weights?

[Carlo Lazzaro]

Isaac:
you can use -iweight- in the -re- specification only if you switch from -xtreg,re- to -xtreg, re mle- (that can also be coded as -xtreg,mle- as -re- is actually redundant).

[Hale Isaac]

Thank you, Carlo.

I can run my regression using iweight and xtreg,mle without getting an error message. The results also make a whole lot more sense now.

[Elena Draghici]

Hi Carlo,

I am running an xtlogit and like Hale, I am only allowed to use iweights. I checked to see how the results differ between the weighted and unweighted models. The coefficients are practically identical, except for a few instances where numbers were rounded. The difference was in the z-statistics and the standard errors. In the iweighted model, the test statistics were much larger and the standard error were much smaller.

Could you please let me know why I am seeing these results? I am also unclear as to what the iweight does in the equation. I know that the help section in the program cautions against using them, but I cannot find information as to why that is. I worry that my analysis may not be statistically sound if I use them, but I have to use weights.

Any insights on this would be very helpful and much appreciated!

[Carlo Lazzaro]

Elena:
as per FAQ, pplease share what you tyoed and what Stata gave you back. Thanks.

[Dick Campbell]

Stata's mixed model suite, i.e. the ME series will accept the svy prefix, meaning it accepts weights.

[Elena Draghici]

Hi Carlo,

The real models I am running are in a secure lab and I can't actually show you what the results are until they are approved by a governing body. This is why I must use weights, it is their policy. This dataset is open data, so I have been practicing on it at home to see what options I have before returning to the lab and running the code on my actual data.

Stata will not let me use any of the following below:

xtlogit hassa i.prov i.agegp i.sex [aw=fweight]
aweights not allowed
r(101);

xtlogit hassa i.prov i.agegp i.sex [fw=fweight]
may not use noninteger frequency weights

gen weight=round(fweight, 1)

. xtlogit hassa i.prov i.agegp i.sex [fw=weight]
fweight not allowed for fixed- and random-effects cases

xtlogit hassa i.prov i.agegp i.sex [pw=fweight]
pweight not allowed for fixed- and random-effects cases

Hassa is a binary variable indicating whether someone is on social assistance 1=yes/0=no; prov is a variable indicating the person's province of residence; agegp is their age group; and sex id male=1/female=2

Unfortunately, I have been trying to re-run the xtlogit models like I did yesterday, which worked, and I got results that were identical between coefficients, but inflated z-scores and smaller confidence intervals (same as what I observed at the lab). Now, I am getting an error (maybe I did something to this data, I am not sure?):

. xtlogit hassa i.prov i.agegp i.sex [iw=fweight]
weight must be constant within personid
r(199);

I guess my question is more regarding what iweights are...I can't find anything online that gives me a definitive answer. Most documentation states that iweights are for programmers, but then why is it the only way to weight the xtlogit with the iweight option. I worry that my results may not be statistically sound and I do not want to use iweights if I do not know what they are doing...Any help on this would be appreciated!

[Elena Draghici]

Stata's mixed model suite, i.e. the ME series will accept the svy prefix, meaning it accepts weights.

Yes, but can I use the svy prefix with an xtlogit? If my data has already been xtset or tsset, It can't be svyset too, correct?

[Elena Draghici]

Also, I got these errors:

svy:xtlogit hassa i.prov i.agegp i.sex [fweight=fweight]
weights not allowed with the svy prefix;
the svy prefix assumes survey weights were already specified using svyset
r(101);

svy:xtlogit hassa i.prov i.agegp i.sex
xtlogit is not supported by svy with vce(linearized); see help svy estimation for a list of Stata estimation
commands that are supported by svy
r(322);

[Jeff Wooldridge]

Elena: I believe Dick's point is that if you switch to -melogit- then you can use the svy command. You can use -melogit- to estimate a random effects panel logit. And using -svy- should ensure that the standard errors are properly computed.

[Elena Draghici]

Oh, I see what is meant now. Thanks, Jeff!