Weights not allowed in my fixed effect IV model

[Kaitlin Li]

Hi, everyone

I'm running a fixed effect regression with an instrumental variable. The dependent variable is the log of house price and the variable I'm interested in is the unemployment rate. The dataset I'm using is a panel data set by the UK local authority from May 2020 to Sep 2021.
My command is:
xi: xtivreg lprice (UnemploymentbyLocal = EmploymentonFurlough) MortgageSalesVolume ConsumerPricesIndex RegionalMothlyGDP lprice_1(lagged price) i.monthlydate [aw=population2020], first fe vce(cluster ID)

My first question is why 'weights not allowed' showed up when I try to use population as weights [aw=population2020]?

The second question is: Can I add controls to my regression that are not vary by my ID(local authority) but only vary with time? Since I noticed some time dummies (i.monthlydate) are deleted due to collinearity, such as CPI which can be only obtained at national level.


Many thanks in advance!

[Fei Wang]

Kaitlin, xtivreg doesn't allow for weights. You may try xtivreg2 (from SSC). Regarding the second question, I don't know what the "monthlydate" is. But you won't be able to control for variables that vary only by time after including time fixed effects.