clustered errors with general weighting

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chill4lsu
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Joined: Wed Oct 07, 2015 6:48 pm

clustered errors with general weighting

Postby chill4lsu » Fri Mar 24, 2017 7:30 pm

I have set up a repeated cross-section as an unbalanced panel and clustered using the state as cross-section identifier. It clusters correctly. However now I need to add observation specific weights and there seems to be no option for variance weights, as in weighted least squares. Transforming all the variables would be a huge chore because it is a very large model. Any suggestions?

The stata command I am trying to replicate is something like regress y x1 x2 [pweight=perwt] , vce(cluster state)

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