Data Management and Analysis: Weighted Data

Weighted Least Squares and Weighted Log Likelihoods

Weights may be used with any estimator in any context.

Replication Weights

Weights are automatically scaled to sum to the number of observations in the sample. You may override this to request replications or simple unscaled weights.

Panel Data

Time invariant weights may be used to weight groups in panel data estimators.

Choice Based Sampling

Endogenous sampling weights may be specified for discrete choice models. This is coupled with a robust estimator of the asymptotic covariance matrix of the estimator. (Manski-Lerman  WESML estimator.)

Clustering and Stratification

  • Cluster corrections
  • Stratification and clustering
  • Finite population weights