Hi everyone,
I have tried to solve a simple problem for days but I can't figure out
how to run it properly. If someone could give me a hint, this would be
really great.
Basically, I want to run a standard economist's fixed, and random
effects regression (corresponds to xtreg in STATA) but with _variable_
weights (they correspond to changing industry shares in the market).
Here is what I do:
regsc<-lme(dsc~dcomp+dperc,random=~1|ind7090)
update(regsc,weights=varFixed(~wt))
1. however, my results are different from what I obtain in Stata using
areg (the weighted fixed effects times series regression). any ideas?
2. how do I read of the random affects results from this regression?
(i.e. coefficients on dcomp and dperc?)
Any hint would greatly be appreciated.
Best,
-Raphael
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