From “What Are We Weighting For?” by Gary Solon, Steven Haider, and Jeffrey Wooldridge:
At the beginning of their textbook’s section on weighted estimation of regression models, Angrist and Pischke (2009, p. 91) acknowledge, “Few things are as confusing to applied researchers as the role of sample weights. Even now, 20 years post-Ph.D., we read the section of the Stata manual on weighting with some dismay.” After years of discussing weighting issues with fellow economic researchers, we know that Angrist and Pischke are in excellent company. In published research, top-notch empirical scholars make conflicting choices about whether and how to weight, and often provide little or no rationale for their choices. And in private discussions, we have found that accomplished researchers sometimes own up to confusion or declare demonstrably faulty reasons for their weighting choices. [Hyperlink added.]
The rest is a fairly readable how to. I have a feeling I’ll be going back to this paper many times to help me justify weighting (or not) in my future work.
