No. 739 - The use of survey weights in regression analysis

While there is a wide consensus in using survey weights when estimating population parameters, it is not clear what to do when using survey data for analytic purposes (i.e. with the objective of making inference about model parameters). In the model-based framework (MB), under the hypothesis that the underlying model is correctly specified, using survey weights in regression analysis potentially involves a loss of efficiency. In a design-based perspective (DB), weighted estimates are both design consistent and can provide robustness to model mis-specification. In this paper, I suggest that the choice of using survey weights can be seen in a regression diagnostic set. The survey data analyst should check if the design information included in survey weights has some explanatory power in describing the model outcome. To accomplish this task a set of econometric tests is suggested, that could be supplemented by the analysis of model features under the two strategies.