Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: Ivreg2 & -bw- option


From   Mark Schaffer <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu, Cordula Stolberg <cs32@sussex.ac.uk>
Subject   Re: st: Ivreg2 & -bw- option
Date   Wed, 18 Aug 2004 20:26:04 +0100 (BST)

Cordula,

Quoting Cordula Stolberg <cs32@sussex.ac.uk>:

> Dear Statalisters,
> 
> I have some problems with the -bw(#)- option in -ivreg2-. I have an
> 
> unbalanced (fixed effects) model and I suspect one variable to be 
> endogenous. I used -ivreg2- and then found autocorrelation. When I
> tried to 
> correct for that with the -bw- option, I always got the error
> message
> 
> "estimated variance-covariance matrix not positive definite"
> 
> Is that because I have missing observations in my panel?

Probably not.  VCVs that aren't positive definite are something you can 
run into when you use kernel-based estimates, unless you use one that is 
guaranteed to be PD.  Try using the Barlett kernel (the default for ivreg2 
with the -bw- option) in combination with the -robust- option.  This is 
also known as the Newey-West estimator and is guaranteed to be PD.  If you 
still get the error, then something else is going wrong.

Cheers,
Mark

> Any
> suggestions 
> would be appreciated.
> 
> Thanks,
> Cordula
> 
> 
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
> 



Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes
________________________________________________________________

DISCLAIMER:

This e-mail and any files transmitted with it are confidential
and intended solely for the use of the individual or entity to
whom it is addressed.  If you are not the intended recipient
you are prohibited from using any of the information contained
in this e-mail.  In such a case, please destroy all copies in
your possession and notify the sender by reply e-mail.  Heriot
Watt University does not accept liability or responsibility
for changes made to this e-mail after it was sent, or for
viruses transmitted through this e-mail.  Opinions, comments,
conclusions and other information in this e-mail that do not
relate to the official business of Heriot Watt University are
not endorsed by it.
________________________________________________________________
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index