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st: Non-positive-definite vcv and ereturn,post


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: Non-positive-definite vcv and ereturn,post
Date   Tue, 15 Nov 2005 14:56:38 -0000 (GMT)

Hi Statalisters.  I've encountered what seems to me like inconsistent
behaviour of -regress- and -ereturn,post- in Stata (8.2 and 9.1) when a
variance-covariance matrix is not positive definite.

Specifically:

1.  I estimate a model using -regress- with the -robust- option.  There is
an obvious problem with the results: lots of coefficients have t-stats
that are virtually zero (but no standard errros are missing), and the
F-stat is missing.  It turns out that the var-cov matrix is not
positive-definite.

Behaviour of -regress-: report output; no exit with error.

2.  I estimate the same model with a user-written linear regression eclass
program.  The coefficients and var-cov matrix are identical to case (1)
above.  The program reaches the point where the coefficients and var-cov
matrix are posted with

ereturn post `b' `V'

Behaviour of -ereturn-: exits with error, namely
matrix not positive definite
r(506);

This seems inconsistent to me.  Either -ereturn- should be able to post a
non-positive-definite var-cov matrix, or -regress- should exit with an
error and complain that the var-cov matrix is not positive definite.

Anybody else out there have views on this?

Cheers,
Mark

Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3294
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes



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