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Re: st: xtivreg2


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtivreg2
Date   Wed, 16 Nov 2005 19:27:07 -0000 (GMT)

Daniel,

> Hi - when I run xtivreg2 and include fixed effects other than those
> captured with the fe option,  I get the following message:
> Error: covariance matrix of moment conditions not of full rank;
> overidentification statistic not reported, and standard errors and model
> tests should be interpreted with caution and may be meaningless
> Possible causes: singleton dummy variable (dummy with 1 one and N-1 zeros
> or visa-versa)
>
> the output then provides none of the overid/endog tests that I am
> interested in. Is there any way around this problem?
>
> Specifically, I run the following model, where i.groupyr are the fixed
> effects. When I do not include i.groupyr, the program runs fine.
>
> xi:xtivreg2 lncirc  currentsite (=pubonecurrentsites2 pubcurrentsites2
> pubcurrentsites2_sq pubonecurrentrivsites1 pubcurrentrivsites1
> pubcurrentrivsites1_sq) pgcurrentsites1 pgcirc1 i.groupyr , fe i(mag1)
> ffirst cluster(mag1) orthog (currentsite)

You need to investigate the relationships between the fixed effects, your
extra fixed effects, and the cluster variable.  For example, you have to
have more clusters than instruments for the cluster-robust vcv to be full
rank.  This could be the problem if the number of groupyr fixed effects is
big.

Hope this helps.

Cheers,
Mark

>
>
> Thanks for any help. Daniel
>
>
> Daniel Simon
> Assistant Professor
> Department of Applied Economics and Management
> Cornell University
> (607) 255-1626
>
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>


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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