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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 22:14:29 -0000 (GMT)

Daniel,

I think the -xtivreg2- error message,

> Possible causes: singleton dummy variable (dummy with 1 one and N-1
>   zeros or visa-versa)

might be correct.  The fixed effects generated using groupyr might include
some which are singleton dummies or that have only a small number of ones.
 Such variables can cause the robust var-cov matrix not to be of full
rank.

Try looking at the groupyr fixed effects, and seeing if there are any that
match this description.  Drop those obs from the estimation sample, and
perhaps the problem will go away.

Cheers,
Mark

> Mark - thanks for the suggestion. Dropping the cluster option did not
> change things, but when I then dropped the robust option, the problem goes
> away... unfortunately, I think that I need the cluster option for my data
> (panel data on magazines over time).
>
> once again, any suggestions would be greatly appreciated. Daniel
>
> At 08:16 PM 11/16/2005 +0000, you wrote:
>>Daniel,
>>
>>Just to check - by "number of instruments" I meant both included and
>>excluded instruments.  But from your output below, it seems like you are
>>OK.
>>
>>You could try running the estimation as below, but dropping the -cluster-
>>option and replacing it with -robust-, and with nothing.  This would help
>>tie down whether the number of clusters or something else to do with the
>>cluster-robust approach is or isn't the problem.
>>
>>--Mark
>>
>> > Mark - I think i'm ok with the number of instruments and the number of
>> > clusters. I get the following output:
>> >
>> > Number of clusters     N_clust     =        497
>> > Number of observations N           =       2393
>> > Number of regressors   K           =        239
>> > Number of instruments  L           =        244
>> > Number of excluded instruments L2  =          6
>> >
>> > If you have any other thoughts, or if I'm misunderstanding something,
>> > please let me know. Thanks. Daniel
>> >
>> > At 07:27 PM 11/16/2005 +0000, you wrote:
>> >>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
>> >> >
>> >> > *
>> >> > *   For searches and help try:
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>> >> > *   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 +44-131-451-3294
>> >>email: m.e.schaffer@hw.ac.uk
>> >>web: http://www.sml.hw.ac.uk/ecomes
>> >>
>> >>
>> >>
>> >>__________________________________________________________________
>> >>
>> >>DISCLAIMER:
>> >>
>> >>This e-mail message is subject to http://www.hw.ac.uk/disclaim.htm
>> >>__________________________________________________________________
>> >>
>> >>*
>> >>*   For searches and help try:
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>> >
>> > Daniel Simon
>> > Assistant Professor
>> > Department of Applied Economics and Management
>> > Cornell University
>> > (607) 255-1626
>> >
>> > *
>> > *   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 +44-131-451-3294
>>email: m.e.schaffer@hw.ac.uk
>>web: http://www.sml.hw.ac.uk/ecomes
>>
>>
>>
>>__________________________________________________________________
>>
>>DISCLAIMER:
>>
>>This e-mail message is subject to http://www.hw.ac.uk/disclaim.htm
>>__________________________________________________________________
>>
>>*
>>*   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/
>
> Daniel Simon
> Assistant Professor
> Department of Applied Economics and Management
> Cornell University
> (607) 255-1626
>
> *
> *   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 +44-131-451-3294
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes



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