Statalist The Stata Listserver


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: Too few clusters in ivreg2 - again


From   "Ramani Gunatilaka" <ramani.gunatilaka@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Too few clusters in ivreg2 - again
Date   Wed, 8 Nov 2006 18:48:25 +0000

Hi Mark,
Sorry to bother you again.
I updated my version of ivreg2.
I am sorry if these seem basic questions, but I have not been able to
figure this out.
I did use fwl and specified the model as follows:
But I got an error.
Can you please tell me, can the fwl option be used with 2SLS?
Why doesn't ivreg2 like my choice of a variable for fwl?
Ramani

. /* H1 base model*/
. ivreg2 happy (ln_pcy02=f_edyrs m_edyrs) ///
/*individual characteristics*/ male married malemarried edyrs unempld r_health workhrs netfinassets ln_earn_diff biginc smallinc decrease, first cluster(province) fwl(netfinassets)
Error: estimated covariance matrix of moment conditions not of full rank;
      overidentification statistic not reported, and standard errors and
      model tests should be interpreted with caution
Possible causes:
      number of clusters insufficient to calculate robust covariance matrix
      singleton dummy variable (dummy with one 1 and N-1 0s or vice versa)
-fwl- option may address problem.  See help
First-stage regressions
-----------------------

First-stage regression of ln_pcy02:

OLS estimation
--------------

Statistics robust to heteroskedasticity and clustering on province

Number of clusters (province) = 12                    Number of obs =     1713
                                                     F( 13,    11) =    18.07
                                                     Prob > F      =   0.0000
Total (centered) SS     =   686.693671                Centered R2   =   0.0718
Total (uncentered) SS   =   686.693671                Uncentered R2 =   0.0718
Residual SS             =  637.3655195                Root MSE      =    .6123

------------------------------------------------------------------------------
            |               Robust
   ln_pcy02 |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
       male |   .2686569    .081074     3.31   0.007     .0902143    .4470995
    married |   .1644669   .0850305     1.93   0.079    -.0226838    .3516177
malemarried |  -.3947205   .0902204    -4.38   0.001    -.5932944   -.1961466
      edyrs |   .0378845   .0063295     5.99   0.000     .0239532    .0518157
    unempld |  -.1893695    .230503    -0.82   0.429    -.6967032    .3179642
   r_health |   .0332917    .063011     0.53   0.608    -.1053947     .171978
    workhrs |   .0018748   .0016105     1.16   0.269    -.0016699    .0054196
ln_earn_diff |   .0806468   .0170508     4.73   0.001     .0431182    .1181754
     biginc |   .1439435   .0745455     1.93   0.080    -.0201301     .308017
   smallinc |   .0551903   .0218531     2.53   0.028      .007092    .1032886
   decrease |  -.0584598   .0720107    -0.81   0.434    -.2169542    .1000346
    f_edyrs |   .0081267   .0063063     1.29   0.224    -.0057535    .0220068
    m_edyrs |   .0060132   .0038395     1.57   0.146    -.0024375     .014464
------------------------------------------------------------------------------
Error: estimated covariance matrix of moment conditions not of full rank;
      overidentification statistic not reported, and standard errors and
      model tests should be interpreted with caution
Possible causes:
      number of clusters insufficient to calculate robust covariance matrix
      singleton dummy variable (dummy with one 1 and N-1 0s or vice versa)
-fwl- option may address problem.  See help ivreg2.
------------------------------------------------------------------------------
Included instruments: male married malemarried edyrs unempld r_health workhrs
                     ln_earn_diff biginc smallinc decrease f_edyrs m_edyrs
------------------------------------------------------------------------------
Partial R-squared of excluded instruments:   0.0050
Test of excluded instruments:
 F(  2,    11) =     3.91
 Prob > F      =   0.0522



Summary results for first-stage regressions
-------------------------------------------

               Shea
Variable    | Partial R2    |    Partial R2    F(  2,    11)    P-value
ln_pcy02    |   0.0050      |      0.0050           3.91         0.0522

NB: first-stage F-stat cluster-robust

Underidentification tests:
                                                Chi-sq(2)      P-value
Anderson canon. corr. likelihood ratio stat.        8.53         0.0141
Cragg-Donald N*minEval stat.                        8.55         0.0139
Ho: matrix of reduced form coefficients has rank=K-1 (underidentified)
Ha: matrix has rank>=K (identified)

Weak identification statistics:
Cragg-Donald (N-L)*minEval/L2 F-stat       4.24

NB: identification statistics not robust

Anderson-Rubin test of joint significance of
endogenous regressors B1 in main equation, Ho:B1=0
 F(2,11)=       8.47      P-val=0.0059
 Chi-sq(2)=     18.61     P-val=0.0001
NB: Anderson-Rubin stat cluster-robust

Number of clusters     N_clust     =         12
Number of observations N           =       1713
Number of regressors   K           =         12
Number of instruments  L           =         13
Number of excluded instruments L2  =          2


IV (2SLS) estimation
--------------------

Statistics robust to heteroskedasticity and clustering on province

Number of clusters (province) = 12                    Number of obs =     1713
                                                     F( 12,    11) =    10.13
                                                     Prob > F      =   0.0003
Total (centered) SS     =  1114.478239                Centered R2   =  -1.0234
Total (uncentered) SS   =  1114.478239                Uncentered R2 =  -1.0234
Residual SS             =   2255.04451                Root MSE      =    1.147

------------------------------------------------------------------------------
            |               Robust
      happy |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
   ln_pcy02 |   1.560467   .5268474     2.96   0.003     .5278647    2.593068
       male |  -.5853268   .2200148    -2.66   0.008    -1.016548   -.1541056
    married |  -.1503001   .2183942    -0.69   0.491     -.578345    .2777447
malemarried |   .8126114    .282537     2.88   0.004     .2588489    1.366374
      edyrs |  -.0586502   .0176557    -3.32   0.001    -.0932547   -.0240457
    unempld |   .2073323   .5171631     0.40   0.688    -.8062887    1.220953
   r_health |   .0715126   .0787037     0.91   0.364    -.0827439    .2257691
    workhrs |  -.0031905   .0028553    -1.12   0.264    -.0087868    .0024058
ln_earn_diff |  -.1117204   .0533627    -2.09   0.036    -.2163094   -.0071314
     biginc |   .1049701   .1860298     0.56   0.573    -.2596416    .4695818
   smallinc |  -.0306185    .068844    -0.44   0.656    -.1655503    .1043132
   decrease |   -.329015   .1130287    -2.91   0.004    -.5505472   -.1074828
------------------------------------------------------------------------------
Anderson canon. corr. LR statistic (identification/IV relevance test):   8.525
                                                  Chi-sq(2) P-val =    0.0141
------------------------------------------------------------------------------
Error: estimated covariance matrix of moment conditions not of full rank;
      overidentification statistic not reported, and standard errors and
      model tests should be interpreted with caution
Possible causes:
      number of clusters insufficient to calculate robust covariance matrix
      singleton dummy variable (dummy with one 1 and N-1 0s or vice versa)
-fwl- option may address problem.  See help ivreg2.
------------------------------------------------------------------------------
Instrumented:         ln_pcy02
Included instruments: male married malemarried edyrs unempld r_health workhrs
                     ln_earn_diff biginc smallinc decrease
Excluded instruments: f_edyrs m_edyrs
Partialled-out (FWL): netfinassets _cons
                     nb: variable counts and small-sample adjustments
                     do not include partialled-out variables.
-------------------------------------------------------
*
*   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