A while back, someone wrote to ask about the message "Warning:
variance matrix is nonsymmetric or highly singular," which appears in
Stata 9 and 10 survey commands but not in earlier versions. When this
message appears, the regression results display coefficient estimates
but no standard errors for any of the coefficients.
Jeff Pitblado posted the response that this message "is most likely
due to one or more sparse indicator variables. By sparse indicator, I
mean a variable that takes on the values 0 or 1 (or missing) and is 1
for a very small proportion of the observations. The best example is
an indicator variable that identifies 1 observation; this will
invalidate the large sample theory that the robust variance estimator
depends upon for the coefficient on this variable -- however, you can
simply remove this variable from the model to solve the problem."
I understand why Stata cannot estimate the standard error for the
"problem" covariate. However, earlier versions of Stata display a
missing standard error for the problem covariate, but display
nonmissing SEs for the other covariates. My understanding is that
these other SE estimates are fine (and would presumably be the same if
we removed the problem covariate from the model and estimated in Stata
9).
I would ideally like to be able to run the models in Stata 9 without
having to drop the problem covariates, and to have Stata display SEs
for the non-problem coefficients. Is there any way to do this? And am
I correct that the estimated SEs on the non-problem coefficients (eg
if estimated in Stata 8) should in fact be correct?
Thanks,
Melissa
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