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Re: st: RE: missing std. errors


From   "Sebastian E. Wenz" <sewenz@mail.uni-mannheim.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: missing std. errors
Date   Thu, 21 Aug 2008 01:47:00 +0200

Richard A. Forshee suggested the following as a solution to Nishant's 
problem (see the end of this e-mail for the problem):

"Have you excluded a reference category?  If not, your dummy variables
will be perfectly collinear with the constant."


It is a good idea to pick a reference category by yourself---(i) you 
might wanna look at point estimates of the dummies in comparison to a 
specific group; (ii) you might wanna pick a category that ensures 
"stable results", put differently: pick a category of reasonable size 
(=a group that is not too small).

However, excluding a reference category is not the solution to Nishant's 
problem as I see it; Stata automatically drops variables that show very 
high collinearity. Actually, Nishant's output looks like this is what 
happened: "dummy10" is reported as "(dropped)".

As far as I read Nishant's output, the problem is likely to be linked to 
the usage of the -cluster()- option. I am inferring from the output, 
since Nishant is not reporting the code he typed. Actually, I have no 
idea what the problem is exactly, but Nishant should check the relations 
among the cluster-variable "familyid", the dummies ("dummy1"-"dummy10"), 
and the dependent variable on collinearities, nested structures, and 
group/cell sizes.

Hope this helps (somewhat),

Sebastian


> First of all, I am using Stata/SE 10.0 on Windows.
> 
> My question is about missing standard errors.  I am implementing a
> simple linear regression model with roughly 50 indicator/dummy variables
> on the right-hand side (besides a dozen other independent variables),
> and in the results generated, standard errors for the coefficients of
> all the dummy variables are not reported.  In addition, the standard
> error for the constant term is also not reported.  
> 
> I thought it might be due to the skewed distribution of my observations
> across the 50 categories (represented by the 50 indicator/dummy
> variables), i.e., it might be that there are too many 1's or 0's in some
> of the categories.  So I tried reducing the number of indicator/dummy
> variables by using much more coarsely-defined categories.  This coarse
> categorization brings down the number of indicator/dummy variables to
> 10, but I still get the same problem!  (Attached below is part of the
> output generated.)
> 
> Any help would be much appreciated.
> 
> Thanks,
> 
> Nishant
> 
> 
> P.S.  Here's a sample of what I see (using 10 indicator variables) in
> the output generated by Stata:
> 
> Linear regression                                      Number of obs =
> 226223
>                                                        F( 58,   454) =
> .
>                                                        Prob > F      =
> .
>                                                        R-squared     =
> 0.0750
>                                                        Root MSE      =
> .02272
> 
>                              (Std. Err. adjusted for 455 clusters in
> familyid)
> ------------------------------------------------------------------------
> ------
>              |               Robust
> familyport~1 |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
> Interval]
> -------------+----------------------------------------------------------
> ------
>  indvar1     |   .0002341   .0001428     1.64   0.102    -.0000465
> .0005147
> 
> ...
> 
>  indvar14    |   .0002029   .0005647     0.36   0.720    -.0009069
> .0013127
>       dummy1 |  -.0041449          .        .       .            .
> .
>       dummy2 |  -.0039503          .        .       .            .
> .
>       dummy3 |  -.0038193          .        .       .            .
> .
>       dummy4 |   -.003429          .        .       .            .
> .
>       dummy5 |  -.0034715          .        .       .            .
> .
>       dummy6 |   -.003175          .        .       .            .
> .
>       dummy7 |  -.0033819          .        .       .            .
> .
>       dummy8 |   -.002303          .        .       .            .
> .
>       dummy9 |  -.0022382          .        .       .            .
> .
>      dummy10 |  (dropped)
>        _cons |   .0790628          .        .       .            .
> .
> ------------------------------------------------------------------------
> ------
> 
> . 
> 
> 
> 
> 
> 
> 
>       
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