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Re: st: RE: missing std. errors


From   Nishant Dass <nishant_dass@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: missing std. errors
Date   Thu, 21 Aug 2008 07:47:25 -0700 (PDT)

Hi Sebastian and jverkuilen,

Like you both mentioned, Stata automatically drops one category.  And as I replied to Richard, I also tried doing it myself, knowing that Stata will drop any one as the choice is "arbitrary".  

Sorry about not including my code earlier but here it is now:

reg familyBportwt  Bcurrentniche relbanking familyEportwt $FIRM2 $COVE $FAM q1-q38 ff1-ff10, r cluster(familyid) 

As you see above, I have a lot more variables than I posted in my email (only to keep the email shorter while still conveying my main message).  The dummies q1-q38 have no problem but it's the ff-dummies that have missing standard errors.  (As I said earlier, I started with 50 of these ff-dummies but reducing them to 10 with coarser categories also doesn't help.)  

I am using robust standard errors, as both Sebastian and jverkuilen suspected, but none of the dummies correspond to the clusters, i.e., "q" and "ff" do not correspond to "familyid".  Yes, I suppose I could run -xtreg- and control for fixed effects of "q" and "ff".  

I think what Sebastian said might be true - there might collinearities between these dummies and some other variables.  Also, it is possible that dropping some other category might provide more "stable results".

I will try these and let you know, but thanks a lot for your suggestions and help.

Best,

Nishant



--- On Wed, 8/20/08, Sebastian E. Wenz <sewenz@mail.uni-mannheim.de> wrote:

> From: Sebastian E. Wenz <sewenz@mail.uni-mannheim.de>
> Subject: Re: st: RE: missing std. errors
> To: statalist@hsphsun2.harvard.edu
> Date: Wednesday, August 20, 2008, 7:47 PM
> 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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