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st: RE: "V_b-V_B is not positive definite" / XTOVERID


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: "V_b-V_B is not positive definite" / XTOVERID
Date   Mon, 1 Sep 2008 15:36:12 +0100

Alexandra,

Which version of Stata, updated when, are you using?  Use the -update-
command to find out.

I've just checked, and official -xtreg- was modified to work with the
-sigmamore- and -sigmaless- options in the Stata 9 ado update of 15
September 2005.

Cheers,
Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Alexandra Guisinger
> Sent: Monday, September 01, 2008 3:27 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: "V_b-V_B is not positive definite" / XTOVERID
> 
> I originally sent this message on Friday; but having seen no 
> evidence that it was distributed and having read the posts 
> about statalist problems, I am resending. I apologize if this 
> results in a duplicate message.
> 
> 
> ---------- Forwarded message ----------
> From: Alexandra Guisinger <Guisinger.1@nd.edu>
> Date: Fri, Aug 29, 2008 at 10:48 AM
> Subject: "V_b-V_B is not positive definite" / XTOVERID
> To: statalist@hsphsun2.harvard.edu
> 
> 
> I have an unbalanced panel of economic and policy data for 
> 110 countries over the last three decades. While I was trying 
> to determine whether a RE specification was reasonable, the 
> hausman command returned "V_b-V_B is not positive definite" 
> when provided my stored xtreg, fe and xtreg, re estimates. 
> Having no success I turned to the artificial regression 
> approach as implemented by Schaffer (2006) in the xtoverid 
> command. This led to the discussion below about the 
> acceptability of unbalanced panels in this framework, but 
> also raised an additional question: whether I had used the 
> sigmamore and sigmaless options to overcome the "not positive 
> definite" obstacle. Using one or the other should guarantee a 
> positive-definite, but I still received the same warning. 
> Does anyone have an intuition as to why this would be the 
> case? Thanks, Alexandra
> 
> ---------- Forwarded message ----------
> From: Schaffer, Mark E <M.E.Schaffer@hw.ac.uk>
> Date: Thu, Aug 28, 2008 at 4:25 PM
> Subject: RE: xtoverid
> To: Alexandra Guisinger <Guisinger.1@nd.edu>
> 
> 
> Hi Alexandra.  First question - did you use the "sigmamore" 
> or "sigmaless" options of -hausman- to guarantee a 
> positive-definite test stat?  I think this is supported by 
> -hausman- now.
> 
> The unbalancedness doesn't matter.  My vague recollection is 
> that the Hausman version is numerically identical to an 
> artificial regression version, but you need to use the right 
> combination of sigmas and artificial regressors.
> 
> In any case, the main reason for using xtoverid is that you 
> can get, e.g., cluster-robust test statistics - much 
> preferable to the standard Hausman stat that requires 
> homoskedasticity.
> 
> If you have a follow-up question, and you think it's 
> appropriate, can you ask via Statalist?  That way others can 
> benefit from the answer, and/or you might get a faster or 
> better answer from someone else.
> 
> Cheers,
> Mark
> 
> 
> Prof. Mark Schaffer
> Director, CERT
> Department of Economics
> School of Management & Languages
> Heriot-Watt University
> Edinburgh EH14 4AS
> tel +44-131-451-3494 / fax +44-131-451-3296 
> http://ideas.repec.org/e/psc51.html
> 
> 
> 
> ________________________________
> From: alexandraguisinger@gmail.com
> [mailto:alexandraguisinger@gmail.com] On Behalf Of Alexandra Guisinger
> Sent: 28 August 2008 19:47
> To: Schaffer, Mark E
> Subject: xtoverid
> 
> Dear Prof. Schaffer,
> 
> Thank you for your work on xtoverid. Unfortunately, I have an 
> annoying follow-up question. I have panel data (annual 
> average inflation rates, government policies, and economic 
> data). Stata's hausman command repeatedly returned "V_b-V_B 
> is not positive definite" when using my stored xtreg, fe and 
> xtreg, re estimates. For this reason, I would like to use the 
> artificial regression approach. However, my panel is not 
> balanced. Does this mean that the results are invalid or does 
> it simply explain why the overid statistic - di r(j) - is not 
> identical to di r(chi2) from the Hausman test using the sigma 
> from the FE estimation? I apologize if I missed an online 
> discussion of this issue.
> 
> Cordially,
> 
> Alexandra
> 
> ________________________________
> Heriot-Watt University is a Scottish charity registered under 
> charity number SC000278.
> 
> 
> 
> --
> Alexandra Guisinger
> Assistant Professor
> Political Science
> University of Notre Dame
> 217 O'Shaughnessy Hall
> Notre Dame, IN 46556
> (574) 631-3846
> Guisinger.1@nd.edu
> 
> 
> 
> --
> Alexandra Guisinger
> Assistant Professor
> Political Science
> University of Notre Dame
> 217 O'Shaughnessy Hall
> Notre Dame, IN 46556
> (574) 631-3846
> Guisinger.1@nd.edu
> *
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-- 
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.


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