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R: st: RE: ivreg versus xtivreg


From   sara borelli <saraborelli77@yahoo.it>
To   statalist@hsphsun2.harvard.edu
Subject   R: st: RE: ivreg versus xtivreg
Date   Fri, 12 Feb 2010 07:58:10 +0000 (GMT)

Hi Mark,
I am sorry I did not understand your answer...and I think it is because I I made a typo in writing the command and I did not explain myself clearly. I do NOT include  i.county  in xtivreg2. So I reformulate my question:

xtivreg2  CRit  (Xit=Wit)  Zit   (state by year fixed effects), 
fe i(county), cluster(county)

gives the error message " 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:  singleton dummy variable (dummy 
with one 1 and N-1 0s or vice versa) fwl option may address problem"

but the same command xtivreg2 without state by year effects:
xtivreg2  CRit  (Xit=Wit)  Zit, fe i(county), cluster(county)
 does NOT report the above error message

I do not uderstand why the inclusion of state by year fe caused that error message

thank you
sara



--- Gio 11/2/10, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> ha scritto:

> Da: Schaffer, Mark E <M.E.Schaffer@hw.ac.uk>
> Oggetto: st: RE: ivreg versus xtivreg
> A: statalist@hsphsun2.harvard.edu
> Data: Giovedì 11 febbraio 2010, 19:43
> Sara,
> 
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu
> 
> > [mailto:owner-statalist@hsphsun2.harvard.edu]
> On Behalf Of 
> > sara borelli
> > Sent: Thursday, February 11, 2010 6:32 PM
> > To: statalist@hsphsun2.harvard.edu
> > Subject: st: ivreg versus xtivreg
> > 
> > Dear members, 
> > I am running the following regressions in STATA8.2:
> > CRit =  a*Xit +  b*Zit  + (state by
> year fixed effects)  + 
> > (county fixed effects), cluster(county)
> > 
> > CRit= crime rate in county i year t
> > Xit = endogenous regressor
> > Zit = set of 7 exogenous regressors
> > state by year fixed effects = interactions between
> indicators 
> > for each state and year
> > 
> > I instrument Xit using Wit
> > There are 246 counties, 10 states, 8 years
> > I have been running this model with two commands
> > 
> > xi:   ivreg  CRit 
> (Xit=Wit)  Zit   (state by year fixed 
> > effects)  i.county, cluster(county)
> > xtivreg2  CRit  (Xit=Wit) 
> Zit   (state by year fixed 
> > effects)  i.county, fe i.(county)
> cluster(county)
> > 
> > the two commands give exactly the same coefficient,
> and just 
> > slightly different std errors, but after xtivreg2 I
> get the 
> > following message:
> > 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:  singleton dummy
> variable (dummy 
> > with one 1 and N-1 0s or vice versa) fwl option may
> address problem.
> > 
> > I noticed that 2 states have a number of counties
> (clusters)  
> > lower than the number of years available. By dropping
> these 
> > two states STATA run the xtivreg2 without giving the
> error message.
> > 
> > I have read the help file and FAQ and I think
> something is 
> > going with those state by year effects that creates a
> kind of 
> > singleton dummy problem, but I am not sure 
> > Any help would be appreciated
> 
> It's not a problem.
> 
> You will note that xtivreg2 does not report the fixed
> effect dummy
> variables.
> 
> xi: ivreg2 explicitly includes the dummies, and the
> coefficients are
> reported.
> 
> The warning message reported by ivreg2 is triggered by the
> fact that
> there are now many more rows/columns in the VCV, the new,
> extended VCV
> is no longer full rank.
> 
> In fact, the coefficients and standard errors for the
> dummies aren't
> consistent anyway (under the usual panel data assumptions -
> this is the
> "incidental parameters problem").  So you really
> aren't interested in
> the extended VCV anyway.
> 
> HTH,
> Mark
>  
> > thank you
> > sara
> > 
> > 
> > 
> >       
> > 
> > *
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> > *   http://www.ats.ucla.edu/stat/stata/
> > 
> 
> 
> -- 
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
> 
> 
> *
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> 


      

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