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 <[email protected]> ha scritto:
> Da: Schaffer, Mark E <[email protected]>
> Oggetto: st: RE: ivreg versus xtivreg
> A: [email protected]
> Data: Giovedì 11 febbraio 2010, 19:43
> Sara,
>
> > -----Original Message-----
> > From: [email protected]
>
> > [mailto:[email protected]]
> On Behalf Of
> > sara borelli
> > Sent: Thursday, February 11, 2010 6:32 PM
> > To: [email protected]
> > 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
> >
> >
> >
> >
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/help.cgi?search
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> >
>
>
> --
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
>
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
