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RE: st: RE: ivreg versus xtivreg


From   sara borelli <saraborelli77@yahoo.it>
To   statalist@hsphsun2.harvard.edu
Subject   RE: st: RE: ivreg versus xtivreg
Date   Fri, 12 Feb 2010 09:14:19 +0000 (GMT)

thank you very much for you help!
sara

--- Ven 12/2/10, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> ha scritto:

> Da: Schaffer, Mark E <M.E.Schaffer@hw.ac.uk>
> Oggetto: RE: st: RE: ivreg versus xtivreg
> A: statalist@hsphsun2.harvard.edu
> Data: Venerdì 12 febbraio 2010, 09:55
> Sara,
> 
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu
> 
> > [mailto:owner-statalist@hsphsun2.harvard.edu]
> On Behalf Of 
> > sara borelli
> > Sent: 12 February 2010 07:58
> > To: statalist@hsphsun2.harvard.edu
> > Cc: Schaffer, Mark E
> > Subject: R: st: RE: ivreg versus xtivreg
> > 
> > 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
> 
> I think your explanation in your earlier email is probably
> right:
> 
> > 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
> 
> And the question is, should you worry about it?  The
> VCV should still be OK for tests of, say, one parameter at a
> time.  So long as you are aren't trying to do something
> that requires a full-rank VCV (like 2-step GMM, or using an
> overid stat, or joint testing of all the coeffs), you're OK,
> I think.
> 
> Memo to self: calling this an "error" in the output is
> possibly overstating the issue; maybe "warning" is better.
> 
> --Mark
> 
> > 
> > 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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> > > > 
> > > 
> > > 
> > > --
> > > Heriot-Watt University is a Scottish charity
> registered 
> > under charity 
> > > number SC000278.
> > > 
> > > 
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> > 
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> 
> -- 
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
> 
> 
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