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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 > > > > > > > > > > > > > > > > > > > > > > > > * > > > > * 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/ > > > > > -- > 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/

**References**:**RE: st: RE: ivreg versus xtivreg***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

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