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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: RE: ivreg versus xtivreg |

Date |
Fri, 12 Feb 2010 11:50:07 -0000 |

John, > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > John Antonakis > Sent: Friday, February 12, 2010 9:23 AM > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: RE: ivreg versus xtivreg > > Hi Mark: > > I have a similar error; however, the message I get is: > > Warning: 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: > number of clusters insufficient to calculate robust > covariance > matrix > singleton dummy variable (dummy with one 1 and N-1 > 0s or vice > versa) > partial option may address problem. > > Note, I have modeled two dimensions of clustering Do you mean you're using the new 2-way cluster option? > (and put all my > fixed-effects in the partial option). Thus, I am correct in > saying that > the z test for a particular coefficient estimate is still > interpretable. Probably. I can think of some special cases where things can go wrong (these are what motivated the writing of the warning message). You might have a small number of clusters (so the asymptotics are dodgy) or a singleton dummy which would mean you couldn't do a test on the significance of the coefficient (of course, you couldn't do that anyway). But most likely the SEs are OK. --Mark > > Best, > J. > > ____________________________________________________ > > Prof. John Antonakis, Associate Dean > Faculty of Business and Economics > Department of Organizational Behavior > University of Lausanne > Internef #618 > CH-1015 Lausanne-Dorigny > Switzerland > > Tel ++41 (0)21 692-3438 > Fax ++41 (0)21 692-3305 > > Faculty page: > http://www.hec.unil.ch/people/jantonakis > > Personal page: > http://www.hec.unil.ch/jantonakis > ____________________________________________________ > > > > On 12.02.2010 09:55, Schaffer, Mark E wrote: > > 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/ > >> > > > > > > * > * 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/

**Follow-Ups**:**Re: st: RE: ivreg versus xtivreg***From:*John Antonakis <john.antonakis@unil.ch>

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

**R: st: RE: ivreg versus xtivreg***From:*sara borelli <saraborelli77@yahoo.it>

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

**Re: st: RE: ivreg versus xtivreg***From:*John Antonakis <john.antonakis@unil.ch>

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