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From |
John Antonakis <john.antonakis@unil.ch> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Fri, 12 Feb 2010 13:03:09 +0100 |

Hi Mark:

Glad to hear that the SEs are probably OK. Best regards, John. ____________________________________________________

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 12:50, Schaffer, Mark E wrote:

John,-----Original Message-----From: owner-statalist@hsphsun2.harvard.edu[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf OfJohn AntonakisSent: 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 notof full rank.overidentification statistic not reported, andstandard errors and model tests should beinterpreted with caution.Possible causes:number of clusters insufficient to calculate robustcovariancematrixsingleton dummy variable (dummy with one 1 and N-10s or viceversa)partial option may address problem. Note, I have modeled two dimensions of clusteringDo you mean you're using the new 2-way cluster option?(and put all myfixed-effects in the partial option). Thus, I am correct insaying thatthe z test for a particular coefficient estimate is stillinterpretable.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. --MarkBest, 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 twostates STATA>> run the xtivreg2 without giving the error message. >>>> I have read the help file and FAQ and I think somethingis 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 VCVshould stillbe OK for tests of, say, one parameter at a time. So long as you arearen't trying to do something that requires a full-rank VCV(like 2-stepGMM, 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 possiblyoverstating 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 fixedeffect 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 dataassumptions - 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/

* * 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:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**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>

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

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