John,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> John Antonakis
> Sent: 12 February 2010 21:02
> To: [email protected]
> Subject: Re: st: RE: ivreg versus xtivreg
>
> Interestingly, the Hansen J is non significant when I specify
> the model with the "robust" vce option. However, I cannot
> obtain the J test when clustering (as mention, I get the
> "warming" message).
I have a hunch ... there's an undocumented ivreg2 option -spsd-. For some special cases, it will take a non-pd VCV and make it pd using a spectral decomposition. What happens if you reestimate using this option?
--Mark
>
> Intuitively, would you think that the Hansen J would be close
> to that obtained from the two-way clustered J? I guess that
> there is no "trick"
> of sorts or something that could be done to get an idea if
> the overidentifying restrictions are viable.
>
> 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 17:53, Schaffer, Mark E wrote:
> > Thanks, John. 2-way clustering is terra nova, and I am
> interested in general about how it works in practice. It
> sounds like your application is very suitable.
> >
> > Cheers,
> > Mark
> >
> >
> >> -----Original Message-----
> >> From: [email protected]
> >> [mailto:[email protected]] On Behalf Of John
> >> Antonakis
> >> Sent: Friday, February 12, 2010 4:04 PM
> >> To: [email protected]
> >> Subject: Re: st: RE: ivreg versus xtivreg
> >>
> >> Hi Mark:
> >>
> >> The SEs are quite similar (and still significant) using two-way
> >> clustering as compared to the robust or clustering on one
> dimension.
> >> The first dimension has 192 clusters and the second
> dimension has 99
> >> clusters (and observations are n =433).
> >>
> >> Regards,
> >> John.
> >>
> >> ____________________________________________________
> >>
> >> 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 14:26, Schaffer, Mark E wrote:
> >>
> >>> John,
> >>>
> >>>
> >>>
> >>>> -----Original Message-----
> >>>> From: [email protected]
> >>>> [mailto:[email protected]] On Behalf Of John
> >>>> Antonakis
> >>>> Sent: Friday, February 12, 2010 12:03 PM
> >>>> To: [email protected]
> >>>> Subject: Re: st: RE: ivreg versus xtivreg
> >>>>
> >>>> Hi Mark:
> >>>>
> >>>> Yes; I am using the 2-way cluster option. Fyi, the highest
> >>>>
> >> n-size for
> >>
> >>>> the cluster is 192.
> >>>>
> >>>>
> >>> I take it that means you've got 192 clusters in one
> >>>
> >> dimension. Do you have a similarly large number in the second
> >> dimension? In that case I agree, you're probably OK.
> >>
> >>> I'm also curious about the results of using 2-way
> >>>
> >> clustering. Does it make a big difference?
> >>
> >>> --Mark
> >>>
> >>>
> >>>
> >>>> Glad to hear that the SEs are probably OK.
> >>>>
> >>>> Best regards,
> >>>> John.
> >>>>
> >>>> ____________________________________________________
> >>>>
> >>>> 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 12:50, Schaffer, Mark E wrote:
> >>>>
> >>>>
> >>>>> John,
> >>>>>
> >>>>>
> >>>>>
> >>>>>
> >>>>>> -----Original Message-----
> >>>>>> From: [email protected]
> >>>>>> [mailto:[email protected]] On
> Behalf Of John
> >>>>>> Antonakis
> >>>>>> Sent: Friday, February 12, 2010 9:23 AM
> >>>>>> To: [email protected]
> >>>>>> 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: [email protected]
> >>>>>> >> [mailto:[email protected]] On
> Behalf Of
> >>>>>> >> sara borelli >> Sent: 12 February 2010 07:58 >> To:
> >>>>>> [email protected] >> 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
> <[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
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> >>>>>> >>>>
> >>>>>> >>>
> >>>>>> >>> --
> >>>>>> >>> Heriot-Watt University is a Scottish charity
> registered >>
> >>>>>> under charity >>> number SC000278.
> >>>>>> >>>
> >>>>>> >>>
> >>>>>> >>> *
> >>>>>> >>> * For searches and help try:
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> >>>>>> >>
> >>>>>> >>
> >>>>>> >>
> >>>>>> >> *
> >>>>>> >> * For searches and help try:
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> >>>>>> >
> >>>>>>
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> >>>>>>
> >>>>>>
> >>>>>
> >>>>>
> >>>>>
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--
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