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st: RE: RE: RE: ivreg2 warning but ALL statistics are reported


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: RE: ivreg2 warning but ALL statistics are reported
Date   Tue, 30 Mar 2010 17:20:48 +0100

Umid,

Can you send me (off list) a log file comparing the output of ivreg2 and
ivreg29?  It would be helpful for me in tracking down the source of the
erroneous error message.

Best wishes,
Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Umid Aliev
> Sent: Tuesday, March 30, 2010 4:50 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: RE: RE: ivreg2 warning but ALL statistics are reported
> 
> Dear Mark,
> Thank you very much. I have tried ivreg29 and there is no any 
> warning message now, and everything else seems to be fine. 
> Thanks a lot again,
> Best wishes
> Umid
> ________________________________________
> From: owner-statalist@hsphsun2.harvard.edu 
> [owner-statalist@hsphsun2.harvard.edu] On Behalf Of Schaffer, 
> Mark E [M.E.Schaffer@hw.ac.uk]
> Sent: 30 March 2010 15:40
> To: statalist@hsphsun2.harvard.edu
> Subject: st: RE: ivreg2 warning but ALL statistics are reported
> 
> Umid,
> 
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Umid Aliev
> > Sent: Tuesday, March 30, 2010 3:13 PM
> > To: statalist@hsphsun2.harvard.edu
> > Subject: st: ivreg2 warning but ALL statistics are reported
> >
> > Reposting the question as the old text seemed a bit unclear.
> >
> > Dear Stata users,
> >
> > In my work on estimating wage equation using cross-sectional
> > data I am using
> > ivreg2 command for 2-step GMM. Since the data is
> > cross-regional I am tryig to
> > use cluster-robust standard errors. I have 26 clusters
> > (regions) and 70
> > regressors (including industry and regional dummies). To
> > avoid the problem of
> > having weighting matrix to be rank deficient I partialled out
> > industrial and
> > regional dummies, which left me with only 3 regressors (1 endogenous
> > instrumented by 3 excluded) for 26 clusters (regions).
> > Nevertheless I got the
> > warning message -
> >
> > > 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.
> >
> > Overidentification test Hansen J statistic is reported
> > contrary to what is
> > stated in the warning message. The only statistic missing is
> > Stock-Wright LM S statistic.
> 
> This is a bit odd.  Partialling-out is the right strategy, and your
> results should be valid.  I don't understand, though, why ivreg2 is
> still complaining about a var-cov matrix of orthogonality conditions
> that isn't full rank, since, as you point out, it was able to 
> calculate
> the J stat.
> 
> We released a major update of ivreg2 not long ago.  Are you using the
> most recent version?  I've got version 3.0.01 on my machine here.
> 
> We also released a version of ivreg2 that runs under Stata 9 
> and later,
> ivreg29.  The internal code of ivreg2 and ivreg29 are rather different
> (ivreg2 is heaviily Mata-ized, ivreg29 is not).  Do you get the same
> output with ivreg29?
> 
> Cheers,
> Mark
> 
> > I am slightly confused on how to treat these
> > results. Are they
> > valid? or does the appearance of warning suggest that further
> > work needs to be
> > done?
> >
> > Many thanks,
> > Umid
> >
> > Umid Aliev
> > Leeds University Business School
> > Maurice Keyworth Building
> > Leeds
> >
> > *
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> > *   http://www.ats.ucla.edu/stat/stata/
> >
> 
> 
> --
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
> 
> 
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> 


-- 
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.


*
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