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

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

Subject |
RE: st: RE: ivreg2 and xtoverid error |

Date |
Sat, 3 Apr 2010 20:12:45 +0100 |

John, > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > John Antonakis > Sent: 03 April 2010 17:45 > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: RE: ivreg2 and xtoverid error > > Thanks Mark. > > I realize that the test of endogeneity is not one of > instrument validity. My thinking was that if OLS seems like > it is not consistent then I am better off with IV, which is > less efficient and given what evidence I currently have, > probably consistent. I understand now. But Kit's caveats are worth bearing in mind, even if there isn't much you can do about it. > The instruments are fixed-effects (of > leaders); thus, these individual differences due to leaders > (stemming from ability, personality, are constant and > theoretically exogenous as they are mostly genetically determined). They could still be correlated with the disturbance term and hence endogenous in an econometric sense, even if they are exogenous in a model sense. But that's getting away from the topic, namely why don't -ivreg2- or -ivregress- give you first-stage a.k.a. under- or weak-identification statistics when presented with an enormous reduced form matrix. > Unfortunately, -ivregress- does not give me the first-stage critical > values: it says "(not available)". Looks like it is running into the same problems as -ivreg2-. If you want to pursue this further, feel free to contact me off-list. I'd be interested in tracing the problem and seeing when the missing values in the matrix calculations start showing up. Cheers, Mark > Thanks for your help. > > 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 03.04.2010 16:56, Schaffer, Mark E wrote: > > John, > > > > > >> -----Original Message----- > >> From: owner-statalist@hsphsun2.harvard.edu > >> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of John > >> Antonakis > >> Sent: 03 April 2010 14:47 > >> To: statalist@hsphsun2.harvard.edu > >> Subject: Re: st: RE: ivreg2 and xtoverid error > >> > >> Hi Mark > >> > >> Thanks for the note. > >> > >> I get exactly the same estimates and standard errors with > >> -ivreg- and -ivregress-, with the cluster robust variance > estimator. > >> When using > >> -ivreg2- with the -noid- option it works and I get the same > >> estimates; more importantly, I also get the Hansen J-test, > >> > > > > Looks like it was -ranktest- that was also causing invsym() > to choke, > > probably for the same reason - the reduced form first-stage > matrix is > > probably too big and badly behaved for it to cope. > > > > > >> which is what interests me most (the -ivregress- estimator > does not > >> report an overid for cluster-robust vce's): > >> > >> Hansen J statistic (overidentification test of all instruments): > >> 402.476, Chi-sq(404) P-val = 0.5121 > >> > >> Note, my estimates make sense and the regressors I expected to be > >> significant are mostly significant. I guess I can assume that my > >> estimates are consistent--and this because the endogeneity test is > >> significant (from -ivregres-), right? > >> > > > > You can get -ivreg2- to give you an endogeneity test statistic with > > the > > -endog- option. I think it will agree with the -estat- test. > > > > But -estat endogenous- and -ivreg2,endog()- are testing whether you > > need to treat your endogenous regressors x1-x13 as > endogenous (and the > > answer seems to be yes, you do). They aren't testing whether your > > equation is underidentified or weakly identified, which is > what you'd > > also like to know. This is the test that -ranktest- and > -ivreg2- are > > choking on because the matrix is so big. > > > > I'd be curious to know if Stata's -estat firststage- is able to > > generate the Cragg-Donald ("minimum eigenvalue") > > under/weak-identification statistic in your case. You'll > need to use > > the -forcenonrobust- option to get it if you're using > cluster-robust. > > > > Cheers, > > Mark > > > > > >> . estat endogenous > >> > >> Tests of endogeneity > >> Ho: variables are exogenous > >> > >> Robust regression F(13,417) = 119.753 (p = 0.0000) > >> (Adjusted for 418 clusters in lead_number) > >> > >> 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 03.04.2010 15:16, Schaffer, Mark E wrote: > >> > >>> John, > >>> > >>> You've got a very large number of instruments (almost 500), > >>> > >> but also > >> > >>> 13 endogenous regressors. The under- and weak-id statistics are > >>> calculated by -ranktest-, and it's running of memory > >>> > >> because it works > >> > >>> with the reduced form in matrix form (13 first-stage > >>> > >> regressions, each > >> > >>> with almost 500 regressors). > >>> > >>> If you use the -noid- option, it might address that > problem problem > >>> (but you won't get the weak id stats). > >>> > >>> The > >>> > >>> invsym(): matrix has missing values > >>> > >>> is different. -ivreg2- is having problems inverting this > huge Z'Z > >>> matrix and -ivregress- isn't (I think possibly because > the latter > >>> uses a different Mata matrix inversion function). I do > >>> > >> wonder whether > >> > >>> the results you're getting actually make sense. > >>> > >>> Have you tried using the old -ivreg-, which uses > -regress-? It is > >>> numerically very stable and accurate. Does it give the > >>> > >> same results > >> > >>> as -ivregress-? > >>> > >>> Cheers, > >>> Mark > >>> > >>> > >>> > >>>> -----Original Message----- > >>>> From: owner-statalist@hsphsun2.harvard.edu > >>>> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of John > >>>> Antonakis > >>>> Sent: 03 April 2010 01:20 > >>>> To: statalist@hsphsun2.harvard.edu > >>>> Subject: st: ivreg2 and xtoverid error > >>>> > >>>> Hi: > >>>> > >>>> I am running Stata version 11 and have everything up to date. > >>>> > >>>> When running a two-stage model with ivreg2, I get the > >>>> > >> following error: > >> > >>>> . xi: ivreg2 sat (x1-x13=i.lead_n) , cluster(lead_n) > >>>> i.lead_number _Ilead_numb_1-484 (naturally coded; > >>>> > >> _Ilead_numb_1 > >> > >>>> omitted) > >>>> quadcross(): 3900 unable to allocate real > >>>> <tmp>[5421,5421] > >>>> rkstat(): - function returned error > >>>> <istmt>: - function returned error > >>>> r(3900); > >>>> > >>>> If I remove the vce cluster command I get another error: > >>>> > >>>> . xi: ivreg2 y (x1-x13=i.lead_n) , > >>>> i.lead_number _Ilead_numb_1-484 (naturally coded; > >>>> > >> _Ilead_numb_1 > >> > >>>> omitted) > >>>> > >>>> invsym(): matrix has missing values > >>>> > >>>> This model is estimated fine with the official -ivregress- > >>>> > >> command, > >> > >>>> whether I use a cluster-robust or normal variance > estimator, e.g., > >>>> > >>>> . xi: ivregress 2sls y (x1-x13=i.lead_n) ,cluster(lead_n) > >>>> i.lead_number _Ilead_numb_1-484 (naturally coded; > >>>> > >> _Ilead_numb_1 > >> > >>>> omitted) > >>>> > >>>> Instrumental variables (2SLS) regression > >>>> > >> Number of obs > >> > >>>> = 832 > >>>> > >>>> > >> Wald chi2(13) > >> > >>>> = > >>>> 1020.01 > >>>> Prob > > >>>> chi2 = > >>>> 0.0000 > >>>> > >>>> R-squared = > >>>> 0.7020 > >>>> Root > >>>> MSE = > >>>> .2955 > >>>> > >>>> (Std. Err. adjusted for 418 clusters in > >>>> lead_number) > >>>> -------------------------------------------------------------- > >>>> ---------------- > >>>> | Robust > >>>> y | Coef. Std. Err. z P>|z| > >>>> > >> [95% Conf. > >> > >>>> Interval] > >>>> -------------+------------------------------------------------ > >>>> ---------- > >>>> -------------+------ > >>>> x1 | .3849406 .0509433 7.56 0.000 > >>>> > >> .2850935 > >> > >>>> .4847877 > >>>> x2 | -.0452167 .0541093 -0.84 0.403 > >>>> > >> -.1512689 > >> > >>>> .0608355 > >>>> x3 | -.0214062 .0392473 -0.55 0.585 > >>>> > >> -.0983295 > >> > >>>> .0555171 > >>>> x4 | .0743079 .0528296 1.41 0.160 > >>>> -.0292363 > >>>> .177852 > >>>> x5 | .1559398 .056997 2.74 0.006 > >>>> > >> .0442276 > >> > >>>> .2676519 > >>>> x6 | .168241 .0577832 2.91 0.004 > >>>> .0549879 > >>>> .281494 > >>>> x7 | -.1359489 .0290323 -4.68 0.000 > >>>> > >> -.1928512 > >> > >>>> -.0790465 > >>>> x8 | .0485811 .0358857 1.35 0.176 > >>>> > >> -.0217535 > >> > >>>> .1189157 > >>>> x9 | -.1772587 .0512706 -3.46 0.001 > >>>> > >> -.2777472 > >> > >>>> -.0767701 > >>>> x10 | .1785753 .0570718 3.13 0.002 > >>>> > >> .0667166 > >> > >>>> .2904339 > >>>> x11 | .0309138 .0533183 0.58 0.562 > >>>> > >> -.0735883 > >> > >>>> .1354158 > >>>> x12 | .2282491 .0554658 4.12 0.000 > >>>> .1195381 > >>>> .33696 > >>>> x13 | -.0723148 .0486346 -1.49 0.137 > >>>> > >> -.1676369 > >> > >>>> .0230072 > >>>> _cons | .4183937 .1616004 2.59 0.010 > >>>> > >> .1016627 > >> > >>>> .7351247 > >>>> -------------------------------------------------------------- > >>>> ---------------- > >>>> Instrumented: x1 x2 x3 x4 x5 x6 x7 x8 x9 x10 x11 x12 x13 > >>>> Instruments: _Ilead_numb_2 _Ilead_numb_3 _Ilead_numb_4 > >>>> > >> _Ilead_numb_5 > >> > >>>> [output snipped] > >>>> > >>>> > >>>> Interestingly, when I run it with -xtivreg-, the model is > >>>> > >> estimated > >> > >>>> fine; however, -xtoverid- gives me the following error: > >>>> > >>>> . xtoverid > >>>> invsym(): matrix has missing values r(504); > >>>> > >>>> This is the same error that follows ivreg2 estimation. > >>>> > >>>> I suspect it might have something to do with the fact that > >>>> > >> I have a > >> > >>>> large number of instruments (fixed-effects, with 483 > >>>> dummies) and clustering on those fixed-effects. > >>>> > >>>> Best, > >>>> 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 > >>>> ____________________________________________________ > >>>> > >>>> > >>>> * > >>>> * 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/

**References**:**st: ivreg2 and xtoverid error***From:*John Antonakis <john.antonakis@unil.ch>

**st: RE: ivreg2 and xtoverid error***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**Re: st: RE: ivreg2 and xtoverid error***From:*John Antonakis <john.antonakis@unil.ch>

**RE: st: RE: ivreg2 and xtoverid error***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**Re: st: RE: ivreg2 and xtoverid error***From:*John Antonakis <john.antonakis@unil.ch>

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