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Re: st: -xtpcse and period dummies- no full table reported due to asymmetric and singular variance matrix


From   "Justina Fischer" <[email protected]>
To   [email protected]
Subject   Re: st: -xtpcse and period dummies- no full table reported due to asymmetric and singular variance matrix
Date   Mon, 14 Mar 2011 13:50:59 +0100

Hi

try to build up the covariates step-by-step and observe when breakdown occurs.

Why do you include gdppc and gdp simulatenously ? 

Justina
-------- Original-Nachricht --------
> Datum: Mon, 14 Mar 2011 13:39:28 +0100
> Von: "Felix Wädlich" <[email protected]>
> An: [email protected]
> Betreff: Re: st: -xtpcse and period dummies- no full table reported due to asymmetric and singular variance matrix

> Dear Clive,
> 
> thanks for ur suggestion, but unfortunately that did not do the job.
> Still getting the same warning message.Any other tip?
> 
> Best,
> Felix
> 
> . xtpcse  c_capital c_loggdppc c_loggdp c_lgovcon c_lgrowth
> c_lregionothers yr*, pairwise c(ar1)
> 
> Number of gaps in sample:  8
> (note: computations for rho restarted at each gap)
> note: yr1 omitted because of collinearity
> note: yr2 omitted because of collinearity
> (note: estimates of rho outside [-1,1] bounded to be in the range [-1,1])
> (note: at least one disturbance covariance assumed 0, no common time
> periods
>       between panels)
> Warning:  variance matrix is nonsymmetric or highly singular
> 
> Prais-Winsten regression, correlated panels corrected standard errors
> (PCSEs)
> 
> Group variable:   Country                       Number of obs
>      =      2814
> Time variable:    year                          Number of
> groups   =       134
> Panels:           correlated (unbalanced)       Obs per group: min
> =         2
> Autocorrelation:  common AR(1)                            
>     avg =        21
> Sigma computed by pairwise selection                        
>   max =        25
> Estimated covariances      =      9045          R-squared    
>      =    0.0493
> Estimated autocorrelations =         1          Wald chi2(0)  
>     =         .
> Estimated coefficients     =        30          Prob > chi2  
>      =         .
> 
> ------------------------------------------------------------------------------
>             |           Panel-corrected
>   c_capital |      Coef.   Std. Err.      z    P>|z|     [95%
> Conf. Interval]
> -------------+----------------------------------------------------------------
>  c_loggdppc |  -.5241978          .        .       .    
>        .           .
>    c_loggdp |    .110086          .        .       .    
>        .           .
>   c_lgovcon |   .0016855          .        .       .    
>        .           .
>   c_lgrowth |   .0008101          .        .       .    
>        .           .
> c_lregiono~s |   .1941566          .        .       .    
>        .           .
>         yr1 |  (omitted)
>         yr2 |  (omitted)
>         yr3 |    .022493          .        .       .  
>          .           .
>         yr4 |   .0273882          .        .       .  
>          .           .
>         yr5 |   .0115461          .        .       .  
>          .           .
>         yr6 |   .0337352          .        .       .  
>          .           .
>         yr7 |   .0598745          .        .       .  
>          .           .
>         yr8 |   .0291169          .        .       .  
>          .           .
>         yr9 |   .0211556          .        .       .  
>          .           .
>        yr10 |   .0255307          .        .       .  
>          .           .
>        yr11 |   .0242099          .        .       .  
>          .           .
>        yr12 |   .0043918          .        .       .  
>          .           .
>        yr13 |  -.0247601          .        .       .  
>          .           .
>        yr14 |   .0009665          .        .       .  
>          .           .
>        yr15 |   .1060365          .        .       .  
>          .           .
>        yr16 |   .0805885          .        .       .  
>          .           .
>        yr17 |   .0332214          .        .       .  
>          .           .
>        yr18 |   .0832608          .        .       .  
>          .           .
>        yr19 |   .0403092          .        .       .  
>          .           .
>        yr20 |   .0195583          .        .       .  
>          .           .
>        yr21 |   .0004272          .        .       .  
>          .           .
>        yr22 |    .013192          .        .       .  
>          .           .
>        yr23 |   .0135001          .        .       .  
>          .           .
>        yr24 |   .0059468          .        .       .  
>          .           .
>        yr25 |   .0014196          .        .       .  
>          .           .
>        yr26 |    -.00606          .        .       .  
>          .           .
>       _cons |  -.0334178          .        .       .    
>        .           .
> -------------+----------------------------------------------------------------
>         rho |   .8822325
> ------------------------------------------------------------------------------
> 
> 
> 2011/3/13 Clive Nicholas <[email protected]>:
> > Felix Waedlich:
> >
> >> I have to run a Prais-Winsten-regression with Period-Dummies and
> panel-corrected standard errors [by xtpcse, corr(ar1)], since my (unbalanced)
> panel needs correction for serial correlation, groupwise heteroskedasticity
> and contemporaneous correlation. I need the period dummies to control for
> common shocks and trends, since I have a Diffusion variable respectively
> spatial lag, which requires a conservative test against alternative external
> influences.
> >> Without period dummies, there appears to be no problem: Stata reports
> me all the coefficients, the z-values, etc. But when I include the period
> dummies, Stata says "warning: variance matrix is nonsymmetric or highly
> singular", and only lists the coefficients, but no standard errors, no z-values,
> etc.. Since this is a standard specification in my field of research, I am
> wondering how I can solve this problem. Any suggestions? Help much
> appreciated
> >> I read the only article on Statalist about this error message, but it
> really does not help me, and i dont really see how my data suffers from
> these problems.
> >
> > Try centering your continously measured variables by period and then
> > run -xtpcse, c(ar1)- again. Doing this comes at the cost of robbing
> > your model of explaining the variance in your response variable that
> > it would otherwise in a 'normal' model.
> >
> > --
> > Clive Nicholas
> >
> > [Please DO NOT mail me personally here, but at
> > <[email protected]>. Please respond to contributions I make in
> > a list thread here. Thanks!]
> >
> > "My colleagues in the social sciences talk a great deal about
> > methodology. I prefer to call it style." -- Freeman J. Dyson.
> >
> > *
> > *   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/
> >
> 
> *
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-- 
Justina AV Fischer, PhD
Senior Researcher
Faculty of Economics
University of Mannheim

homepage: http://www.justinaavfischer.de/
e-mail: [email protected]
papers: http://ideas.repec.org/e/pfi55.html


*
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