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


From   Felix Wädlich <[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 14:01:27 +0100

Hey Justina,

I include gdp as a measure of market size and gdppc as an indicator
for development or wealth.

I tried to build up the covariates, but the problem remains: as soon
as I include the year dummies (yr*), I get the breakdown message. It
probably is a very basic problem, but I just dont see what I am doing
wrong, and also what else I can do. Any more thoughts?

Best,
Felix


2011/3/14 Justina Fischer <[email protected]>:
> 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/
>> >
>>
>> *
>> *   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/
>
> --
> 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
>
>
> *
> *   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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