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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 14:13:39 +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:
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> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
*
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