Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, statalist.org is already up and running.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
RE: st: missing std errors---xtivreg2
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
RE: st: missing std errors---xtivreg2
Mon, 11 Jun 2012 13:42:53 +0100
I think you need to tell us more. Besides the output for what does and doesn't work, you should also tell us what software you are using (which Stata, which version of xtivreg2, etc.).
See the FAQs, http://www.stata.com/support/faqs/res/statalist.html#advice, for guidance on how to ask questions on Statalist.
> -----Original Message-----
> From: email@example.com
> [mailto:firstname.lastname@example.org] On Behalf Of
> Abhimanyu Arora
> Sent: Friday, June 08, 2012 2:21 PM
> To: email@example.com
> Subject: Re: st: missing std errors---xtivreg2
> Hello again
> Just to follow up,
> I discovered a few things that might facilitate a healthy discussion.
> Vince Wiggins has got a post here
> http://www.stata.com/statalist/archive/2003-06/msg00646.html, that
> might be somewhat related.
> But as I infer from his answer to Mark, there's to be 1 one and rest
> zeros. But when I summarize my >2500 observations, I have 40% ones.
> Also I do get standard error for this variable if I cluster it 1-way
> (or I guess level would be more econometrically correct), instead of
> But I hope to understand this puzzling issue thanks to your
> Then I see that one-way clustering does
> On Fri, Jun 8, 2012 at 2:35 PM, Abhimanyu Arora
> <firstname.lastname@example.org> wrote:
> > Dear statalist
> > I am estimating a panel-fixed effects model with two-way clustering
> > with one endogenous variable making use of Schaffer et al's
> > . which xtivreg2
> > c:\ado\plus\x\xtivreg2.ado
> > *! xtivreg2 1.0.13 28Aug2011
> > *! author mes
> > May I request you to shed some light on a couple of issues.
> > I am getting missing standard error for one included
> instrument. It is
> > a binary variable.
> > I get the following warning in my output indicating that
> this variable
> > is problematic.
> > Warning: estimated covariance matrix of moment conditions
> not of full rank.
> > 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.
> > However, since I would have liked to see the significance of the
> > coefficient of this variable, is there a way to address this problem
> > (inability to infer) without -partial-? I guess one might
> have to drop
> > observations...but is it so?
> > Another thing I need to clarify is that in this case while for weak
> > identification test using the KP rk Wald F statistic (=AP F) rejects
> > the null, I am not sure about the underidentification
> test---the first
> > stage reports Kleibergen-Paap rk LM statistic as well as AP
> chi-sq and
> > these two are meaning different conclusions for the null. For the
> > cluster-robust case which among the two is preferred,
> perhaps I might
> > have read too fast in the help file so as to miss it, so seek your
> > thoughts/references on this.
> > I could share the results if you ask.
> > With best wishes
> > Abhimanyu
> > *
> > * 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 the Sunday Times
Scottish University of the Year 2011-2012
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.
* For searches and help try: