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Re: st: RE: non full ranked covariance matrix of moment conditions after xtivreg2
From
"Anat (Manes) Tchetchik" <[email protected]>
To
[email protected]
Subject
Re: st: RE: non full ranked covariance matrix of moment conditions after xtivreg2
Date
Thu, 2 Jan 2014 02:06:59 +0200
Dear Mark,
I placed each answer below the relevant question for ease of following:
> Can you check that you have the latest versions of ivreg2, xtivreg2 and ranktest installed, and also tell us which version of Stata you are using?
> which ivreg2, all
c:\ado\plus\i\ivreg2.ado
*! ivreg2 3.1.07 28Jul2013
*! authors cfb & mes
> which xtivreg2, all
c:\ado\plus\x\xtivreg2.ado
*! xtivreg2 1.0.13 28Aug2011
*! author mes
> which ranktest, all
c:\ado\plus\r\ranktest.ado
*! ranktest 1.3.02 27Feb2012
*! author mes, based on code by fk
> version
version 13.1
> Does xtivreg2 report that any observations are not used because of singletons?
No- it stated among the possible causes: singleton dummy variable
(dummy with one 1 and N-1 0s or vice versa)
> What happens if you estimate using ivreg2 and explicit dummies for countries?
If I understand you correct, I ran:
xi: ivreg2 SS dem gini inflation shad_econ_min3 gdp i.year
dcountry_code1 ......... dcountry_code34 , cluster( country_code
year) bw(1)
the results remain the same , the same coefficients,warnings and the:
Number of clusters (year) = 2007 (I can send you the results)
> What happens if you estimate using xtivreg2 and partial-out the year dummies?
This has actually solved the problem as you can see below (yet it
still says Number of clusters (year) = 2007):
I ran the following:
xi: xtivreg2 ss demgini gini inflation shad_econ sixtfive gdp
i.year, fe cluster( country_code year) bw(1) partial(i.year)
and received:
i.year _Iyear_1989-2007 (naturally coded; _Iyear_1989 omitted)
FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 35 Obs per group: min = 8
avg = 12.6
max = 16
OLS estimation
--------------
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity and clustering on country_code and year
and kernel-robust to common correlated disturbances (Driscoll-Kraay)
kernel=Bartlett; bandwidth=1
time variable (t): year
group variable (i): country_code
Number of clusters (country_code) = 35 Number of obs = 440
Number of clusters (year) = 2007 F( 6, 34) = 4.40
Prob > F = 0.0022
Total (centered) SS = 2.545869056 Centered R2 = 0.1594
Total (uncentered) SS = 2.545869056 Uncentered R2 = 0.1594
Residual SS = 2.139947433 Root MSE = .07269
--------------------------------------------------------------------------------
| Robust
ss | Coef. Std. Err. z P>|z| [95%
Conf. Interval]
---------------+----------------------------------------------------------------
dem_gini | .0049295 .001544 3.19 0.001 .0019034 .0079556
gini_m | -.005013 .0024799 -2.02 0.043 -.0098736 -.0001524
inflation | -.0000572 .0000218 -2.62 0.009 -.0001 -.0000145
shad_eco | -.0132554 .0053642 -2.47 0.013 -.0237691 -.0027416
sixtfive | -.0003735 .0149491 -0.02 0.980 -.0296733 .0289262
gdp | -.0085065 .0098609 -0.86 0.388 -.0278335 .0108204
--------------------------------------------------------------------------------
Included instruments: demgini_min2 gini inflation shad_eco
sixtfive gdp
Partialled-out: _Iyear_1991 _Iyear_1992 _Iyear_1993 _Iyear_1994
_Iyear_1995 _Iyear_1996 _Iyear_1997 _Iyear_1998
_Iyear_1999 _Iyear_2000 _Iyear_2001 _Iyear_2002
_Iyear_2003 _Iyear_2004 _Iyear_2005 _Iyear_2006
_Iyear_2007
nb: small-sample adjustments account for
partialled-out variables
------------------------------------------------------------------------------
> --Anat
>
>> -----Original Message-----
>> From: [email protected] [mailto:owner-
>> [email protected]] On Behalf Of Anat (Manes) Tchetchik
>> Sent: 01 January 2014 20:09
>> To: [email protected]
>> Subject: st: non full ranked covariance matrix of moment conditions after
>> xtivreg2
>>
>> Dear all,
>>
>> I have an unbalanced panel of data on 35 countries over 17 years (446 obs.) I
>> have jointly significant time effects are, as well as first order autocorrelation.
>> As I want to account for two-way (unit and time ) cluster-robust covariance
>> matrix and estimated the following model:
>>
>> xi: xtivreg2 SS dem gini inflation shad_econ_min3 gdp i.year, fe cluster(
>> country year) bw(1)
>>
>> The output below raises two issues:
>> (1) Why does it indicate that the "Number of clusters (year) = 2007"
>> and not 17 as it should?
>> (2) how should I treat the Warning: "estimated covariance matrix of moment
>> conditions not of full rank. model tests should be interpreted with caution"
>> Note that when omitting the year dummies this warning doesn't appear
>>
>> Number of clusters (country) = 35 Number of obs = 440
>> Number of clusters (year) = 2007
>>
>> ss Coef. Std. Err.
>> ---------------+-------------------------------------------------
>> dem 0.00493 0.001544 3.19
>> gini -0.005013 0.00248 -2.02
>> inflation -5.72E-05 2.18E-05 -2.62
>>
>>
>>
>> gdp -0.008507 0.009861 -0.86
>> _Iyear_1991 0.138 0.038671 3.56
>> _Iyear_1992 0.365 0.079991 4.56
>> _Iyear_1993 0.332 0.081221 4.09
>> _Iyear_1994 0.339 0.081055 4.18
>> _Iyear_1995 0.338 0.084453 4.01
>> _Iyear_1996 0.360 0.088365 4.07
>> _Iyear_1997 0.371 0.093862 3.96
>> _Iyear_1998 0.363 0.100767 3.6
>> _Iyear_1999 0.400 0.106786 3.75
>> _Iyear_2000 0.422 0.10945 3.86
>> _Iyear_2001 0.418 0.115567 3.62
>> _Iyear_2002 0.416 0.12068 3.45
>> _Iyear_2003 0.415 0.124553 3.33
>> _Iyear_2004 0.418 0.128937 3.24
>> _Iyear_2005 0.418 0.129226 3.23
>> _Iyear_2006 0.475 0.133707 3.55
>> _Iyear_2007 0.519 0.14433 3.59
>>
>>
>> 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
>> covariance matrix of moment conditions not positive definite
>> covariance matrix uses too many lags
>> singleton dummy variable (dummy with one 1 and N-1 0s or vice versa)
>> partial option may address problem.
>>
>> Best,
>>
>> Anat Tchetchik, PhD
>> Department of Business Administration
>> Guilford Glazer Faculty of Business and Management Ben-Gurion University of
>> the Negev
>> P.O.Box: 653
>> Beer-Sheva, Israel, 84105
>>
>> E-mail: [email protected]
>> Phone 972-(0)8-6479735
>> Fax: 972-(0)8-6472920
>> *
>> * For searches and help try:
>> * http://www.stata.com/help.cgi?search
>> * http://www.stata.com/support/faqs/resources/statalist-faq/
>> * http://www.ats.ucla.edu/stat/stata/
>
>
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--
Anat Tchetchik, PhD
Department of Business Administration
Guilford Glazer Faculty of Business and Management
Ben-Gurion University of the Negev
P.O.Box: 653
Beer-Sheva, Israel, 84105
E-mail: [email protected]
Phone 972-(0)8-6479735
Fax: 972-(0)8-6472920
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/faqs/resources/statalist-faq/
* http://www.ats.ucla.edu/stat/stata/