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From |
Nishant Dass <[email protected]> |

To |
[email protected] |

Subject |
Re: st: RE: missing std. errors |

Date |
Thu, 21 Aug 2008 07:47:25 -0700 (PDT) |

Hi Sebastian and jverkuilen, Like you both mentioned, Stata automatically drops one category. And as I replied to Richard, I also tried doing it myself, knowing that Stata will drop any one as the choice is "arbitrary". Sorry about not including my code earlier but here it is now: reg familyBportwt Bcurrentniche relbanking familyEportwt $FIRM2 $COVE $FAM q1-q38 ff1-ff10, r cluster(familyid) As you see above, I have a lot more variables than I posted in my email (only to keep the email shorter while still conveying my main message). The dummies q1-q38 have no problem but it's the ff-dummies that have missing standard errors. (As I said earlier, I started with 50 of these ff-dummies but reducing them to 10 with coarser categories also doesn't help.) I am using robust standard errors, as both Sebastian and jverkuilen suspected, but none of the dummies correspond to the clusters, i.e., "q" and "ff" do not correspond to "familyid". Yes, I suppose I could run -xtreg- and control for fixed effects of "q" and "ff". I think what Sebastian said might be true - there might collinearities between these dummies and some other variables. Also, it is possible that dropping some other category might provide more "stable results". I will try these and let you know, but thanks a lot for your suggestions and help. Best, Nishant --- On Wed, 8/20/08, Sebastian E. Wenz <[email protected]> wrote: > From: Sebastian E. Wenz <[email protected]> > Subject: Re: st: RE: missing std. errors > To: [email protected] > Date: Wednesday, August 20, 2008, 7:47 PM > Richard A. Forshee suggested the following as a solution to > Nishant's > problem (see the end of this e-mail for the problem): > > "Have you excluded a reference category? If not, your > dummy variables > will be perfectly collinear with the constant." > > > It is a good idea to pick a reference category by > yourself---(i) you > might wanna look at point estimates of the dummies in > comparison to a > specific group; (ii) you might wanna pick a category that > ensures > "stable results", put differently: pick a > category of reasonable size > (=a group that is not too small). > > However, excluding a reference category is not the solution > to Nishant's > problem as I see it; Stata automatically drops variables > that show very > high collinearity. Actually, Nishant's output looks > like this is what > happened: "dummy10" is reported as > "(dropped)". > > As far as I read Nishant's output, the problem is > likely to be linked to > the usage of the -cluster()- option. I am inferring from > the output, > since Nishant is not reporting the code he typed. Actually, > I have no > idea what the problem is exactly, but Nishant should check > the relations > among the cluster-variable "familyid", the > dummies ("dummy1"-"dummy10"), > and the dependent variable on collinearities, nested > structures, and > group/cell sizes. > > Hope this helps (somewhat), > > Sebastian > > > > First of all, I am using Stata/SE 10.0 on Windows. > > > > My question is about missing standard errors. I am > implementing a > > simple linear regression model with roughly 50 > indicator/dummy variables > > on the right-hand side (besides a dozen other > independent variables), > > and in the results generated, standard errors for the > coefficients of > > all the dummy variables are not reported. In > addition, the standard > > error for the constant term is also not reported. > > > > I thought it might be due to the skewed distribution > of my observations > > across the 50 categories (represented by the 50 > indicator/dummy > > variables), i.e., it might be that there are too many > 1's or 0's in some > > of the categories. So I tried reducing the number of > indicator/dummy > > variables by using much more coarsely-defined > categories. This coarse > > categorization brings down the number of > indicator/dummy variables to > > 10, but I still get the same problem! (Attached below > is part of the > > output generated.) > > > > Any help would be much appreciated. > > > > Thanks, > > > > Nishant > > > > > > P.S. Here's a sample of what I see (using 10 > indicator variables) in > > the output generated by Stata: > > > > Linear regression > Number of obs = > > 226223 > > > F( 58, 454) = > > . > > > Prob > F = > > . > > > R-squared = > > 0.0750 > > > Root MSE = > > .02272 > > > > (Std. Err. adjusted for > 455 clusters in > > familyid) > > > ------------------------------------------------------------------------ > > ------ > > | Robust > > familyport~1 | Coef. Std. Err. t > P>|t| [95% Conf. > > Interval] > > > -------------+---------------------------------------------------------- > > ------ > > indvar1 | .0002341 .0001428 1.64 0.102 > -.0000465 > > .0005147 > > > > ... > > > > indvar14 | .0002029 .0005647 0.36 0.720 > -.0009069 > > .0013127 > > dummy1 | -.0041449 . . . > . > > . > > dummy2 | -.0039503 . . . > . > > . > > dummy3 | -.0038193 . . . > . > > . > > dummy4 | -.003429 . . . > . > > . > > dummy5 | -.0034715 . . . > . > > . > > dummy6 | -.003175 . . . > . > > . > > dummy7 | -.0033819 . . . > . > > . > > dummy8 | -.002303 . . . > . > > . > > dummy9 | -.0022382 . . . > . > > . > > dummy10 | (dropped) > > _cons | .0790628 . . . > . > > . > > > ------------------------------------------------------------------------ > > ------ > > > > . > > > > > > > > > > > > > > > > * > > * 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/ > > > > > * > * 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/

**References**:**Re: st: RE: missing std. errors***From:*"Sebastian E. Wenz" <[email protected]>

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