Sara,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> sara borelli
> Sent: 12 February 2010 07:58
> To: [email protected]
> Cc: Schaffer, Mark E
> Subject: R: st: RE: ivreg versus xtivreg
>
> Hi Mark,
> I am sorry I did not understand your answer...and I think it
> is because I I made a typo in writing the command and I did
> not explain myself clearly. I do NOT include i.county in
> xtivreg2. So I reformulate my question:
>
> xtivreg2 CRit (Xit=Wit) Zit (state by year fixed effects),
> fe i(county), cluster(county)
>
> gives the error message " estimated covariance matrix of
> moment conditions not of full rank; overidentification
> statistic not reported, and standard errors and model tests
> should be interpreted with caution. Possible causes:
> singleton dummy variable (dummy with one 1 and N-1 0s or vice
> versa) fwl option may address problem"
>
> but the same command xtivreg2 without state by year effects:
> xtivreg2 CRit (Xit=Wit) Zit, fe i(county), cluster(county)
> does NOT report the above error message
>
> I do not uderstand why the inclusion of state by year fe
> caused that error message
I think your explanation in your earlier email is probably right:
> I noticed that 2 states have a number of counties (clusters) lower
> than the number of years available. By dropping these two states STATA
> run the xtivreg2 without giving the error message.
>
> I have read the help file and FAQ and I think something is going with
> those state by year effects that creates a kind of singleton dummy
> problem, but I am not sure Any help would be appreciated
And the question is, should you worry about it? The VCV should still be OK for tests of, say, one parameter at a time. So long as you are aren't trying to do something that requires a full-rank VCV (like 2-step GMM, or using an overid stat, or joint testing of all the coeffs), you're OK, I think.
Memo to self: calling this an "error" in the output is possibly overstating the issue; maybe "warning" is better.
--Mark
>
> thank you
> sara
>
>
>
> --- Gio 11/2/10, Schaffer, Mark E <[email protected]> ha scritto:
>
> > Da: Schaffer, Mark E <[email protected]>
> > Oggetto: st: RE: ivreg versus xtivreg
> > A: [email protected]
> > Data: Giovedì 11 febbraio 2010, 19:43
> > Sara,
> >
> > > -----Original Message-----
> > > From: [email protected]
> >
> > > [mailto:[email protected]]
> > On Behalf Of
> > > sara borelli
> > > Sent: Thursday, February 11, 2010 6:32 PM
> > > To: [email protected]
> > > Subject: st: ivreg versus xtivreg
> > >
> > > Dear members,
> > > I am running the following regressions in STATA8.2:
> > > CRit = a*Xit + b*Zit + (state by
> > year fixed effects) +
> > > (county fixed effects), cluster(county)
> > >
> > > CRit= crime rate in county i year t
> > > Xit = endogenous regressor
> > > Zit = set of 7 exogenous regressors
> > > state by year fixed effects = interactions between
> > indicators
> > > for each state and year
> > >
> > > I instrument Xit using Wit
> > > There are 246 counties, 10 states, 8 years I have been
> running this
> > > model with two commands
> > >
> > > xi: ivreg CRit
> > (Xit=Wit) Zit (state by year fixed
> > > effects) i.county, cluster(county)
> > > xtivreg2 CRit (Xit=Wit)
> > Zit (state by year fixed
> > > effects) i.county, fe i.(county)
> > cluster(county)
> > >
> > > the two commands give exactly the same coefficient,
> > and just
> > > slightly different std errors, but after xtivreg2 I
> > get the
> > > following message:
> > > Error: estimated covariance matrix of moment
> > conditions not
> > > of full rank;
> > > overidentification statistic not reported, and
> > standard
> > > errors and model tests
> > should be interpreted with
> > > caution. Possible causes: singleton dummy
> > variable (dummy
> > > with one 1 and N-1 0s or vice versa) fwl option may
> > address problem.
> > >
> > > I noticed that 2 states have a number of counties
> > (clusters)
> > > lower than the number of years available. By dropping
> > these
> > > two states STATA run the xtivreg2 without giving the
> > error message.
> > >
> > > I have read the help file and FAQ and I think
> > something is
> > > going with those state by year effects that creates a
> > kind of
> > > singleton dummy problem, but I am not sure Any help would be
> > > appreciated
> >
> > It's not a problem.
> >
> > You will note that xtivreg2 does not report the fixed effect dummy
> > variables.
> >
> > xi: ivreg2 explicitly includes the dummies, and the
> coefficients are
> > reported.
> >
> > The warning message reported by ivreg2 is triggered by the
> fact that
> > there are now many more rows/columns in the VCV, the new,
> extended VCV
> > is no longer full rank.
> >
> > In fact, the coefficients and standard errors for the
> dummies aren't
> > consistent anyway (under the usual panel data assumptions - this is
> > the "incidental parameters problem"). So you really aren't
> interested
> > in the extended VCV anyway.
> >
> > HTH,
> > Mark
> >
> > > thank you
> > > sara
> > >
> > >
> > >
> > >
> > >
> > > *
> > > * 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 a Scottish charity registered
> under charity
> > number SC000278.
> >
> >
> > *
> > * 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 a Scottish charity
registered under charity number SC000278.
*
* 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/
