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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: RE: ivreg versus xtivreg |

Date |
Fri, 12 Feb 2010 13:26:56 -0000 |

John, > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > John Antonakis > Sent: Friday, February 12, 2010 12:03 PM > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: RE: ivreg versus xtivreg > > Hi Mark: > > Yes; I am using the 2-way cluster option. Fyi, the highest n-size for > the cluster is 192. I take it that means you've got 192 clusters in one dimension. Do you have a similarly large number in the second dimension? In that case I agree, you're probably OK. I'm also curious about the results of using 2-way clustering. Does it make a big difference? --Mark > Glad to hear that the SEs are probably OK. > > Best regards, > John. > > ____________________________________________________ > > Prof. John Antonakis, Associate Dean > Faculty of Business and Economics > Department of Organizational Behavior > University of Lausanne > Internef #618 > CH-1015 Lausanne-Dorigny > Switzerland > > Tel ++41 (0)21 692-3438 > Fax ++41 (0)21 692-3305 > > Faculty page: > http://www.hec.unil.ch/people/jantonakis > > Personal page: > http://www.hec.unil.ch/jantonakis > ____________________________________________________ > > > > On 12.02.2010 12:50, Schaffer, Mark E wrote: > > John, > > > > > >> -----Original Message----- > >> From: owner-statalist@hsphsun2.harvard.edu > >> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > >> John Antonakis > >> Sent: Friday, February 12, 2010 9:23 AM > >> To: statalist@hsphsun2.harvard.edu > >> Subject: Re: st: RE: ivreg versus xtivreg > >> > >> Hi Mark: > >> > >> I have a similar error; however, the message I get is: > >> > >> Warning: 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: > >> 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. > >> > >> Note, I have modeled two dimensions of clustering > >> > > > > Do you mean you're using the new 2-way cluster option? > > > > > >> (and put all my > >> fixed-effects in the partial option). Thus, I am correct in > >> saying that > >> the z test for a particular coefficient estimate is still > >> interpretable. > >> > > > > Probably. I can think of some special cases where things > can go wrong (these are what motivated the writing of the > warning message). You might have a small number of clusters > (so the asymptotics are dodgy) or a singleton dummy which > would mean you couldn't do a test on the significance of the > coefficient (of course, you couldn't do that anyway). But > most likely the SEs are OK. > > > > --Mark > > > > > >> Best, > >> J. > >> > >> ____________________________________________________ > >> > >> Prof. John Antonakis, Associate Dean > >> Faculty of Business and Economics > >> Department of Organizational Behavior > >> University of Lausanne > >> Internef #618 > >> CH-1015 Lausanne-Dorigny > >> Switzerland > >> > >> Tel ++41 (0)21 692-3438 > >> Fax ++41 (0)21 692-3305 > >> > >> Faculty page: > >> http://www.hec.unil.ch/people/jantonakis > >> > >> Personal page: > >> http://www.hec.unil.ch/jantonakis > >> ____________________________________________________ > >> > >> > >> > >> On 12.02.2010 09:55, Schaffer, Mark E wrote: > >> > Sara, > >> > > >> >> -----Original Message----- > >> >> From: owner-statalist@hsphsun2.harvard.edu > >> >> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > >> >> sara borelli > >> >> Sent: 12 February 2010 07:58 > >> >> To: statalist@hsphsun2.harvard.edu > >> >> 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 <M.E.Schaffer@hw.ac.uk> > >> ha scritto: > >> >> > >> >>> Da: Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> > >> >>> Oggetto: st: RE: ivreg versus xtivreg > >> >>> A: statalist@hsphsun2.harvard.edu > >> >>> Data: Giovedì 11 febbraio 2010, 19:43 > >> >>> Sara, > >> >>> > >> >>>> -----Original Message----- > >> >>>> From: owner-statalist@hsphsun2.harvard.edu > >> >>>> [mailto:owner-statalist@hsphsun2.harvard.edu] > >> >>> On Behalf Of > >> >>>> sara borelli > >> >>>> Sent: Thursday, February 11, 2010 6:32 PM > >> >>>> To: statalist@hsphsun2.harvard.edu > >> >>>> 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/ > >> >> > >> > > >> > > >> > >> * > >> * 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/

**Follow-Ups**:**Re: st: RE: ivreg versus xtivreg***From:*John Antonakis <john.antonakis@unil.ch>

**References**:**st: RE: ivreg versus xtivreg***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**R: st: RE: ivreg versus xtivreg***From:*sara borelli <saraborelli77@yahoo.it>

**RE: st: RE: ivreg versus xtivreg***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**Re: st: RE: ivreg versus xtivreg***From:*John Antonakis <john.antonakis@unil.ch>

**RE: st: RE: ivreg versus xtivreg***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**Re: st: RE: ivreg versus xtivreg***From:*John Antonakis <john.antonakis@unil.ch>

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