Thanks, John. 2-way clustering is terra nova, and I am interested in general about how it works in practice. It sounds like your application is very suitable.
Cheers,
Mark
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> John Antonakis
> Sent: Friday, February 12, 2010 4:04 PM
> To: [email protected]
> Subject: Re: st: RE: ivreg versus xtivreg
>
> Hi Mark:
>
> The SEs are quite similar (and still significant) using two-way
> clustering as compared to the robust or clustering on one
> dimension. The
> first dimension has 192 clusters and the second dimension has 99
> clusters (and observations are n =433).
>
> 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 14:26, Schaffer, Mark E wrote:
> > John,
> >
> >
> >> -----Original Message-----
> >> From: [email protected]
> >> [mailto:[email protected]] On Behalf Of
> >> John Antonakis
> >> Sent: Friday, February 12, 2010 12:03 PM
> >> To: [email protected]
> >> 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: [email protected]
> >>>> [mailto:[email protected]] On Behalf Of
> >>>> John Antonakis
> >>>> Sent: Friday, February 12, 2010 9:23 AM
> >>>> To: [email protected]
> >>>> 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: [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/
> >>>> >>
> >>>> >
> >>>> >
> >>>>
> >>>> *
> >>>> * 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:
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> * http://www.stata.com/support/statalist/faq
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>
--
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.
*
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