Re: st: -xtpcse and period dummies- no full table reported due to asymmetric and singular variance matrix

[Clive Nicholas <clivelists@googlemail.com>]

Felix Waedlich:

> I have to run a Prais-Winsten-regression with Period-Dummies and panel-corrected standard errors [by xtpcse, corr(ar1)], since my (unbalanced) panel needs correction for serial correlation, groupwise heteroskedasticity and contemporaneous correlation. I need the period dummies to control for common shocks and trends, since I have a Diffusion variable respectively spatial lag, which requires a conservative test against alternative external influences.
> Without period dummies, there appears to be no problem: Stata reports me all the coefficients, the z-values, etc. But when I include the period dummies, Stata says "warning: variance matrix is nonsymmetric or highly singular", and only lists the coefficients, but no standard errors, no z-values, etc.. Since this is a standard specification in my field of research, I am wondering how I can solve this problem. Any suggestions? Help much appreciated
> I read the only article on Statalist about this error message, but it really does not help me, and i dont really see how my data suffers from these problems.

Try centering your continously measured variables by period and then
run -xtpcse, c(ar1)- again. Doing this comes at the cost of robbing
your model of explaining the variance in your response variable that
it would otherwise in a 'normal' model.

-- 
Clive Nicholas

[Please DO NOT mail me personally here, but at
<clivenicholas@hotmail.com>. Please respond to contributions I make in
a list thread here. Thanks!]

"My colleagues in the social sciences talk a great deal about
methodology. I prefer to call it style." -- Freeman J. Dyson.

*
*   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/