Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
| From | Felix Wädlich <fwaedlich@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: -xtpcse and period dummies- no full table reported due to asymmetric and singular variance matrix |
| Date | Mon, 14 Mar 2011 13:39:28 +0100 |
Dear Clive, thanks for ur suggestion, but unfortunately that did not do the job. Still getting the same warning message.Any other tip? Best, Felix . xtpcse c_capital c_loggdppc c_loggdp c_lgovcon c_lgrowth c_lregionothers yr*, pairwise c(ar1) Number of gaps in sample: 8 (note: computations for rho restarted at each gap) note: yr1 omitted because of collinearity note: yr2 omitted because of collinearity (note: estimates of rho outside [-1,1] bounded to be in the range [-1,1]) (note: at least one disturbance covariance assumed 0, no common time periods between panels) Warning: variance matrix is nonsymmetric or highly singular Prais-Winsten regression, correlated panels corrected standard errors (PCSEs) Group variable: Country Number of obs = 2814 Time variable: year Number of groups = 134 Panels: correlated (unbalanced) Obs per group: min = 2 Autocorrelation: common AR(1) avg = 21 Sigma computed by pairwise selection max = 25 Estimated covariances = 9045 R-squared = 0.0493 Estimated autocorrelations = 1 Wald chi2(0) = . Estimated coefficients = 30 Prob > chi2 = . ------------------------------------------------------------------------------ | Panel-corrected c_capital | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- c_loggdppc | -.5241978 . . . . . c_loggdp | .110086 . . . . . c_lgovcon | .0016855 . . . . . c_lgrowth | .0008101 . . . . . c_lregiono~s | .1941566 . . . . . yr1 | (omitted) yr2 | (omitted) yr3 | .022493 . . . . . yr4 | .0273882 . . . . . yr5 | .0115461 . . . . . yr6 | .0337352 . . . . . yr7 | .0598745 . . . . . yr8 | .0291169 . . . . . yr9 | .0211556 . . . . . yr10 | .0255307 . . . . . yr11 | .0242099 . . . . . yr12 | .0043918 . . . . . yr13 | -.0247601 . . . . . yr14 | .0009665 . . . . . yr15 | .1060365 . . . . . yr16 | .0805885 . . . . . yr17 | .0332214 . . . . . yr18 | .0832608 . . . . . yr19 | .0403092 . . . . . yr20 | .0195583 . . . . . yr21 | .0004272 . . . . . yr22 | .013192 . . . . . yr23 | .0135001 . . . . . yr24 | .0059468 . . . . . yr25 | .0014196 . . . . . yr26 | -.00606 . . . . . _cons | -.0334178 . . . . . -------------+---------------------------------------------------------------- rho | .8822325 ------------------------------------------------------------------------------ 2011/3/13 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/ > * * 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/