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


From   Felix Wädlich <[email protected]>
To   [email protected]
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 <[email protected]>:
> 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
> <[email protected]>. 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.
>
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