Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
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 14:01:27 +0100
Hey Justina,
I include gdp as a measure of market size and gdppc as an indicator
for development or wealth.
I tried to build up the covariates, but the problem remains: as soon
as I include the year dummies (yr*), I get the breakdown message. It
probably is a very basic problem, but I just dont see what I am doing
wrong, and also what else I can do. Any more thoughts?
Best,
Felix
2011/3/14 Justina Fischer <[email protected]>:
> Hi
>
> try to build up the covariates step-by-step and observe when breakdown occurs.
>
> Why do you include gdppc and gdp simulatenously ?
>
> Justina
> -------- Original-Nachricht --------
>> Datum: Mon, 14 Mar 2011 13:39:28 +0100
>> Von: "Felix Wädlich" <[email protected]>
>> An: [email protected]
>> Betreff: Re: st: -xtpcse and period dummies- no full table reported due to asymmetric and singular variance matrix
>
>> 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.
>> >
>> > *
>> > * 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/
>
> --
> Justina AV Fischer, PhD
> Senior Researcher
> Faculty of Economics
> University of Mannheim
>
> homepage: http://www.justinaavfischer.de/
> e-mail: [email protected]
> papers: http://ideas.repec.org/e/pfi55.html
>
>
> *
> * 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/