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st: collinearity error with xtmixed
From
Tim <[email protected]>
To
[email protected]
Subject
st: collinearity error with xtmixed
Date
Thu, 07 Mar 2013 19:49:58 +1100
Hello statalist
This afternoon I am getting a collinearity error with an -xtmixed- model
that ran without error earlier in the week. I suspect it may be related
to the 25 February 2013 update that I installed this morning, and I am
wondering if anyone else has had any issues. I have not been able to
reproduce the error in a standard dataset.
. mi extract 0
. xtmixed factc i.onemonth c.mth i.exent i.predischarge#1.exent
i.exent#(i.onemonth c.mth) , || id:
note: 1.exent#c.mth omitted because of collinearity
factc collinear with 1.onemonth mth 1.exent 1.predischarge#1.exent
1.exent#1.onemonth _cons
r(459);
The above command ran earlier this week (with -mi estimate- in the full
imputed data). I did recreate the dataset yesterday, and at first I
thought I might have introduced an error in creating one of the
variables. But I have rechecked that do file and believe the variables
are correctly created, and as far as I can see they are not collinear.
Furthermore -regress- with the same variables works:
. regr factc i.onemonth c.mth i.exent i.predischarge#1.exent
i.exent#(i.onemonth c.mth)
Source | SS df MS Number of obs
= 907
-------------+------------------------------ F( 6, 900) =
11.13
Model | 29167.1194 6 4861.18657 Prob > F =
0.0000
Residual | 392985.922 900 436.651024 R-squared = 0.0691
-------------+------------------------------ Adj R-squared =
0.0629
Total | 422153.041 906 465.952584 Root MSE = 20.896
------------------------------------------------------------------------------------
factc | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------------+----------------------------------------------------------------
1.onemonth | 2.159979 4.877711 0.44 0.658
-7.413033 11.73299
mth | .8091676 .506566 1.60 0.111
-.1850205 1.803356
1.exent | 2.403435 4.091718 0.59 0.557
-5.626985 10.43386
|
predischarge#exent |
1 1 | -12.85066 2.540801 -5.06 0.000 -17.83725
-7.864078
|
exent#onemonth |
1 1 | -4.527393 5.393465 -0.84 0.401
-15.11263 6.05784
|
exent#c.mth |
1 | -.0603609 .5561196 -0.11 0.914
-1.151803 1.031081
|
_cons | 90.67813 3.693961 24.55 0.000
83.42835 97.9279
------------------------------------------------------------------------------------
But if I use my own constant I get a variable omitted for collinearity,
and ridiculous results:
. regr factc i.baseline i.onemonth c.mth i.exent i.predischarge#1.exent
i.exent#(i.onemonth c.mth)
> , nocons
note: 1.exent#c.mth omitted because of collinearity
Source | SS df MS Number of obs
= 907
-------------+------------------------------ F( 6, 901)
= 0.00
Model | 0 6 0 Prob > F =
1.0000
Residual | 8153786.3 901 9049.70733 R-squared = 0.0000
-------------+------------------------------ Adj R-squared =
-0.0067
Total | 8153786.3 907 8989.84157 Root MSE = 95.13
------------------------------------------------------------------------------------
factc | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------------+----------------------------------------------------------------
1.baseline | -2294.535 38.70451 -59.28 0.000 -2370.497
-2218.574
1.onemonth | 3036.203 50.02024 60.70 0.000 2938.033
3134.373
mth | -136.4238 2.383266 -57.24 0.000 -141.1012
-131.7464
1.exent | 2928.942 46.65202 62.78 0.000 2837.383
3020.501
|
predischarge#exent |
1 1 | -554.1757 14.01385 -39.54 0.000 -581.6793
-526.6721
|
exent#onemonth |
1 1 | -2888.99 47.15213 -61.27 0.000 -2981.53
-2796.449
|
exent#c.mth |
1 | 0 (omitted)
------------------------------------------------------------------------------------
Omit that variable from the command myself instead of letting Stata drop
it, and the results are reasonable again:
. regr factc i.baseline i.onemonth c.mth i.exent i.predischarge#1.exent
i.exent#(i.onemonth) , noc
> ons
Source | SS df MS Number of obs
= 907
-------------+------------------------------ F( 6, 901) =
2965.49
Model | 7760795.24 6 1293465.87 Prob > F =
0.0000
Residual | 392991.066 901 436.172104 R-squared = 0.9518
-------------+------------------------------ Adj R-squared =
0.9515
Total | 8153786.3 907 8989.84157 Root MSE = 20.885
------------------------------------------------------------------------------------
factc | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------------+----------------------------------------------------------------
1.baseline | 90.67813 3.691934 24.56 0.000 83.43233
97.92392
1.onemonth | 2.396769 4.360251 0.55 0.583
-6.16066 10.9542
mth | .7590845 .208915 3.63 0.000 .3490678
1.169101
1.exent | 2.403435 4.089474 0.59 0.557
-5.622568 10.42944
|
predischarge#exent |
1 1 | -12.85066 2.539407 -5.06 0.000 -17.8345
-7.866821
|
exent#onemonth |
1 1 | -4.81595 4.690143 -1.03 0.305
-14.02083 4.388927
------------------------------------------------------------------------------------
-xtreg- also drops a variable, but does fit the model and produce
reasonable results:
. encode id, gen(ppn)
. xtreg factc i.onemonth c.mth i.exent i.predischarge#1.exent
i.exent#(i.onemonth c.mth), i(ppn)
note: 1.exent omitted because of collinearity
[output omitted]
Today I am working on version 12.1 (updated this morning), but my do
files all have a -version 11.2- command at the top. Tomorrow I will be
back on my other computer, which runs version 11.2, and I'll see if the
problem persists there.
Tim BP
[email protected]
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