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From | Alex MacKay <mackay@uchicago.edu> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: Matsize and Estimation of the Variance Matrix in a Regression |
Date | Wed, 4 Sep 2013 08:58:11 -0500 |
Dear statalist, I have run into an issue that when I increase the matsize, it can cause a regression that previously ran with no warnings to return: "Warning: variance matrix is nonsymmetric or highly singular." It estimates the exact same coefficients across the board. I've put the log for the first coefficient below. Notice the Warning in advance of the output. With the larger matsize (10000), it does not estimate standard errors, and the model degrees of freedom are zero. I am using the areg command to absorb the variable product_id. Is it possible that Stata is trying to generate a number of fixed effects that exceed 800, the original matsize, and decides to drop the product_id dummy variables? This may allow it to estimate standard errors. If so, I think it should be reported as a bug. Alex (Note: I'm reposting in a way that may more clearly identify the issues, now that I am familiar with replying). //Matsize = 10000 note: 2599.week omitted because of collinearity note: 597.retailer_id omitted because of collinearity note: 866.retailer_id omitted because of collinearity note: 877.retailer_id omitted because of collinearity note: 9101.retailer_id omitted because of collinearity note: 54.state_id omitted because of collinearity Warning: variance matrix is nonsymmetric or highly singular note: 3997.retailer_id omitted because of collinearity note: 4955.retailer_id omitted because of collinearity note: 7005.retailer_id omitted because of collinearity note: 7599.retailer_id omitted because of collinearity Linear regression, absorbing indicators Number of obs = 597 F( 0, 45) = . Prob > F = . R-squared = 0.9256 Adj R-squared = 0.8695 Root MSE = 0.2950 (Std. Err. adjusted for 46 clusters in clusterID) ------------------------------------------------------------------------------ | Robust ln_price | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- treatment | -4.044072 . . . . . //Matsize == 800 note: 2599.week omitted because of collinearity note: 597.retailer_id omitted because of collinearity note: 866.retailer_id omitted because of collinearity note: 877.retailer_id omitted because of collinearity note: 9101.retailer_id omitted because of collinearity note: 54.fips omitted because of collinearity note: 3997.retailer_id omitted because of collinearity note: 4955.retailer_id omitted because of collinearity note: 7005.retailer_id omitted because of collinearity note: 7599.retailer_id omitted because of collinearity Linear regression, absorbing indicators Number of obs = 597 F( 49, 45) = . Prob > F = . R-squared = 0.9256 Adj R-squared = 0.8695 Root MSE = 0.3085 (Std. Err. adjusted for 46 clusters in clusterID) ------------------------------------------------------------------------------ | Robust ln_price | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- treatment | -4.044072 3.152507 -1.28 0.206 -10.39355 2.305404 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/