Re: st: RE: ivreg2 warning, even after "partialling out"

[Jin-Hyun Bae <jinhyun.bae@stern.nyu.edu>]

Mark,

Thank you for the clarification. I ran the code that you had in mind
and it now produces results without warnings.

I have 15 variables in $exogctrl and original _I* has a total of 182.
Hardly surprising that stata "gave up" when there are about 2300
observations and I previously ran the code with thousands of
additional _I variables!

Thank you again,
Jin


On 14 November 2013 11:41, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> wrote:
> Jin,
>
> It sounds like you have too many explicit regressors for cluster, and maybe too many in general - if you have many hundreds of explicit regressors,  Stata will have to invert a very large matrix, and that is inviting numerical accuracy problems.
>
> A few thoughts:
>
> Try partialling out $exogctrl AND _I* in the same regression, i.e., partial($exogctrl _I*).  This is what I originally had in mind.
>
> How many variables are in $exogctrl?  How many are in _I*?
>
> What is matsize set to?  You can find out with
>
>         query memory
>
> in Stata.
>
> --Mark
>
>> -----Original Message-----
>> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
>> statalist@hsphsun2.harvard.edu] On Behalf Of Jin-Hyun Bae
>> Sent: 14 November 2013 14:19
>> To: statalist@hsphsun2.harvard.edu
>> Subject: Re: st: RE: ivreg2 warning, even after "partialling out"
>>
>> Hello Mark,
>>
>> Thank you for your suggestion. I tried to partial out the full list of
>> controls and also a subset excluding binary controls, but I get the
>> following error.
>>
>> ivreg2 selfemp1 cultdist $exogctrl _I*, cluster (nat cisstate) partial(_I*)
>> matsize too small
>> r(908);
>>
>> Also, since you mentioned that it would be difficult to see where the
>> problem lies without seeing the results, I would like to respond to
>> that. Unfortunately, the data restrictions I have prevent me from
>> sending out the raw results. Could you tell me what you would like to
>> know, or what I should be looking out for?
>>
>> Thank you again,
>> Jin
>>
>> Date: Thu, 14 Nov 2013 00:23:42 +0000
>> From: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
>> Subject: st: RE: ivreg2 warning, even after "partialling out"
>>
>> Jin,
>>
>> > -----Original Message-----
>> > From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
>> > statalist@hsphsun2.harvard.edu] On Behalf Of Jin-Hyun Bae
>> > Sent: 13 November 2013 23:20
>> > To: statalist@hsphsun2.harvard.edu
>> > Subject: st: ivreg2 warning, even after "partialling out"
>> >
>> > Hello!
>> >
>> > I'm having problems nailing down the cause of a warning message when
>> using
>> > ivreg2. I am running OLS with two-way clustering (nat, cisstate) and have
>> added
>> > dummies for these variables.
>> >
>> > selfemp1 is a binary variable.
>> > cultdist is a continuous variable.
>> > _I* is a list of dummies based on nat and cisstate. I created these based on
>> the
>> > example code in the ivreg2 help file.
>> >
>> > When I run
>> > ivreg2 selfemp1 cultdist _I*, cluster (nat cisstate) partial(_I*) I don't get a
>> > warning.
>> >
>> > But when I add a list of exogenous controls ($exogctrl), I get the following
>> > "Warning: estimated covariance matrix of moment conditions not of full
>> rank.
>> > model tests should be interpreted with caution."
>> >
>> > This is the exact code I used.
>> > ivreg2 selfemp1 cultdist $exogctrl _I*, cluster (nat cisstate) partial(_I*)
>> >
>> > Also, if it helps, I get the same message when using the following code.
>> > ivreg2 selfemp1 cultdist $exogctrl, cluster (nat cisstate)
>> >
>> > In all cases I have 77 clusters for nat and 42 clusters for cisstate, and there
>> are
>> > no missing F values or std errors.
>> >
>> > I updated ivreg2 beforehand so it is up to date.
>> >
>> > Jin
>>
>> It's hard to tell for sure without seeing the output, but most likely
>> you are running into the not-full-rank-because-of-not-enough-clusters
>> issue.
>>
>> Does the error message go away if you also partial out the additional
>> exogenous controls in $exogctrl?
>>
>> - --Mark
>>
>> > *
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>>
>>
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> -----
> Sunday Times Scottish University of the Year 2011-2013
> Top in the UK for student experience
> Fourth university in the UK and top in Scotland (National Student Survey 2012)
>
>
> We invite research leaders and ambitious early career researchers to
> join us in leading and driving research in key inter-disciplinary themes.
> Please see www.hw.ac.uk/researchleaders for further information and how
> to apply.
>
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
>
>
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/faqs/resources/statalist-faq/
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