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


From   Jin-Hyun Bae <[email protected]>
To   [email protected]
Subject   Re: st: RE: ivreg2 warning, even after "partialling out"
Date   Thu, 14 Nov 2013 09:19:08 -0500

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" <[email protected]>
Subject: st: RE: ivreg2 warning, even after "partialling out"

Jin,

> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of Jin-Hyun Bae
> Sent: 13 November 2013 23:20
> To: [email protected]
> 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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