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

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

I just noticed that the $exogctrl results are no longer reported.
Would it be "correct" to use the ones produced in the other regression
without partialling out of $exogctrl, or is there anything else I
should be doing that I am missing?

Jin


On 14 November 2013 12:01, Jin-Hyun Bae <jinhyun.bae@stern.nyu.edu> wrote:
> 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
>>>
>>> > *
>>> > *   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/
>>>
>>>
>>> - -----
>>> 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/
>>> *   http://www.ats.ucla.edu/stat/stata/
>>
>>
>> -----
>> 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/
>> *   http://www.ats.ucla.edu/stat/stata/
*
*   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/