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Re: st: RE: non full ranked covariance matrix of moment conditions after xtivreg2
From
"Anat (Manes) Tchetchik" <[email protected]>
To
[email protected]
Subject
Re: st: RE: non full ranked covariance matrix of moment conditions after xtivreg2
Date
Thu, 2 Jan 2014 03:21:48 +0200
Thank You!
On Thu, Jan 2, 2014 at 2:34 AM, Schaffer, Mark E <[email protected]> wrote:
> Anat,
>
> I'm glad the partialling out solved the problem.
>
> I can also reproduce the strange reporting bug about the number of clusters in the 2nd group. I'll look into fixing that bug shortly. Thanks for reporting it!
>
> Best wishes,
> Mark
>
>> -----Original Message-----
>> From: [email protected] [mailto:owner-
>> [email protected]] On Behalf Of Anat (Manes) Tchetchik
>> Sent: 02 January 2014 00:07
>> To: [email protected]
>> Subject: Re: st: RE: non full ranked covariance matrix of moment conditions
>> after xtivreg2
>>
>> Dear Mark,
>> I placed each answer below the relevant question for ease of following:
>>
>> > Can you check that you have the latest versions of ivreg2, xtivreg2 and
>> ranktest installed, and also tell us which version of Stata you are using?
>>
>> > which ivreg2, all
>> c:\ado\plus\i\ivreg2.ado
>> *! ivreg2 3.1.07 28Jul2013
>> *! authors cfb & mes
>>
>> > which xtivreg2, all
>> c:\ado\plus\x\xtivreg2.ado
>> *! xtivreg2 1.0.13 28Aug2011
>> *! author mes
>>
>> > which ranktest, all
>> c:\ado\plus\r\ranktest.ado
>> *! ranktest 1.3.02 27Feb2012
>> *! author mes, based on code by fk
>>
>> > version
>> version 13.1
>>
>> > Does xtivreg2 report that any observations are not used because of
>> singletons?
>> No- it stated among the possible causes: singleton dummy variable
>> (dummy with one 1 and N-1 0s or vice versa)
>>
>> > What happens if you estimate using ivreg2 and explicit dummies for
>> countries?
>>
>> If I understand you correct, I ran:
>> xi: ivreg2 SS dem gini inflation shad_econ_min3 gdp i.year
>> dcountry_code1 ......... dcountry_code34 , cluster( country_code
>> year) bw(1)
>> the results remain the same , the same coefficients,warnings and the:
>> Number of clusters (year) = 2007 (I can send you the results)
>>
>> > What happens if you estimate using xtivreg2 and partial-out the year
>> dummies?
>>
>> This has actually solved the problem as you can see below (yet it
>> still says Number of clusters (year) = 2007):
>> I ran the following:
>> xi: xtivreg2 ss demgini gini inflation shad_econ sixtfive gdp i.year, fe cluster(
>> country_code year) bw(1) partial(i.year) and received:
>> i.year _Iyear_1989-2007 (naturally coded; _Iyear_1989 omitted)
>>
>> FIXED EFFECTS ESTIMATION
>> ------------------------
>> Number of groups = 35 Obs per group: min = 8
>> avg = 12.6
>> max = 16
>>
>> OLS estimation
>> --------------
>>
>> Estimates efficient for homoskedasticity only Statistics robust to
>> heteroskedasticity and clustering on country_code and year and kernel-robust
>> to common correlated disturbances (Driscoll-Kraay)
>> kernel=Bartlett; bandwidth=1
>> time variable (t): year
>> group variable (i): country_code
>>
>> Number of clusters (country_code) = 35 Number of obs = 440
>> Number of clusters (year) = 2007 F( 6, 34) = 4.40
>> Prob > F = 0.0022
>> Total (centered) SS = 2.545869056 Centered R2 = 0.1594
>> Total (uncentered) SS = 2.545869056 Uncentered R2 = 0.1594
>> Residual SS = 2.139947433 Root MSE = .07269
>>
>> --------------------------------------------------------------------------------
>> | Robust
>> ss | Coef. Std. Err. z P>|z| [95%
>> Conf. Interval]
>> ---------------+--------------------------------------------------------
>> ---------------+--------
>> dem_gini | .0049295 .001544 3.19 0.001 .0019034 .0079556
>> gini_m | -.005013 .0024799 -2.02 0.043 -.0098736 -.0001524
>> inflation | -.0000572 .0000218 -2.62 0.009 -.0001 -.0000145
>> shad_eco | -.0132554 .0053642 -2.47 0.013 -.0237691 -.0027416
>> sixtfive | -.0003735 .0149491 -0.02 0.980 -.0296733 .0289262
>> gdp | -.0085065 .0098609 -0.86 0.388 -.0278335 .0108204
>> --------------------------------------------------------------------------------
>> Included instruments: demgini_min2 gini inflation shad_eco
>> sixtfive gdp
>> Partialled-out: _Iyear_1991 _Iyear_1992 _Iyear_1993 _Iyear_1994
>> _Iyear_1995 _Iyear_1996 _Iyear_1997 _Iyear_1998
>> _Iyear_1999 _Iyear_2000 _Iyear_2001 _Iyear_2002
>> _Iyear_2003 _Iyear_2004 _Iyear_2005 _Iyear_2006
>> _Iyear_2007
>> nb: small-sample adjustments account for
>> partialled-out variables
>> ------------------------------------------------------------------------------
>>
>> > --Anat
>> >
>> >> -----Original Message-----
>> >> From: [email protected] [mailto:owner-
>> >> [email protected]] On Behalf Of Anat (Manes) Tchetchik
>> >> Sent: 01 January 2014 20:09
>> >> To: [email protected]
>> >> Subject: st: non full ranked covariance matrix of moment conditions
>> >> after
>> >> xtivreg2
>> >>
>> >> Dear all,
>> >>
>> >> I have an unbalanced panel of data on 35 countries over 17 years (446
>> >> obs.) I have jointly significant time effects are, as well as first order
>> autocorrelation.
>> >> As I want to account for two-way (unit and time ) cluster-robust
>> >> covariance matrix and estimated the following model:
>> >>
>> >> xi: xtivreg2 SS dem gini inflation shad_econ_min3 gdp i.year, fe
>> >> cluster( country year) bw(1)
>> >>
>> >> The output below raises two issues:
>> >> (1) Why does it indicate that the "Number of clusters (year) = 2007"
>> >> and not 17 as it should?
>> >> (2) how should I treat the Warning: "estimated covariance matrix of
>> >> moment conditions not of full rank. model tests should be interpreted with
>> caution"
>> >> Note that when omitting the year dummies this warning doesn't appear
>> >>
>> >> Number of clusters (country) = 35 Number of obs = 440
>> >> Number of clusters (year) = 2007
>> >>
>> >> ss Coef. Std. Err.
>> >> ---------------+-------------------------------------------------
>> >> dem 0.00493 0.001544 3.19
>> >> gini -0.005013 0.00248 -2.02
>> >> inflation -5.72E-05 2.18E-05 -2.62
>> >>
>> >>
>> >>
>> >> gdp -0.008507 0.009861 -0.86
>> >> _Iyear_1991 0.138 0.038671 3.56
>> >> _Iyear_1992 0.365 0.079991 4.56
>> >> _Iyear_1993 0.332 0.081221 4.09
>> >> _Iyear_1994 0.339 0.081055 4.18
>> >> _Iyear_1995 0.338 0.084453 4.01
>> >> _Iyear_1996 0.360 0.088365 4.07
>> >> _Iyear_1997 0.371 0.093862 3.96
>> >> _Iyear_1998 0.363 0.100767 3.6
>> >> _Iyear_1999 0.400 0.106786 3.75
>> >> _Iyear_2000 0.422 0.10945 3.86
>> >> _Iyear_2001 0.418 0.115567 3.62
>> >> _Iyear_2002 0.416 0.12068 3.45
>> >> _Iyear_2003 0.415 0.124553 3.33
>> >> _Iyear_2004 0.418 0.128937 3.24
>> >> _Iyear_2005 0.418 0.129226 3.23
>> >> _Iyear_2006 0.475 0.133707 3.55
>> >> _Iyear_2007 0.519 0.14433 3.59
>> >>
>> >>
>> >> Warning: estimated covariance matrix of moment conditions not of full
>> rank.
>> >> model tests should be interpreted with caution.
>> >> Possible causes:
>> >> number of clusters insufficient to calculate robust covariance matrix
>> >> covariance matrix of moment conditions not positive definite
>> >> covariance matrix uses too many lags
>> >> singleton dummy variable (dummy with one 1 and N-1 0s or
>> >> vice versa) partial option may address problem.
>> >>
>> >> Best,
>> >>
>> >> Anat Tchetchik, PhD
>> >> Department of Business Administration Guilford Glazer Faculty of
>> >> Business and Management Ben-Gurion University of the Negev
>> >> P.O.Box: 653
>> >> Beer-Sheva, Israel, 84105
>> >>
>> >> E-mail: [email protected]
>> >> Phone 972-(0)8-6479735
>> >> Fax: 972-(0)8-6472920
>> >> *
>> >> * 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
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>> >
>> >
>> > *
>> > * For searches and help try:
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>>
>>
>>
>> --
>> Anat Tchetchik, PhD
>> Department of Business Administration
>> Guilford Glazer Faculty of Business and Management Ben-Gurion University of
>> the Negev
>> P.O.Box: 653
>> Beer-Sheva, Israel, 84105
>>
>> E-mail: [email protected]
>> Phone 972-(0)8-6479735
>> Fax: 972-(0)8-6472920
>> *
>> * 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/
--
Anat Tchetchik, PhD
Department of Business Administration
Guilford Glazer Faculty of Business and Management
Ben-Gurion University of the Negev
P.O.Box: 653
Beer-Sheva, Israel, 84105
E-mail: [email protected]
Phone 972-(0)8-6479735
Fax: 972-(0)8-6472920
*
* 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/