And robust means that you adjust your std errors to allow
non-normality to your errors. Yes if you run without cluster only
std errors will change, this happens because your cluster is the same
as id-indicator. I don't see any problem adding more id-effects as
long as you have a balanced dataset (total number of observations
= number of id times number of periods).
Days ago there were a discussion of clustering or not... therefore
I cannot suggest you to change your cluster() for robust only.
You can check that to understand why.
Rodrigo.
----- Original Message -----
From: "Daniel Simon" <[email protected]>
To: <[email protected]>
Sent: Thursday, September 28, 2006 3:01 PM
Subject: st: matrix not positive definite with fixed effects and clustering
Hi - I am running -areg- with a bunch of additional fixed effects, which I
am using -xi- to create, and clustered standard errors. In some
specifications, I get the error message "matrix not positive definite." I
get the same message when I use -xtreg, fe- instead of areg. But, I do not
get this message when I run the same model without clustering. In addition,
I do not get this message when I drop some of the xi-created fixed effects.
I include the output with the error message below. Can anyone provide me
with an intuitive explanation for why the clustering and/or the fixed
effects cause this problem, and whether there is any solution. thanks.
Daniel
xi:areg lncirc currentsite pgcurrentsites1 lnpubcirc1 pubmags markets
lnissues chgpub i.groupyr i.pub , absorb(mag1) cluster(mag1)
i.groupyr _Igroupyra3-622 (naturally coded; _Igroupyra3 omitted)
i.pub _Ipuba5-959 (naturally coded; _Ipuba5 omitted)
matrix not positive definite
r(506);
xi:xtreg lncirc currentsite pgcurrentsites1 lnpubcirc1 pubmags markets
lnissues chgpub i.groupyr i.pub , fe i(mag1) cluster(mag1)
i.groupyr _Igroupyra3-622 (naturally coded; _Igroupyra3 omitted)
i.pub _Ipuba5-959 (naturally coded; _Ipuba5 omitted)
Here it is without clustering:
xi:areg lncirc currentsite pgcurrentsites1 lnpubcirc1 pubmags markets
lnissues chgpub i.groupyr i.pub , absorb(mag1)
i.groupyr _Igroupyra3-622 (naturally coded; _Igroupyra3 omitted)
i.pub _Ipuba5-959 (naturally coded; _Ipuba5 omitted)
Linear regression, absorbing indicators Number of obs =
5011
F(597, 3800) =
3.36
Prob > F =
0.0000
R-squared =
0.9886
Adj R-squared =
0.9849
Root MSE =
1639
------------------------------------------------------------------------------
lncirc | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+----------------------------------------------------------------
currentsite | -.0353274 .0113278 -3.12
0.002 -.0575366 -.0131183
pgcurrents~1 | .0005656 .0040061 0.14 0.888 -.0072888
0084199
lnpubcirc1 | .0218753 .003488 6.27 0.000 .0150368
0287138
pubmags | -.0036036 .0013778 -2.62
0.009 -.0063048 -.0009023
markets | .0029789 .0033642 0.89 0.376 -.0036169
0095748
lnissues | .1162314 .0224666 5.17 0.000 .0721835
1602792
chgpub | -.0099665 .0447696 -0.22 0.824 -.0977412
0778081
_Igroupyra4 | -.0222715 .0980753 -0.23 0.820 -.2145569
1700139
..
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