Daniel,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Daniel Simon
> Sent: 28 September 2006 20:01
> To: [email protected]
> 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.
I am pretty sure the only matrix involved is the variance-covariance
matrix, so there is something that is causing problems with the
clust-robust vcv. I wonder if this is a symptom of a singleton
observation problem, i.e., you have a panel group with only one
observation in it? If you try estimating with xtivreg2, you might (or
might not!) get a more informative error message.
HTH,
Mark
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
> 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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