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st: RE: Too few clusters in ivreg2 - again
Ramani,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Ramani Gunatilaka
> Sent: 08 November 2006 18:48
> To: [email protected]
> Subject: st: Too few clusters in ivreg2 - again
>
> Hi Mark,
> Sorry to bother you again.
> I updated my version of ivreg2.
> I am sorry if these seem basic questions, but I have not been
> able to figure this out.
> I did use fwl and specified the model as follows:
> But I got an error.
> Can you please tell me, can the fwl option be used with 2SLS?
Yes.
> Why doesn't ivreg2 like my choice of a variable for fwl?
Because even after partialling-out the variable you chose, the var-cov
matrix is still not of full rank. You need to ensure that the variable
or variables you choose to partial-out with -fwl- actually solve the
problem.
Cheers,
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
> Ramani
>
> . /* H1 base model*/
> . ivreg2 happy (ln_pcy02=f_edyrs m_edyrs) ///
> > /*individual characteristics*/ male married malemarried
> edyrs unempld
> > r_health workhrs netfinassets ln_earn_diff biginc smallinc
> decrease,
> > first cluster(province) fwl(netfinassets)
> Error: estimated covariance matrix of moment conditions not
> of full rank;
> overidentification statistic not reported, and
> standard errors and
> model tests should be interpreted with caution Possible causes:
> number of clusters insufficient to calculate robust
> covariance matrix
> singleton dummy variable (dummy with one 1 and N-1 0s
> or vice versa)
> -fwl- option may address problem. See help First-stage regressions
> -----------------------
>
> First-stage regression of ln_pcy02:
>
> OLS estimation
> --------------
>
> Statistics robust to heteroskedasticity and clustering on province
>
> Number of clusters (province) = 12 Number
> of obs = 1713
> F( 13,
> 11) = 18.07
> Prob >
> F = 0.0000
> Total (centered) SS = 686.693671
> Centered R2 = 0.0718
> Total (uncentered) SS = 686.693671
> Uncentered R2 = 0.0718
> Residual SS = 637.3655195 Root
> MSE = .6123
>
> --------------------------------------------------------------
> ----------------
> | Robust
> ln_pcy02 | Coef. Std. Err. t P>|t|
> [95% Conf. Interval]
> -------------+------------------------------------------------
> ----------
> -------------+------
> male | .2686569 .081074 3.31 0.007
> .0902143 .4470995
> married | .1644669 .0850305 1.93 0.079
> -.0226838 .3516177
> malemarried | -.3947205 .0902204 -4.38 0.001
> -.5932944 -.1961466
> edyrs | .0378845 .0063295 5.99 0.000
> .0239532 .0518157
> unempld | -.1893695 .230503 -0.82 0.429
> -.6967032 .3179642
> r_health | .0332917 .063011 0.53 0.608
> -.1053947 .171978
> workhrs | .0018748 .0016105 1.16 0.269
> -.0016699 .0054196
> ln_earn_diff | .0806468 .0170508 4.73 0.001
> .0431182 .1181754
> biginc | .1439435 .0745455 1.93 0.080
> -.0201301 .308017
> smallinc | .0551903 .0218531 2.53 0.028
> .007092 .1032886
> decrease | -.0584598 .0720107 -0.81 0.434
> -.2169542 .1000346
> f_edyrs | .0081267 .0063063 1.29 0.224
> -.0057535 .0220068
> m_edyrs | .0060132 .0038395 1.57 0.146
> -.0024375 .014464
> --------------------------------------------------------------
> ----------------
> Error: estimated covariance matrix of moment conditions not
> of full rank;
> overidentification statistic not reported, and
> standard errors and
> model tests should be interpreted with caution Possible causes:
> number of clusters insufficient to calculate robust
> covariance matrix
> singleton dummy variable (dummy with one 1 and N-1 0s
> or vice versa)
> -fwl- option may address problem. See help ivreg2.
> --------------------------------------------------------------
> ----------------
> Included instruments: male married malemarried edyrs unempld
> r_health workhrs
> ln_earn_diff biginc smallinc decrease
> f_edyrs m_edyrs
> --------------------------------------------------------------
> ----------------
> Partial R-squared of excluded instruments: 0.0050
> Test of excluded instruments:
> F( 2, 11) = 3.91
> Prob > F = 0.0522
>
>
>
> Summary results for first-stage regressions
> -------------------------------------------
>
> Shea
> Variable | Partial R2 | Partial R2 F( 2, 11)
> P-value
> ln_pcy02 | 0.0050 | 0.0050 3.91
> 0.0522
>
> NB: first-stage F-stat cluster-robust
>
> Underidentification tests:
> Chi-sq(2)
> P-value
> Anderson canon. corr. likelihood ratio stat. 8.53
> 0.0141
> Cragg-Donald N*minEval stat. 8.55
> 0.0139
> Ho: matrix of reduced form coefficients has rank=K-1 (underidentified)
> Ha: matrix has rank>=K (identified)
>
> Weak identification statistics:
> Cragg-Donald (N-L)*minEval/L2 F-stat 4.24
>
> NB: identification statistics not robust
>
> Anderson-Rubin test of joint significance of endogenous
> regressors B1 in main equation, Ho:B1=0
> F(2,11)= 8.47 P-val=0.0059
> Chi-sq(2)= 18.61 P-val=0.0001
> NB: Anderson-Rubin stat cluster-robust
>
> Number of clusters N_clust = 12
> Number of observations N = 1713
> Number of regressors K = 12
> Number of instruments L = 13
> Number of excluded instruments L2 = 2
>
>
> IV (2SLS) estimation
> --------------------
>
> Statistics robust to heteroskedasticity and clustering on province
>
> Number of clusters (province) = 12 Number
> of obs = 1713
> F( 12,
> 11) = 10.13
> Prob >
> F = 0.0003
> Total (centered) SS = 1114.478239
> Centered R2 = -1.0234
> Total (uncentered) SS = 1114.478239
> Uncentered R2 = -1.0234
> Residual SS = 2255.04451 Root
> MSE = 1.147
>
> --------------------------------------------------------------
> ----------------
> | Robust
> happy | Coef. Std. Err. z P>|z|
> [95% Conf. Interval]
> -------------+------------------------------------------------
> ----------
> -------------+------
> ln_pcy02 | 1.560467 .5268474 2.96 0.003
> .5278647 2.593068
> male | -.5853268 .2200148 -2.66 0.008
> -1.016548 -.1541056
> married | -.1503001 .2183942 -0.69 0.491
> -.578345 .2777447
> malemarried | .8126114 .282537 2.88 0.004
> .2588489 1.366374
> edyrs | -.0586502 .0176557 -3.32 0.001
> -.0932547 -.0240457
> unempld | .2073323 .5171631 0.40 0.688
> -.8062887 1.220953
> r_health | .0715126 .0787037 0.91 0.364
> -.0827439 .2257691
> workhrs | -.0031905 .0028553 -1.12 0.264
> -.0087868 .0024058
> ln_earn_diff | -.1117204 .0533627 -2.09 0.036
> -.2163094 -.0071314
> biginc | .1049701 .1860298 0.56 0.573
> -.2596416 .4695818
> smallinc | -.0306185 .068844 -0.44 0.656
> -.1655503 .1043132
> decrease | -.329015 .1130287 -2.91 0.004
> -.5505472 -.1074828
> --------------------------------------------------------------
> ----------------
> Anderson canon. corr. LR statistic (identification/IV
> relevance test): 8.525
> Chi-sq(2)
> P-val = 0.0141
> --------------------------------------------------------------
> ----------------
> Error: estimated covariance matrix of moment conditions not
> of full rank;
> overidentification statistic not reported, and
> standard errors and
> model tests should be interpreted with caution Possible causes:
> number of clusters insufficient to calculate robust
> covariance matrix
> singleton dummy variable (dummy with one 1 and N-1 0s
> or vice versa)
> -fwl- option may address problem. See help ivreg2.
> --------------------------------------------------------------
> ----------------
> Instrumented: ln_pcy02
> Included instruments: male married malemarried edyrs unempld
> r_health workhrs
> ln_earn_diff biginc smallinc decrease
> Excluded instruments: f_edyrs m_edyrs Partialled-out (FWL):
> netfinassets _cons
> nb: variable counts and small-sample adjustments
> do not include partialled-out variables.
> -------------------------------------------------------
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