Samia,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Samia Tavares
> Sent: 14 April 2007 21:24
> To: [email protected]
> Subject: Re: st: RE: problem using xtivreg2 without instruments
>
> Mark,
>
> I tried without the weight as you suggested, and the standard
> errors from xtreg were slightly higher than those with
> xtivreg2. In fact, I tried dropping one of the interaction
> variables, which eliminated the error message, and still the
> standard errors were different (xtreg slightly higher than
> xtivreg2). Any ideas what could be wrong?
Did -xtivreg2- warn you about singleton groups being detected and
observations not being used? If there are any groups with just one
observation, the fixed effects estimator can't use them (the
mean-deviations transformation makes the observation a useless row of
zeros). -xtivreg2- notes this and subtracts them from the number of
observations reported, whereas official -xtivreg- doesn't.
--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
>
> Thanks for the help!
>
> Samia
>
> On Apr 14, 2007, at 1:16 PM, Schaffer, Mark E wrote:
>
> > Samia,
> >
> >> -----Original Message-----
> >> From: [email protected]
> >> [mailto:[email protected]] On Behalf Of Samia
> >> Tavares
> >> Sent: 14 April 2007 17:33
> >> To: [email protected]
> >> Subject: st: problem using xtivreg2 without instruments
> >>
> >> Hi everyone,
> >>
> >> I'm trying to estimate a fixed effects regression with analytical
> >> weights. I understand that this is not possible with xtreg
> (only if I
> >> were using random effects), so I am using xtivreg2
> instead, since the
> >> help file indicated that I could use it without
> instruments to obtain
> >> the same results I would get with xtreg. The equation I am
> estimating
> >> is of the form:
> >>
> >> xi:xtivreg2 y dummy control i.year*continent1 i.year*continent2
> >> i.year*continent3 i.year [aweight=variance^-1], fe cluster(country)
> >>
> >> When I estimate this, I get the following:
> >>
> >> 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:
> >> singleton dummy variable (dummy with one 1 and N-1
> 0s or vice
> >> versa)
> >> fwl option may address problem.
> >>
> >> I read in the FAQs about this error, but in the context of
> including
> >> instruments with xtivreg2. I have checked the dataset and
> none of the
> >> dummy variables (dummy, continent, continent2, continent3)
> contain a
> >> singleton. Obviously since I have no instruments, I am not
> concerned
> >> about the overidentification statistic, but I want to be
> sure about
> >> the standard errors.
> >>
> >> When I estimate the model without the year-continent
> interactions, I
> >> don't get this error. However, I do wish to include them
> to check for
> >> the robustness of my results.
> >>
> >> Any help will be greatly appreciated!!
> >
> > The error message is correct, I think. Most likely, all the
> > interactions mean that your var-cov matrix is not of full
> rank because
> > you have more regressors than clusters. Since you're not doing any
> > instrumenting or efficient GMM, this will probably cause you only
> > minor problems at most - you won't, for example, be able to
> test the
> > joint significance of more variables than clusters.
> >
> > A useful cross-check would be to estimate using xtivreg2 without
> > weighting and using xtreg, both with cluster. The SEs
> should be the
> > same, but xtivreg2 will again warn you.
> >
> > Cheers,
> > Mark
> >
> >>
> >> Samia
> >>
> >>
> >>
> >> *
> >> * For searches and help try:
> >> * http://www.stata.com/support/faqs/res/findit.html
> >> * http://www.stata.com/support/statalist/faq
> >> * http://www.ats.ucla.edu/stat/stata/
> >>
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/support/faqs/res/findit.html
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
>
> *
> * For searches and help try:
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> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
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