Re: st: RE: problem using xtivreg2 without instruments

[Samia Tavares <samia.tavares@rit.edu>]

Mark,

No, it didn't warn about anything. The error message I included was  
the only thing it said.

Samia

On Apr 14, 2007, at 5:24 PM, Schaffer, Mark E wrote:


> Samia,
>
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
> > Samia Tavares
> > Sent: 14 April 2007 21:24
> > To: statalist@hsphsun2.harvard.edu
> > 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: m.e.schaffer@hw.ac.uk
> 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: owner-statalist@hsphsun2.harvard.edu
> > > > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Samia
> > > > Tavares
> > > > Sent: 14 April 2007 17:33
> > > > To: statalist@hsphsun2.harvard.edu
> > > > 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
> > > >
> > > >
> > > >
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