Samia
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Samia Tavares
> Sent: 14 April 2007 22:44
> To: [email protected]
> Subject: Re: st: RE: problem using xtivreg2 without instruments
>
> Mark,
>
> No, it didn't warn about anything. The error message I
> included was the only thing it said.
Can you send me the output of both estimations off-list? I'll see if I
can work out what's going on.
--Mark (author of -xtivreg2-)
>
> Samia
>
> On Apr 14, 2007, at 5:24 PM, Schaffer, Mark E wrote:
>
> > 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
> >>>>
> >>>>
> >>>>
> >>>> *
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> >>>
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