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st: versions of xtivreg2 and clustering
Hi,
(This email is intended mostly for Mark Schaffer and/or the ivreg2 crew.
It's on xtivreg2 and (I'm guessing here) involves version issues when
clustering at the unit level)
I've gone back to using xtivreg2 after making some changes to data that
required re-running robustness checks. I have found that a couple of
things that were working previously aren't working now. Specifically, I
get this error:
Error: estimated variance-covariance matrix not positive-definite
r(506);
Which looking at the source code seems to me to come from some check that
"ereturn post" makes on the VC matrix. Why should it care, though? The VC
could also be positive semidefinite, which is likely to be the case here.
More strangely, however, when I run the estimation on a newly opened Stata
session, it goes through fine. If I then run exactly the same estimation
on the unchanged data, I get the error (I've pasted the output below). Why
does this happen and how can I prevent it (since I need to run many
estimations in succession)?
It seems that this may be related to another minor issue. My
robustness-checking code read off xtivreg2 estimation results under
different specifications, and it seems to me that the name for one changed
(that, or I'm making a mistake so I would appreciate it if you could
correct me). Specifically, instrumented variables were listed under
e(instd1) and now appear to be listed under e(instd).
Many thanks, best regards,
Alejandro
-------- STATA OUTPUT FOLLOWS ---------
. use standalone_103_selfconsistent.dta
. xtivreg2 ntb (b = dlnrer) oneterm_6 _Iy* _IcX* if s==0, robust fe
savefirst cluster(wbcode)
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)
option may address problem.
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)
option may address problem.
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)
option may address problem.
FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 43 Obs per group: min =
12
avg =
14.9
max =
15
Stored estimation results
-------------------------
------------------------------------------------------------------------
model | command depvar npar title
-------------+----------------------------------------------------------
_xtivreg2_b | xtivreg2 b 58 First-stage regression: b
------------------------------------------------------------------------
IV (2SLS) estimation
--------------------
Statistics robust to heteroskedasticity and clustering on wbcode
Number of clusters (wbcode) = 43 Number of obs =
640
F( 15, 42) =
84.76
Prob > F =
0.0000
Total (centered) SS = 1.033348527 Centered R2 =
0.4963
Total (uncentered) SS = 1.033348527 Uncentered R2 =
0.4963
Residual SS = .5205082799 Root MSE =
.02953
------------------------------------------------------------------------------
| Robust
ntb | Coef. Std. Err. z P>|z| [95% Conf.
Interval]
-------------+----------------------------------------------------------------
b | -.367912 .0965671 -3.81 0.000 -.55718
-.178644
oneterm_6 | .0175285 .0716672 0.24 0.807 -.1229366
.1579937
_Iyear_90 | .0162655 .0106625 1.53 0.127 -.0046325
.0371636
_Iyear_91 | -.0467473 .0226776 -2.06 0.039 -.0911945
-.0023001
_Iyear_92 | -.0539769 .0284245 -1.90 0.058 -.1096879
.0017341
_Iyear_93 | -.0309447 .0257732 -1.20 0.230 -.0814592
.0195698
_Iyear_94 | -.0736298 .0413919 -1.78 0.075 -.1547565
.0074969
_Iyear_95 | -.0759106 .0501515 -1.51 0.130 -.1742058
.0223845
_Iyear_96 | -.0153082 .0418933 -0.37 0.715 -.0974176
.0668011
_Iyear_97 | -.0110986 .0400109 -0.28 0.781 -.0895185
.0673213
_Iyear_98 | -.0012123 .0377555 -0.03 0.974 -.0752117
.0727871
_Iyear_99 | .0123629 .0373155 0.33 0.740 -.0607742
.0855
_Iyear_100 | .0138581 .0391245 0.35 0.723 -.0628245
.0905406
_Iyear_101 | -.0033312 .0416415 -0.08 0.936 -.084947
.0782846
_Iyear_102 | .0013299 .04211 0.03 0.975 -.0812042
.0838641
_Iyear_103 | -.0548514 .0636972 -0.86 0.389 -.1796957
.0699929
_IcXt_117100 | .0074609 .0023617 3.16 0.002 .0028321
.0120897
_IcXt_135040 | .0126354 .004207 3.00 0.003 .0043898
.020881
_IcXt_211240 | -.0019309 .0002025 -9.54 0.000 -.0023278
-.0015341
_IcXt_330320 | .0047067 .0027271 1.73 0.084 -.0006383
.0100516
_IcXt_330760 | .0012098 .0025234 0.48 0.632 -.0037359
.0061556
_IcXt_331520 | .012424 .003758 3.31 0.001 .0050584
.0197896
_IcXt_331700 | .0025849 .002078 1.24 0.214 -.001488
.0066578
_IcXt_334840 | .0039573 .0018401 2.15 0.032 .0003508
.0075638
_IcXt_413760 | .0034269 .000596 5.75 0.000 .0022587
.0045951
_IcXt_413920 | -.0020423 .0006556 -3.12 0.002 -.0033272
-.0007574
_IcXt_447920 | .0046809 .002383 1.96 0.049 .0000103
.0093514
_IcXt_453440 | -.0063212 .0009474 -6.67 0.000 -.0081781
-.0044642
_IcXt_453560 | .002812 .0025258 1.11 0.266 -.0021386
.0077625
_IcXt_453600 | .0142047 .002179 6.52 0.000 .009934
.0184755
_IcXt_454100 | .0054642 .0012962 4.22 0.000 .0029237
.0080047
_IcXt_454580 | .0264069 .0013525 19.52 0.000 .023756
.0290578
_IcXt_455860 | .0112221 .0031381 3.58 0.000 .0050715
.0173727
_IcXt_456080 | .0194414 .0024606 7.90 0.000 .0146187
.0242641
_IcXt_457020 | .0231821 .0010898 21.27 0.000 .0210461
.0253182
_IcXt_457640 | .011538 .0013347 8.64 0.000 .008922
.014154
_IcXt_458960 | -.0013467 .0012096 -1.11 0.266 -.0037175
.001024
_IcXt_481560 | .0029838 .0010614 2.81 0.005 .0009034
.0050641
_IcXt_530560 | .0048061 .0017423 2.76 0.006 .0013913
.0082209
_IcXt_532080 | -.0008884 .0008387 -1.06 0.289 -.0025322
.0007554
_IcXt_532500 | -.0012039 .0007496 -1.61 0.108 -.0026732
.0002654
_IcXt_532800 | -.0020482 .0006869 -2.98 0.003 -.0033944
-.000702
_IcXt_533000 | .0063873 .0030968 2.06 0.039 .0003177
.012457
_IcXt_533720 | .026435 .0020209 13.08 0.000 .0224741
.0303959
_IcXt_533800 | .000037 .0009586 0.04 0.969 -.0018417
.0019158
_IcXt_535280 | .0046971 .0013944 3.37 0.001 .0019642
.00743
_IcXt_536200 | .0046457 .0021723 2.14 0.032 .0003881
.0089033
_IcXt_537240 | -.0014407 .0008646 -1.67 0.096 -.0031353
.0002538
_IcXt_538260 | -.0015107 .0009619 -1.57 0.116 -.0033961
.0003747
_IcXt_550400 | .0007252 .0007233 1.00 0.316 -.0006925
.0021428
_IcXt_552460 | .0057257 .0007561 7.57 0.000 .0042437
.0072077
_IcXt_555780 | .0053056 .0018763 2.83 0.005 .0016281
.008983
_IcXt_557520 | -.0002951 .0006292 -0.47 0.639 -.0015283
.0009382
_IcXt_583480 | .013283 .0042137 3.15 0.002 .0050242
.0215418
_IcXt_586160 | .0046381 .0034726 1.34 0.182 -.0021682
.0114443
_IcXt_586420 | .0085547 .0053622 1.60 0.111 -.0019551
.0190645
_IcXt_710360 | -.006145 .0005625 -10.93 0.000 -.0072474
-.0050426
_IcXt_715540 | -.0056993 .0006519 -8.74 0.000 -.0069771
-.0044216
------------------------------------------------------------------------------
Anderson canon. corr. LR statistic (underidentification test):
55.768
Chi-sq(1) P-val =
0.0000
Test statistic(s) not robust
------------------------------------------------------------------------------
Cragg-Donald F statistic (weak identification test):
52.777
Stock-Yogo weak ID test critical values: 10% maximal IV size
16.38
15% maximal IV size
8.96
20% maximal IV size
6.66
25% maximal IV size
5.53
Test statistic(s) not robust
Source: Stock-Yogo (2005). Reproduced by permission.
------------------------------------------------------------------------------
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.
------------------------------------------------------------------------------
Instrumented: b
Included instruments: oneterm_6 _Iyear_90 _Iyear_91 _Iyear_92 _Iyear_93
_Iyear_94 _Iyear_95 _Iyear_96 _Iyear_97 _Iyear_98
_Iyear_99 _Iyear_100 _Iyear_101 _Iyear_102 _Iyear_103
_IcXt_117100 _IcXt_135040 _IcXt_211240 _IcXt_330320
_IcXt_330760 _IcXt_331520 _IcXt_331700 _IcXt_334840
_IcXt_413760 _IcXt_413920 _IcXt_447920 _IcXt_453440
_IcXt_453560 _IcXt_453600 _IcXt_454100 _IcXt_454580
_IcXt_455860 _IcXt_456080 _IcXt_457020 _IcXt_457640
_IcXt_458960 _IcXt_481560 _IcXt_530560 _IcXt_532080
_IcXt_532500 _IcXt_532800 _IcXt_533000 _IcXt_533720
_IcXt_533800 _IcXt_535280 _IcXt_536200 _IcXt_537240
_IcXt_538260 _IcXt_550400 _IcXt_552460 _IcXt_555780
_IcXt_557520 _IcXt_583480 _IcXt_586160 _IcXt_586420
_IcXt_710360 _IcXt_715540
Excluded instruments: dlnrer
------------------------------------------------------------------------------
. xtivreg2 ntb (b = dlnrer) oneterm_6 _Iy* _IcX* if s==0, robust fe
savefirst cluster(wbcode)
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)
option may address problem.
Error: estimated variance-covariance matrix not positive-definite
r(506);
*
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