Hi Sebastian and jverkuilen,
Like you both mentioned, Stata automatically drops one category. And as I replied to Richard, I also tried doing it myself, knowing that Stata will drop any one as the choice is "arbitrary".
Sorry about not including my code earlier but here it is now:
reg familyBportwt Bcurrentniche relbanking familyEportwt $FIRM2 $COVE $FAM q1-q38 ff1-ff10, r cluster(familyid)
As you see above, I have a lot more variables than I posted in my email (only to keep the email shorter while still conveying my main message). The dummies q1-q38 have no problem but it's the ff-dummies that have missing standard errors. (As I said earlier, I started with 50 of these ff-dummies but reducing them to 10 with coarser categories also doesn't help.)
I am using robust standard errors, as both Sebastian and jverkuilen suspected, but none of the dummies correspond to the clusters, i.e., "q" and "ff" do not correspond to "familyid". Yes, I suppose I could run -xtreg- and control for fixed effects of "q" and "ff".
I think what Sebastian said might be true - there might collinearities between these dummies and some other variables. Also, it is possible that dropping some other category might provide more "stable results".
I will try these and let you know, but thanks a lot for your suggestions and help.
Best,
Nishant
--- On Wed, 8/20/08, Sebastian E. Wenz <[email protected]> wrote:
> From: Sebastian E. Wenz <[email protected]>
> Subject: Re: st: RE: missing std. errors
> To: [email protected]
> Date: Wednesday, August 20, 2008, 7:47 PM
> Richard A. Forshee suggested the following as a solution to
> Nishant's
> problem (see the end of this e-mail for the problem):
>
> "Have you excluded a reference category? If not, your
> dummy variables
> will be perfectly collinear with the constant."
>
>
> It is a good idea to pick a reference category by
> yourself---(i) you
> might wanna look at point estimates of the dummies in
> comparison to a
> specific group; (ii) you might wanna pick a category that
> ensures
> "stable results", put differently: pick a
> category of reasonable size
> (=a group that is not too small).
>
> However, excluding a reference category is not the solution
> to Nishant's
> problem as I see it; Stata automatically drops variables
> that show very
> high collinearity. Actually, Nishant's output looks
> like this is what
> happened: "dummy10" is reported as
> "(dropped)".
>
> As far as I read Nishant's output, the problem is
> likely to be linked to
> the usage of the -cluster()- option. I am inferring from
> the output,
> since Nishant is not reporting the code he typed. Actually,
> I have no
> idea what the problem is exactly, but Nishant should check
> the relations
> among the cluster-variable "familyid", the
> dummies ("dummy1"-"dummy10"),
> and the dependent variable on collinearities, nested
> structures, and
> group/cell sizes.
>
> Hope this helps (somewhat),
>
> Sebastian
>
>
> > First of all, I am using Stata/SE 10.0 on Windows.
> >
> > My question is about missing standard errors. I am
> implementing a
> > simple linear regression model with roughly 50
> indicator/dummy variables
> > on the right-hand side (besides a dozen other
> independent variables),
> > and in the results generated, standard errors for the
> coefficients of
> > all the dummy variables are not reported. In
> addition, the standard
> > error for the constant term is also not reported.
> >
> > I thought it might be due to the skewed distribution
> of my observations
> > across the 50 categories (represented by the 50
> indicator/dummy
> > variables), i.e., it might be that there are too many
> 1's or 0's in some
> > of the categories. So I tried reducing the number of
> indicator/dummy
> > variables by using much more coarsely-defined
> categories. This coarse
> > categorization brings down the number of
> indicator/dummy variables to
> > 10, but I still get the same problem! (Attached below
> is part of the
> > output generated.)
> >
> > Any help would be much appreciated.
> >
> > Thanks,
> >
> > Nishant
> >
> >
> > P.S. Here's a sample of what I see (using 10
> indicator variables) in
> > the output generated by Stata:
> >
> > Linear regression
> Number of obs =
> > 226223
> >
> F( 58, 454) =
> > .
> >
> Prob > F =
> > .
> >
> R-squared =
> > 0.0750
> >
> Root MSE =
> > .02272
> >
> > (Std. Err. adjusted for
> 455 clusters in
> > familyid)
> >
> ------------------------------------------------------------------------
> > ------
> > | Robust
> > familyport~1 | Coef. Std. Err. t
> P>|t| [95% Conf.
> > Interval]
> >
> -------------+----------------------------------------------------------
> > ------
> > indvar1 | .0002341 .0001428 1.64 0.102
> -.0000465
> > .0005147
> >
> > ...
> >
> > indvar14 | .0002029 .0005647 0.36 0.720
> -.0009069
> > .0013127
> > dummy1 | -.0041449 . . .
> .
> > .
> > dummy2 | -.0039503 . . .
> .
> > .
> > dummy3 | -.0038193 . . .
> .
> > .
> > dummy4 | -.003429 . . .
> .
> > .
> > dummy5 | -.0034715 . . .
> .
> > .
> > dummy6 | -.003175 . . .
> .
> > .
> > dummy7 | -.0033819 . . .
> .
> > .
> > dummy8 | -.002303 . . .
> .
> > .
> > dummy9 | -.0022382 . . .
> .
> > .
> > dummy10 | (dropped)
> > _cons | .0790628 . . .
> .
> > .
> >
> ------------------------------------------------------------------------
> > ------
> >
> > .
> >
> >
> >
> >
> >
> >
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/help.cgi?search
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/help.cgi?search
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> >
>
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
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