John,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> John Antonakis
> Sent: Friday, February 12, 2010 9:23 AM
> To: [email protected]
> Subject: Re: st: RE: ivreg versus xtivreg
>
> Hi Mark:
>
> I have a similar error; however, the message I get is:
>
> Warning: 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)
> partial option may address problem.
>
> Note, I have modeled two dimensions of clustering
Do you mean you're using the new 2-way cluster option?
> (and put all my
> fixed-effects in the partial option). Thus, I am correct in
> saying that
> the z test for a particular coefficient estimate is still
> interpretable.
Probably. I can think of some special cases where things can go wrong (these are what motivated the writing of the warning message). You might have a small number of clusters (so the asymptotics are dodgy) or a singleton dummy which would mean you couldn't do a test on the significance of the coefficient (of course, you couldn't do that anyway). But most likely the SEs are OK.
--Mark
>
> Best,
> J.
>
> ____________________________________________________
>
> Prof. John Antonakis, Associate Dean
> Faculty of Business and Economics
> Department of Organizational Behavior
> University of Lausanne
> Internef #618
> CH-1015 Lausanne-Dorigny
> Switzerland
>
> Tel ++41 (0)21 692-3438
> Fax ++41 (0)21 692-3305
>
> Faculty page:
> http://www.hec.unil.ch/people/jantonakis
>
> Personal page:
> http://www.hec.unil.ch/jantonakis
> ____________________________________________________
>
>
>
> On 12.02.2010 09:55, Schaffer, Mark E wrote:
> > Sara,
> >
> >> -----Original Message-----
> >> From: [email protected]
> >> [mailto:[email protected]] On Behalf Of
> >> sara borelli
> >> Sent: 12 February 2010 07:58
> >> To: [email protected]
> >> Cc: Schaffer, Mark E
> >> Subject: R: st: RE: ivreg versus xtivreg
> >>
> >> Hi Mark,
> >> I am sorry I did not understand your answer...and I think it
> >> is because I I made a typo in writing the command and I did
> >> not explain myself clearly. I do NOT include i.county in
> >> xtivreg2. So I reformulate my question:
> >>
> >> xtivreg2 CRit (Xit=Wit) Zit (state by year fixed effects),
> >> fe i(county), cluster(county)
> >>
> >> gives the error message " 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"
> >>
> >> but the same command xtivreg2 without state by year effects:
> >> xtivreg2 CRit (Xit=Wit) Zit, fe i(county), cluster(county)
> >> does NOT report the above error message
> >>
> >> I do not uderstand why the inclusion of state by year fe
> >> caused that error message
> >
> > I think your explanation in your earlier email is probably right:
> >
> >> I noticed that 2 states have a number of counties (clusters) lower
> >> than the number of years available. By dropping these two
> states STATA
> >> run the xtivreg2 without giving the error message.
> >>
> >> I have read the help file and FAQ and I think something
> is going with
> >> those state by year effects that creates a kind of singleton dummy
> >> problem, but I am not sure Any help would be appreciated
> >
> > And the question is, should you worry about it? The VCV
> should still
> be OK for tests of, say, one parameter at a time. So long as you are
> aren't trying to do something that requires a full-rank VCV
> (like 2-step
> GMM, or using an overid stat, or joint testing of all the coeffs),
> you're OK, I think.
> >
> > Memo to self: calling this an "error" in the output is possibly
> overstating the issue; maybe "warning" is better.
> >
> > --Mark
> >
> >> thank you
> >> sara
> >>
> >>
> >>
> >> --- Gio 11/2/10, Schaffer, Mark E <[email protected]>
> ha scritto:
> >>
> >>> Da: Schaffer, Mark E <[email protected]>
> >>> Oggetto: st: RE: ivreg versus xtivreg
> >>> A: [email protected]
> >>> Data: Giovedì 11 febbraio 2010, 19:43
> >>> Sara,
> >>>
> >>>> -----Original Message-----
> >>>> From: [email protected]
> >>>> [mailto:[email protected]]
> >>> On Behalf Of
> >>>> sara borelli
> >>>> Sent: Thursday, February 11, 2010 6:32 PM
> >>>> To: [email protected]
> >>>> Subject: st: ivreg versus xtivreg
> >>>>
> >>>> Dear members,
> >>>> I am running the following regressions in STATA8.2:
> >>>> CRit = a*Xit + b*Zit + (state by
> >>> year fixed effects) +
> >>>> (county fixed effects), cluster(county)
> >>>>
> >>>> CRit= crime rate in county i year t
> >>>> Xit = endogenous regressor
> >>>> Zit = set of 7 exogenous regressors
> >>>> state by year fixed effects = interactions between
> >>> indicators
> >>>> for each state and year
> >>>>
> >>>> I instrument Xit using Wit
> >>>> There are 246 counties, 10 states, 8 years I have been
> >> running this
> >>>> model with two commands
> >>>>
> >>>> xi: ivreg CRit
> >>> (Xit=Wit) Zit (state by year fixed
> >>>> effects) i.county, cluster(county)
> >>>> xtivreg2 CRit (Xit=Wit)
> >>> Zit (state by year fixed
> >>>> effects) i.county, fe i.(county)
> >>> cluster(county)
> >>>> the two commands give exactly the same coefficient,
> >>> and just
> >>>> slightly different std errors, but after xtivreg2 I
> >>> get the
> >>>> following message:
> >>>> 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 noticed that 2 states have a number of counties
> >>> (clusters)
> >>>> lower than the number of years available. By dropping
> >>> these
> >>>> two states STATA run the xtivreg2 without giving the
> >>> error message.
> >>>> I have read the help file and FAQ and I think
> >>> something is
> >>>> going with those state by year effects that creates a
> >>> kind of
> >>>> singleton dummy problem, but I am not sure Any help would be
> >>>> appreciated
> >>> It's not a problem.
> >>>
> >>> You will note that xtivreg2 does not report the fixed
> effect dummy
> >>> variables.
> >>>
> >>> xi: ivreg2 explicitly includes the dummies, and the
> >> coefficients are
> >>> reported.
> >>>
> >>> The warning message reported by ivreg2 is triggered by the
> >> fact that
> >>> there are now many more rows/columns in the VCV, the new,
> >> extended VCV
> >>> is no longer full rank.
> >>>
> >>> In fact, the coefficients and standard errors for the
> >> dummies aren't
> >>> consistent anyway (under the usual panel data
> assumptions - this is
> >>> the "incidental parameters problem"). So you really aren't
> >> interested
> >>> in the extended VCV anyway.
> >>>
> >>> HTH,
> >>> Mark
> >>>
> >>>> thank you
> >>>> sara
> >>>>
> >>>>
> >>>>
> >>>>
> >>>>
> >>>> *
> >>>> * 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/
> >>>>
> >>>
> >>> --
> >>> Heriot-Watt University is a Scottish charity registered
> >> under charity
> >>> number SC000278.
> >>>
> >>>
> >>> *
> >>> * 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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> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
--
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.
*
* For searches and help try:
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