John,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> John Antonakis
> Sent: Friday, February 12, 2010 12:03 PM
> To: [email protected]
> Subject: Re: st: RE: ivreg versus xtivreg
>
> Hi Mark:
>
> Yes; I am using the 2-way cluster option. Fyi, the highest n-size for
> the cluster is 192.
I take it that means you've got 192 clusters in one dimension. Do you have a similarly large number in the second dimension? In that case I agree, you're probably OK.
I'm also curious about the results of using 2-way clustering. Does it make a big difference?
--Mark
> Glad to hear that the SEs are probably OK.
>
> Best regards,
> John.
>
> ____________________________________________________
>
> 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 12:50, Schaffer, Mark E wrote:
> > 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:
> >> * 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/
>
--
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/
