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Re: st: RE: ivreg versus xtivreg
Thanks for the hint Mark, but this doesn't help. I think that the
problem I have is that I am using fixed effects as instruments and I am
also clustering on these fixed effects (so the n-size at the cluster
levels is not large enough).
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 22:38, Schaffer, Mark E wrote:
John,
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of
John Antonakis
Sent: 12 February 2010 21:02
To: [email protected]
Subject: Re: st: RE: ivreg versus xtivreg
Interestingly, the Hansen J is non significant when I specify
the model with the "robust" vce option. However, I cannot
obtain the J test when clustering (as mention, I get the
"warming" message).
I have a hunch ... there's an undocumented ivreg2 option -spsd-. For some special cases, it will take a non-pd VCV and make it pd using a spectral decomposition. What happens if you reestimate using this option?
--Mark
Intuitively, would you think that the Hansen J would be close
to that obtained from the two-way clustered J? I guess that
there is no "trick"
of sorts or something that could be done to get an idea if
the overidentifying restrictions are viable.
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 17:53, Schaffer, Mark E wrote:
Thanks, John. 2-way clustering is terra nova, and I am
interested in general about how it works in practice. It
sounds like your application is very suitable.
Cheers,
Mark
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of John
Antonakis
Sent: Friday, February 12, 2010 4:04 PM
To: [email protected]
Subject: Re: st: RE: ivreg versus xtivreg
Hi Mark:
The SEs are quite similar (and still significant) using two-way
clustering as compared to the robust or clustering on one
dimension.
The first dimension has 192 clusters and the second
dimension has 99
clusters (and observations are n =433).
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 14:26, Schaffer, Mark E wrote:
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/
>>
>
>
*
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