Re: st: RE: ivreg2 and xtoverid error

[John Antonakis <john.antonakis@unil.ch>]

Thanks Mark.

I realize that the test of endogeneity is not one of instrument 
validity. My thinking was that if OLS seems like it is not consistent 
then I am better off with IV, which is less efficient and given what 
evidence I currently have, probably consistent.  The instruments are 
fixed-effects (of leaders); thus, these individual differences due to 
leaders (stemming from ability, personality, are constant and 
theoretically exogenous as they are mostly genetically determined).

Unfortunately, -ivregress- does not give me the first-stage critical 
values: it says "(not available)".

Thanks for your help.

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 03.04.2010 16:56, Schaffer, Mark E wrote:
> John,
>
>   
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu 
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> > John Antonakis
> > Sent: 03 April 2010 14:47
> > To: statalist@hsphsun2.harvard.edu
> > Subject: Re: st: RE: ivreg2 and xtoverid error
> >
> > Hi Mark
> >
> > Thanks for the note.
> >
> > I get exactly the same estimates and standard errors with 
> > -ivreg- and -ivregress-, with the cluster robust variance 
> > estimator.  When using
> > -ivreg2- with the  -noid- option it works and I get the same 
> > estimates; more importantly, I also get the Hansen J-test,
> >     
>
> Looks like it was -ranktest- that was also causing invsym() to choke,
> probably for the same reason - the reduced form first-stage matrix is
> probably too big and badly behaved for it to cope.
>
>   
> > which is what interests me most (the -ivregress- estimator 
> > does not report an overid for cluster-robust vce's):
> >
> > Hansen J statistic (overidentification test of all instruments): 
> > 402.476, Chi-sq(404) P-val =  0.5121
> >
> > Note, my estimates make sense and the regressors I expected 
> > to be significant are mostly significant. I guess I can 
> > assume that my estimates are consistent--and this because the 
> > endogeneity test is significant (from -ivregres-), right?
> >     
>
> You can get -ivreg2- to give you an endogeneity test statistic with the
> -endog- option.  I think it will agree with the -estat- test.
>
> But -estat endogenous- and -ivreg2,endog()- are testing whether you need
> to treat your endogenous regressors x1-x13 as endogenous (and the answer
> seems to be yes, you do).  They aren't testing whether your equation is
> underidentified or weakly identified, which is what you'd also like to
> know.  This is the test that -ranktest- and -ivreg2- are choking on
> because the matrix is so big.
>
> I'd be curious to know if Stata's -estat firststage- is able to generate
> the Cragg-Donald ("minimum eigenvalue") under/weak-identification
> statistic in your case.  You'll need to use the -forcenonrobust- option
> to get it if you're using cluster-robust.
>
> Cheers,
> Mark
>
>   
> > . estat endogenous
> >
> >   Tests of endogeneity
> >   Ho: variables are exogenous
> >
> >   Robust regression F(13,417)     =  119.753  (p = 0.0000)
> >     (Adjusted for 418 clusters in lead_number)
> >
> > 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 03.04.2010 15:16, Schaffer, Mark E wrote:
> >     
> > > John,
> > >
> > > You've got a very large number of instruments (almost 500), 
> > >       
> > but also 
> >     
> > > 13 endogenous regressors.  The under- and weak-id statistics are 
> > > calculated by -ranktest-, and it's running of memory 
> > >       
> > because it works 
> >     
> > > with the reduced form in matrix form (13 first-stage 
> > >       
> > regressions, each 
> >     
> > > with almost 500 regressors).
> > >
> > > If you use the -noid- option, it might address that problem problem 
> > > (but you won't get the weak id stats).
> > >
> > > The
> > >
> > > invsym(): matrix has missing values
> > >
> > > is different.  -ivreg2- is having problems inverting this huge Z'Z 
> > > matrix  and -ivregress- isn't (I think possibly because the latter 
> > > uses a different Mata matrix inversion function).  I do 
> > >       
> > wonder whether 
> >     
> > > the results you're getting actually make sense.
> > >
> > > Have you tried using the old -ivreg-, which uses -regress-?  It is 
> > > numerically very stable and accurate.  Does it give the 
> > >       
> > same results 
> >     
> > > as -ivregress-?
> > >
> > > Cheers,
> > > Mark
> > >
> > >   
> > >       
> > > > -----Original Message-----
> > > > From: owner-statalist@hsphsun2.harvard.edu
> > > > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of John 
> > > > Antonakis
> > > > Sent: 03 April 2010 01:20
> > > > To: statalist@hsphsun2.harvard.edu
> > > > Subject: st: ivreg2 and xtoverid error
> > > >
> > > > Hi:
> > > >
> > > > I am running Stata version 11 and have everything up to date.
> > > >
> > > > When running a two-stage model with ivreg2, I get the 
> > > >         
> > following error:
> >     
> > > > . xi: ivreg2 sat (x1-x13=i.lead_n) , cluster(lead_n)
> > > > i.lead_number     _Ilead_numb_1-484   (naturally coded; 
> > > >         
> > _Ilead_numb_1 
> >     
> > > > omitted)
> > > >              quadcross():  3900  unable to allocate real 
> > > > <tmp>[5421,5421]
> > > >                 rkstat():     -  function returned error
> > > >                  <istmt>:     -  function returned error
> > > > r(3900);
> > > >
> > > > If I remove the vce cluster command I get another error:
> > > >
> > > > . xi: ivreg2 y (x1-x13=i.lead_n) ,
> > > > i.lead_number     _Ilead_numb_1-484   (naturally coded; 
> > > >         
> > _Ilead_numb_1 
> >     
> > > > omitted)
> > > >
> > > > invsym(): matrix has missing values
> > > >
> > > > This model is estimated fine with the official -ivregress- 
> > > >         
> > command, 
> >     
> > > > whether I use a cluster-robust or normal variance estimator, e.g.,
> > > >
> > > > . xi: ivregress 2sls y (x1-x13=i.lead_n) ,cluster(lead_n)
> > > > i.lead_number     _Ilead_numb_1-484   (naturally coded; 
> > > >         
> > _Ilead_numb_1 
> >     
> > > > omitted)
> > > >
> > > > Instrumental variables (2SLS) regression               
> > > >         
> > Number of obs 
> >     
> > > > =     832
> > > >                                                        
> > > >         
> > Wald chi2(13) 
> >     
> > > > =
> > > > 1020.01
> > > >                                                        Prob > 
> > > > chi2   =  
> > > > 0.0000
> > > >                                                        
> > > > R-squared     =  
> > > > 0.7020
> > > >                                                        Root 
> > > > MSE      =   
> > > > .2955
> > > >
> > > >                           (Std. Err. adjusted for 418 clusters in
> > > > lead_number)
> > > > --------------------------------------------------------------
> > > > ----------------
> > > >              |               Robust
> > > >            y |      Coef.   Std. Err.      z    P>|z|     
> > > >         
> > [95% Conf. 
> >     
> > > > Interval]
> > > > -------------+------------------------------------------------
> > > > ----------
> > > > -------------+------
> > > >           x1 |   .3849406   .0509433     7.56   0.000     
> > > >         
> > .2850935    
> >     
> > > > .4847877
> > > >           x2 |  -.0452167   .0541093    -0.84   0.403    
> > > >         
> > -.1512689    
> >     
> > > > .0608355
> > > >           x3 |  -.0214062   .0392473    -0.55   0.585    
> > > >         
> > -.0983295    
> >     
> > > > .0555171
> > > >           x4 |   .0743079   .0528296     1.41   0.160    
> > > > -.0292363     
> > > > .177852
> > > >           x5 |   .1559398    .056997     2.74   0.006     
> > > >         
> > .0442276    
> >     
> > > > .2676519
> > > >           x6 |    .168241   .0577832     2.91   0.004     
> > > > .0549879     
> > > > .281494
> > > >           x7 |  -.1359489   .0290323    -4.68   0.000    
> > > >         
> > -.1928512   
> >     
> > > > -.0790465
> > > >           x8 |   .0485811   .0358857     1.35   0.176    
> > > >         
> > -.0217535    
> >     
> > > > .1189157
> > > >           x9 |  -.1772587   .0512706    -3.46   0.001    
> > > >         
> > -.2777472   
> >     
> > > > -.0767701
> > > >          x10 |   .1785753   .0570718     3.13   0.002     
> > > >         
> > .0667166    
> >     
> > > > .2904339
> > > >          x11 |   .0309138   .0533183     0.58   0.562    
> > > >         
> > -.0735883    
> >     
> > > > .1354158
> > > >          x12 |   .2282491   .0554658     4.12   0.000     
> > > > .1195381      
> > > > .33696
> > > >          x13 |  -.0723148   .0486346    -1.49   0.137    
> > > >         
> > -.1676369    
> >     
> > > > .0230072
> > > >        _cons |   .4183937   .1616004     2.59   0.010     
> > > >         
> > .1016627    
> >     
> > > > .7351247
> > > > --------------------------------------------------------------
> > > > ----------------
> > > > Instrumented:  x1 x2 x3 x4 x5 x6 x7 x8 x9 x10 x11 x12 x13
> > > > Instruments:   _Ilead_numb_2 _Ilead_numb_3 _Ilead_numb_4 
> > > >         
> > _Ilead_numb_5
> >     
> > > > [output snipped]
> > > >
> > > >
> > > > Interestingly, when I run it with -xtivreg-, the model is 
> > > >         
> > estimated 
> >     
> > > > fine; however, -xtoverid- gives me the following error:
> > > >
> > > > . xtoverid
> > > > invsym(): matrix has missing values
> > > > r(504);
> > > >
> > > > This is the same error that follows ivreg2 estimation.
> > > >
> > > > I suspect it might have something to do with the fact that 
> > > >         
> > I have a 
> >     
> > > > large number of instruments (fixed-effects, with 483
> > > > dummies) and clustering on those fixed-effects.
> > > >
> > > > Best,
> > > > 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
> > > > ____________________________________________________
> > > >
> > > >
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