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RE: st: RE: ivreg2 and xtoverid error
From
"Schaffer, Mark E" <[email protected]>
To
<[email protected]>
Subject
RE: st: RE: ivreg2 and xtoverid error
Date
Sat, 3 Apr 2010 20:12:45 +0100
John,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> John Antonakis
> Sent: 03 April 2010 17:45
> To: [email protected]
> Subject: Re: st: RE: ivreg2 and xtoverid error
>
> 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.
I understand now. But Kit's caveats are worth bearing in mind, even if
there isn't much you can do about it.
> 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).
They could still be correlated with the disturbance term and hence
endogenous in an econometric sense, even if they are exogenous in a
model sense. But that's getting away from the topic, namely why don't
-ivreg2- or -ivregress- give you first-stage a.k.a. under- or
weak-identification statistics when presented with an enormous reduced
form matrix.
> Unfortunately, -ivregress- does not give me the first-stage critical
> values: it says "(not available)".
Looks like it is running into the same problems as -ivreg2-.
If you want to pursue this further, feel free to contact me off-list.
I'd be interested in tracing the problem and seeing when the missing
values in the matrix calculations start showing up.
Cheers,
Mark
> 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: [email protected]
> >> [mailto:[email protected]] On Behalf Of John
> >> Antonakis
> >> Sent: 03 April 2010 14:47
> >> To: [email protected]
> >> 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: [email protected]
> >>>> [mailto:[email protected]] On Behalf Of John
> >>>> Antonakis
> >>>> Sent: 03 April 2010 01:20
> >>>> To: [email protected]
> >>>> 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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> >>>>
> >>>>
> >>>>
> >>>
> >>>
> >> *
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> >
> >
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