st: -xtpcse and period dummies- no full table reported due to asymmetric and singular variance matrix

[Waedlich Felix <fwaedlich@gmail.com>]

Hey Statalist,

I have to run a Prais-Winsten-regression with Period-Dummies and panel-corrected standard errors [by xtpcse, corr(ar1)], since my (unbalanced) panel needs correction for serial correlation, groupwise heteroskedasticity and contemporaneous correlation. I need the period dummies to control for common shocks and trends, since I have a Diffusion variable respectively spatial lag, which requires a conservative test against alternative external influences.
Without period dummies, there appears to be no problem: Stata reports me all the coefficients, the z-values, etc. But when I include the period dummies, Stata says "warning: variance matrix is nonsymmetric or highly singular", and only lists the coefficients, but no standard errors, no z-values, etc.. Since this is a standard specification in my field of research, I am wondering how I can solve this problem. Any suggestions? Help much appreciated
I read the only article on Statalist about this error message, but it really does not help me, and i dont really see how my data suffers from these problems.

Best regards,
Felix
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