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Re: st: -xtpcse and period dummies- no full table reported due to asymmetric and singular variance matrix
From
Felix Wädlich <[email protected]>
To
[email protected]
Subject
Re: st: -xtpcse and period dummies- no full table reported due to asymmetric and singular variance matrix
Date
Mon, 14 Mar 2011 13:39:28 +0100
Dear Clive,
thanks for ur suggestion, but unfortunately that did not do the job.
Still getting the same warning message.Any other tip?
Best,
Felix
. xtpcse c_capital c_loggdppc c_loggdp c_lgovcon c_lgrowth
c_lregionothers yr*, pairwise c(ar1)
Number of gaps in sample: 8
(note: computations for rho restarted at each gap)
note: yr1 omitted because of collinearity
note: yr2 omitted because of collinearity
(note: estimates of rho outside [-1,1] bounded to be in the range [-1,1])
(note: at least one disturbance covariance assumed 0, no common time periods
between panels)
Warning: variance matrix is nonsymmetric or highly singular
Prais-Winsten regression, correlated panels corrected standard errors (PCSEs)
Group variable: Country Number of obs = 2814
Time variable: year Number of groups = 134
Panels: correlated (unbalanced) Obs per group: min = 2
Autocorrelation: common AR(1) avg = 21
Sigma computed by pairwise selection max = 25
Estimated covariances = 9045 R-squared = 0.0493
Estimated autocorrelations = 1 Wald chi2(0) = .
Estimated coefficients = 30 Prob > chi2 = .
------------------------------------------------------------------------------
| Panel-corrected
c_capital | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
c_loggdppc | -.5241978 . . . . .
c_loggdp | .110086 . . . . .
c_lgovcon | .0016855 . . . . .
c_lgrowth | .0008101 . . . . .
c_lregiono~s | .1941566 . . . . .
yr1 | (omitted)
yr2 | (omitted)
yr3 | .022493 . . . . .
yr4 | .0273882 . . . . .
yr5 | .0115461 . . . . .
yr6 | .0337352 . . . . .
yr7 | .0598745 . . . . .
yr8 | .0291169 . . . . .
yr9 | .0211556 . . . . .
yr10 | .0255307 . . . . .
yr11 | .0242099 . . . . .
yr12 | .0043918 . . . . .
yr13 | -.0247601 . . . . .
yr14 | .0009665 . . . . .
yr15 | .1060365 . . . . .
yr16 | .0805885 . . . . .
yr17 | .0332214 . . . . .
yr18 | .0832608 . . . . .
yr19 | .0403092 . . . . .
yr20 | .0195583 . . . . .
yr21 | .0004272 . . . . .
yr22 | .013192 . . . . .
yr23 | .0135001 . . . . .
yr24 | .0059468 . . . . .
yr25 | .0014196 . . . . .
yr26 | -.00606 . . . . .
_cons | -.0334178 . . . . .
-------------+----------------------------------------------------------------
rho | .8822325
------------------------------------------------------------------------------
2011/3/13 Clive Nicholas <[email protected]>:
> Felix Waedlich:
>
>> 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.
>
> Try centering your continously measured variables by period and then
> run -xtpcse, c(ar1)- again. Doing this comes at the cost of robbing
> your model of explaining the variance in your response variable that
> it would otherwise in a 'normal' model.
>
> --
> Clive Nicholas
>
> [Please DO NOT mail me personally here, but at
> <[email protected]>. Please respond to contributions I make in
> a list thread here. Thanks!]
>
> "My colleagues in the social sciences talk a great deal about
> methodology. I prefer to call it style." -- Freeman J. Dyson.
>
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