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Re: st: -xtpcse and period dummies- no full table reported due to asymmetric and singular variance matrix
From
"Justina Fischer" <[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 13:50:59 +0100
Hi
try to build up the covariates step-by-step and observe when breakdown occurs.
Why do you include gdppc and gdp simulatenously ?
Justina
-------- Original-Nachricht --------
> Datum: Mon, 14 Mar 2011 13:39:28 +0100
> Von: "Felix Wädlich" <[email protected]>
> An: [email protected]
> Betreff: Re: st: -xtpcse and period dummies- no full table reported due to asymmetric and singular variance matrix
> 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.
> >
> > *
> > * 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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--
Justina AV Fischer, PhD
Senior Researcher
Faculty of Economics
University of Mannheim
homepage: http://www.justinaavfischer.de/
e-mail: [email protected]
papers: http://ideas.repec.org/e/pfi55.html
*
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* http://www.stata.com/support/statalist/faq
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