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| From | Felix Wädlich <fwaedlich@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: -xtpcse and period dummies- no full table reported due to asymmetric and singular variance matrix |
| Date | Mon, 14 Mar 2011 14:13:39 +0100 |
Hey Justina, I include gdp as a measure of market size and gdppc as an indicator for development or wealth. I tried to build up the covariates, but the problem remains: as soon as I include the year dummies (yr*), I get the breakdown message. It probably is a very basic problem, but I just dont see what I am doing wrong, and also what else I can do. Any more thoughts? Best, Felix 2011/3/14 Justina Fischer <JAVFischer@gmx.de> > > 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" <fwaedlich@gmail.com> > > An: statalist@hsphsun2.harvard.edu > > 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 <clivelists@googlemail.com>: > > > 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 > > > <clivenicholas@hotmail.com>. 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/ > > > > > > > * > > * 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/ > > -- > Justina AV Fischer, PhD > Senior Researcher > Faculty of Economics > University of Mannheim > > homepage: http://www.justinaavfischer.de/ > e-mail: javfischer@gmx.de > papers: http://ideas.repec.org/e/pfi55.html > > > * > * 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/ * * 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/