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From | Abhimanyu Arora <abhimanyu.arora1987@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: missing std errors---xtivreg2 |
Date | Fri, 8 Jun 2012 15:21:09 +0200 |
Hello again Just to follow up, I discovered a few things that might facilitate a healthy discussion. Vince Wiggins has got a post here http://www.stata.com/statalist/archive/2003-06/msg00646.html, that might be somewhat related. But as I infer from his answer to Mark, there's to be 1 one and rest zeros. But when I summarize my >2500 observations, I have 40% ones. Also I do get standard error for this variable if I cluster it 1-way (or I guess level would be more econometrically correct), instead of 2-way. But I hope to understand this puzzling issue thanks to your cooperation Cheers Abhimanyu Then I see that one-way clustering does On Fri, Jun 8, 2012 at 2:35 PM, Abhimanyu Arora <abhimanyu.arora1987@gmail.com> wrote: > Dear statalist > I am estimating a panel-fixed effects model with two-way clustering > with one endogenous variable making use of Schaffer et al's -xtivreg2- > > . which xtivreg2 > c:\ado\plus\x\xtivreg2.ado > *! xtivreg2 1.0.13 28Aug2011 > *! author mes > > May I request you to shed some light on a couple of issues. > > I am getting missing standard error for one included instrument. It is > a binary variable. > I get the following warning in my output indicating that this variable > is problematic. > > Warning: estimated covariance matrix of moment conditions not of full rank. > model tests should be interpreted with caution. > Possible causes: > number of clusters insufficient to calculate robust covariance matrix > singleton dummy variable (dummy with one 1 and N-1 0s or vice versa) > partial option may address problem. > > However, since I would have liked to see the significance of the > coefficient of this variable, is there a way to address this problem > (inability to infer) without -partial-? I guess one might have to drop > observations...but is it so? > > > Another thing I need to clarify is that in this case while for weak > identification test using the KP rk Wald F statistic (=AP F) rejects > the null, I am not sure about the underidentification test---the first > stage reports Kleibergen-Paap rk LM statistic as well as AP chi-sq and > these two are meaning different conclusions for the null. For the > cluster-robust case which among the two is preferred, perhaps I might > have read too fast in the help file so as to miss it, so seek your > thoughts/references on this. > > I could share the results if you ask. > > With best wishes > Abhimanyu > * > * 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/