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Re: st: RE: ivreg2 warning, even after "partialling out"
From
Jin-Hyun Bae <[email protected]>
To
[email protected]
Subject
Re: st: RE: ivreg2 warning, even after "partialling out"
Date
Thu, 14 Nov 2013 13:38:47 -0500
Then I'll be left with the previous warning. Is it ok then to use the
results despite the warning? Or is it because partialling out
$exogctrl makes little difference?
On 14 November 2013 13:22, Schaffer, Mark E <[email protected]> wrote:
> Jin,
>
>> -----Original Message-----
>> From: [email protected] [mailto:owner-
>> [email protected]] On Behalf Of Jin-Hyun Bae
>> Sent: 14 November 2013 17:19
>> To: [email protected]
>> Subject: Re: st: RE: ivreg2 warning, even after "partialling out"
>>
>> I just noticed that the $exogctrl results are no longer reported.
>> Would it be "correct" to use the ones produced in the other regression
>> without partialling out of $exogctrl,
>
> Should be OK if you don't partial out $exogctrl. There are only 15 of them.
>
> --Mark
>
>> or is there anything else I should be doing
>> that I am missing?
>>
>> Jin
>>
>>
>> On 14 November 2013 12:01, Jin-Hyun Bae <[email protected]>
>> wrote:
>> > Mark,
>> >
>> > Thank you for the clarification. I ran the code that you had in mind
>> > and it now produces results without warnings.
>> >
>> > I have 15 variables in $exogctrl and original _I* has a total of 182.
>> > Hardly surprising that stata "gave up" when there are about 2300
>> > observations and I previously ran the code with thousands of
>> > additional _I variables!
>> >
>> > Thank you again,
>> > Jin
>> >
>> >
>> > On 14 November 2013 11:41, Schaffer, Mark E <[email protected]>
>> wrote:
>> >> Jin,
>> >>
>> >> It sounds like you have too many explicit regressors for cluster, and
>> maybe too many in general - if you have many hundreds of explicit
>> regressors, Stata will have to invert a very large matrix, and that is inviting
>> numerical accuracy problems.
>> >>
>> >> A few thoughts:
>> >>
>> >> Try partialling out $exogctrl AND _I* in the same regression, i.e.,
>> partial($exogctrl _I*). This is what I originally had in mind.
>> >>
>> >> How many variables are in $exogctrl? How many are in _I*?
>> >>
>> >> What is matsize set to? You can find out with
>> >>
>> >> query memory
>> >>
>> >> in Stata.
>> >>
>> >> --Mark
>> >>
>> >>> -----Original Message-----
>> >>> From: [email protected] [mailto:owner-
>> >>> [email protected]] On Behalf Of Jin-Hyun Bae
>> >>> Sent: 14 November 2013 14:19
>> >>> To: [email protected]
>> >>> Subject: Re: st: RE: ivreg2 warning, even after "partialling out"
>> >>>
>> >>> Hello Mark,
>> >>>
>> >>> Thank you for your suggestion. I tried to partial out the full list
>> >>> of controls and also a subset excluding binary controls, but I get
>> >>> the following error.
>> >>>
>> >>> ivreg2 selfemp1 cultdist $exogctrl _I*, cluster (nat cisstate)
>> >>> partial(_I*) matsize too small r(908);
>> >>>
>> >>> Also, since you mentioned that it would be difficult to see where
>> >>> the problem lies without seeing the results, I would like to respond
>> >>> to that. Unfortunately, the data restrictions I have prevent me from
>> >>> sending out the raw results. Could you tell me what you would like
>> >>> to know, or what I should be looking out for?
>> >>>
>> >>> Thank you again,
>> >>> Jin
>> >>>
>> >>> Date: Thu, 14 Nov 2013 00:23:42 +0000
>> >>> From: "Schaffer, Mark E" <[email protected]>
>> >>> Subject: st: RE: ivreg2 warning, even after "partialling out"
>> >>>
>> >>> Jin,
>> >>>
>> >>> > -----Original Message-----
>> >>> > From: [email protected] [mailto:owner-
>> >>> > [email protected]] On Behalf Of Jin-Hyun Bae
>> >>> > Sent: 13 November 2013 23:20
>> >>> > To: [email protected]
>> >>> > Subject: st: ivreg2 warning, even after "partialling out"
>> >>> >
>> >>> > Hello!
>> >>> >
>> >>> > I'm having problems nailing down the cause of a warning message
>> >>> > when
>> >>> using
>> >>> > ivreg2. I am running OLS with two-way clustering (nat, cisstate)
>> >>> > and have
>> >>> added
>> >>> > dummies for these variables.
>> >>> >
>> >>> > selfemp1 is a binary variable.
>> >>> > cultdist is a continuous variable.
>> >>> > _I* is a list of dummies based on nat and cisstate. I created
>> >>> > these based on
>> >>> the
>> >>> > example code in the ivreg2 help file.
>> >>> >
>> >>> > When I run
>> >>> > ivreg2 selfemp1 cultdist _I*, cluster (nat cisstate) partial(_I*)
>> >>> > I don't get a warning.
>> >>> >
>> >>> > But when I add a list of exogenous controls ($exogctrl), I get the
>> >>> > following
>> >>> > "Warning: estimated covariance matrix of moment conditions not of
>> >>> > full
>> >>> rank.
>> >>> > model tests should be interpreted with caution."
>> >>> >
>> >>> > This is the exact code I used.
>> >>> > ivreg2 selfemp1 cultdist $exogctrl _I*, cluster (nat cisstate)
>> >>> > partial(_I*)
>> >>> >
>> >>> > Also, if it helps, I get the same message when using the following code.
>> >>> > ivreg2 selfemp1 cultdist $exogctrl, cluster (nat cisstate)
>> >>> >
>> >>> > In all cases I have 77 clusters for nat and 42 clusters for
>> >>> > cisstate, and there
>> >>> are
>> >>> > no missing F values or std errors.
>> >>> >
>> >>> > I updated ivreg2 beforehand so it is up to date.
>> >>> >
>> >>> > Jin
>> >>>
>> >>> It's hard to tell for sure without seeing the output, but most
>> >>> likely you are running into the
>> >>> not-full-rank-because-of-not-enough-clusters
>> >>> issue.
>> >>>
>> >>> Does the error message go away if you also partial out the
>> >>> additional exogenous controls in $exogctrl?
>> >>>
>> >>> - --Mark
>> >>>
>> >>> > *
>> >>> > * For searches and help try:
>> >>> > * http://www.stata.com/help.cgi?search
>> >>> > * http://www.stata.com/support/faqs/resources/statalist-faq/
>> >>> > * http://www.ats.ucla.edu/stat/stata/
>> >>>
>> >>>
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>> >>
>> >> -----
>> >> Sunday Times Scottish University of the Year 2011-2013 Top in the UK
>> >> for student experience Fourth university in the UK and top in
>> >> Scotland (National Student Survey 2012)
>> >>
>> >>
>> >> We invite research leaders and ambitious early career researchers to
>> >> join us in leading and driving research in key inter-disciplinary themes.
>> >> Please see www.hw.ac.uk/researchleaders for further information and
>> >> how to apply.
>> >>
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>> >> number SC000278.
>> >>
>> >>
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>
>
> -----
> Sunday Times Scottish University of the Year 2011-2013
> Top in the UK for student experience
> Fourth university in the UK and top in Scotland (National Student Survey 2012)
>
> We invite research leaders and ambitious early career researchers to
> join us in leading and driving research in key inter-disciplinary themes.
> Please see www.hw.ac.uk/researchleaders for further information and how
> to apply.
>
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
>
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/faqs/resources/statalist-faq/
> * http://www.ats.ucla.edu/stat/stata/
*
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