Re: st: non full ranked covariance matrix of moment conditions after xtivreg2

[Marcello Pagano <pagano@hsph.harvard.edu>]

... and at the NSA  ???


On 1/1/2014 3:09 PM, Anat (Manes) Tchetchik wrote:
> Dear all,
>
> I have an unbalanced panel of data on 35 countries over 17 years (446 obs.)
> I have  jointly significant time effects are, as well as first order
> autocorrelation.
> As I want to account for two-way (unit and time ) cluster-robust
> covariance matrix and estimated the following model:
>
>   xi: xtivreg2 SS dem gini inflation shad_econ_min3  gdp  i.year, fe
> cluster( country year) bw(1)
>
> The output below raises two issues:
> (1) Why does it indicate that  the  "Number of clusters (year) = 2007"
> and not 17 as it should?
> (2) how should I treat the Warning: "estimated covariance matrix of
> moment conditions not of full rank.  model tests should be interpreted
> with caution"
> Note that when omitting the year dummies this warning doesn't appear
>
> Number of clusters (country) =     35            Number of obs =      440
> Number of clusters (year) =       2007
>
>       ss        Coef.           Std.          Err.
> ---------------+-------------------------------------------------
> dem 0.00493 0.001544 3.19
> gini -0.005013 0.00248 -2.02
> inflation -5.72E-05 2.18E-05 -2.62
>
>
>
> gdp -0.008507 0.009861 -0.86
> _Iyear_1991 0.138 0.038671 3.56
> _Iyear_1992 0.365 0.079991 4.56
> _Iyear_1993 0.332 0.081221 4.09
> _Iyear_1994 0.339 0.081055 4.18
> _Iyear_1995 0.338 0.084453 4.01
> _Iyear_1996 0.360 0.088365 4.07
> _Iyear_1997 0.371 0.093862 3.96
> _Iyear_1998 0.363 0.100767 3.6
> _Iyear_1999 0.400 0.106786 3.75
> _Iyear_2000 0.422 0.10945 3.86
> _Iyear_2001 0.418 0.115567 3.62
> _Iyear_2002 0.416 0.12068 3.45
> _Iyear_2003 0.415 0.124553 3.33
> _Iyear_2004 0.418 0.128937 3.24
> _Iyear_2005 0.418 0.129226 3.23
> _Iyear_2006 0.475 0.133707 3.55
> _Iyear_2007 0.519 0.14433 3.59
>
>
> 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
>           covariance matrix of moment conditions not positive definite
>           covariance matrix uses too many lags
>           singleton dummy variable (dummy with one 1 and N-1 0s or vice versa)
> partial option may address problem.
>
> Best,
>
> Anat Tchetchik, PhD
> Department of Business Administration
> Guilford Glazer Faculty of Business and Management
> Ben-Gurion University of the Negev
> P.O.Box: 653
> Beer-Sheva, Israel, 84105
>
> E-mail:       anat@som.bgu.ac.il
> Phone         972-(0)8-6479735
> Fax:           972-(0)8-6472920
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