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

["Anat (Manes) Tchetchik" <anatmanes@gmail.com>]

Dear Marcello,

I'll be glad if you can re-send your answer, something came out missing in it.
Best regards,
Anat

On Wed, Jan 1, 2014 at 10:40 PM, Marcello Pagano
<pagano@hsph.harvard.edu> wrote:
> ... 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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>> *   http://www.ats.ucla.edu/stat/stata/
>
>
> *
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-- 
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
*
*   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/