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

["Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>]

Anat,

Can you check that you have the latest versions of ivreg2, xtivreg2 and ranktest installed, and also tell us which version of Stata you are using?

which ivreg2, all
which xtivreg2, all
which ranktest, all
version

Also:

Does xtivreg2 report that any observations are not used because of singletons?

What happens if you estimate using ivreg2 and explicit dummies for countries?

What happens if you estimate using xtivreg2 and partial-out the year dummies?

--Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Anat (Manes) Tchetchik
> Sent: 01 January 2014 20:09
> To: statalist@hsphsun2.harvard.edu
> Subject: st: non full ranked covariance matrix of moment conditions after
> xtivreg2
> 
> 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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