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| From | Christopher Parker <christopher.parker101@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: RE: Two -way clustering (ivreg2/xtivreg2/cgmreg): warning messages, uncomprehensible behavior |
| Date | Tue, 22 Apr 2014 20:49:56 +0200 |
Mark, what i meant was if this error message "Warning: estimated covariance matrix of moment conditions not of full rank.model tests should be interpreted with caution." can be caused by a non-psd variance matrix ? 2014-04-22 19:53 GMT+02:00 Schaffer, Mark E <M.E.Schaffer@hw.ac.uk>: > Kuba, > > Not sure what you mean. If -ivreg2/xtivreg2- encounter a non-psd matrix, that's what they report. But see Stas' separate (and important) post. > > --Mark > >> -----Original Message----- >> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner- >> statalist@hsphsun2.harvard.edu] On Behalf Of Kuba Bembenek >> Sent: 22 April 2014 15:49 >> To: statalist@hsphsun2.harvard.edu >> Subject: Re: st: RE: Two -way clustering (ivreg2/xtivreg2/cgmreg): warning >> messages, uncomprehensible behavior >> >> Mark, >> >> just to be sure, you nevertheless expect the -ivreg2/xtivreg2- warning >> to appear because of a non-positive semi-definite variance matrix? >> >> 2014-04-22 16:09 GMT+02:00 Schaffer, Mark E <M.E.Schaffer@hw.ac.uk>: >> > Kuba, >> > >> > I can't help with -cgmreg-, I'm afraid; that's not something I've written or >> know much about. >> > >> > --Mark >> > >> >> -----Original Message----- >> >> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner- >> >> statalist@hsphsun2.harvard.edu] On Behalf Of Kuba Bembenek >> >> Sent: 22 April 2014 14:28 >> >> To: statalist@hsphsun2.harvard.edu >> >> Subject: Re: st: RE: Two -way clustering (ivreg2/xtivreg2/cgmreg): warning >> >> messages, uncomprehensible behavior >> >> >> >> Hi Mark, >> >> >> >> thank you for your answer! I have to correct myself: cgmreg gives me >> >> this message for every regression, no matter if cluster by one or two >> >> dimensions. What is your opinion on this? >> >> >> >> Best regards, >> >> >> >> Kuba >> >> >> >> 2014-04-22 0:18 GMT+02:00 Schaffer, Mark E <M.E.Schaffer@hw.ac.uk>: >> >> > Kuba, >> >> > >> >> > -ivreg2- and -cgmreg- are giving you basically the same message. This >> >> problem can happen with 2-way clustering; I think if you follow up some >> of >> >> the literature on this, you'll find some discussion. >> >> > >> >> > The only thing I can suggest is partialling-out all the regressors you aren't >> >> interested in, using the partial(.) option of ivreg2/xtivreg2. Unless you are >> >> using the CUE estimator, this leaves the remaining coefficients >> unchanged, >> >> and often solves the problem. >> >> > >> >> > HTH, >> >> > Mark >> >> > >> >> >> -----Original Message----- >> >> >> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner- >> >> >> statalist@hsphsun2.harvard.edu] On Behalf Of Kuba Bembenek >> >> >> Sent: 21 April 2014 20:13 >> >> >> To: statalist@hsphsun2.harvard.edu >> >> >> Subject: st: Two -way clustering (ivreg2/xtivreg2/cgmreg): warning >> >> messages, >> >> >> uncomprehensible behavior >> >> >> >> >> >> Dear Statalists, >> >> >> >> >> >> what I am doing: >> >> >> >> >> >> I am estimating a panel model via First Difference estimator. I either >> >> >> use ivreg2 and take the first differences myself, or xtivreg2, fd. The >> >> >> panal ist unbalanced and consists of seven sectors across 24 countries >> >> >> ( 168 panel units) observed over 33 years. In the model, I include >> >> >> seven industry specific trends (after FD: industry specific dummies) >> >> >> and year dummies. >> >> >> >> >> >> The problem that occurs: >> >> >> >> >> >> In this model I want to cluster across industries and countries. I >> >> >> almost always get the message "Warning: estimated covariance matrix >> of >> >> >> moment conditions not of full rank.model tests should be interpreted >> >> >> with caution." This even the case when the number of clusters >> exceeds >> >> >> the number of regressors to be estimated (in both cluster >> dimensions). >> >> >> Furthermore no singleton dummy variable is included >> >> >> >> >> >> >> >> >> Of course due to the number of time dummies etc., the number of >> >> >> clusters would not be sufficient in both dimensions if I just used the >> >> >> identification variables for countries and industries. To evade this >> >> >> problem, I generate id variables for three year intervals,four year >> >> >> intervals, or each individual year to interact them (egen .. >> >> >> =group(threeyear country) etc.) with the country and industry >> >> >> indicator. The only combination where two-way custering works is the >> >> >> industry*year and country*year case. In all the other cases I get the >> >> >> error message above. However if I just cluster over one dimension, >> >> >> e.g. fouryearid*industry or threeyear*country, it works. This >> >> >> confuses me as to my knowledge the numbers of coefficients that can >> be >> >> >> jointly tested is restrained by the "cluster dimension" with the >> >> >> fewest number of clusters. >> >> >> >> >> >> Does anybody have an idea what could be happening here? I would be >> >> >> very thankful for some help! >> >> >> >> >> >> Best Regards >> >> >> >> >> >> Kuba Bembenek >> >> >> >> >> >> >> >> >> additional info: >> >> >> >> >> >> I also tried the cgmreg command (described here: >> >> >> >> >> >> https://www.econstor.eu/dspace/bitstream/10419/58397/1/609322079.pdf) >> >> >> and for every estimation, also for the year*country and >> >> >> industry*clusters, I get the following message: >> >> >> >> >> >> " Raw estimated variance matrix was non-positive semi-definite. >> >> >> -cgmreg- is replacing any/all negative eigenvalues with 0" >> >> >> * >> >> >> * 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/ >> >> > >> >> > >> >> > ----- >> >> > 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/ >> >> >> >> * >> >> * 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/ >> > >> > >> > ----- >> > 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/ >> * >> * 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/ > > > ----- > 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/ * * 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/