Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

"Warning: *variance matrix is nonsymmetric or highly singular" with reghdfe #47

Open
PaulaSpinola opened this issue Jul 25, 2022 · 1 comment

Comments

@PaulaSpinola
Copy link

I would like to absorb time FE in my regression as well as include a categorical variable among my explanatory variables (for age brackets).

When including age bracket FE as a regressor and absorbing time FE, I get the following message: "Warning: *variance matrix is nonsymmetric or highly singular" and SE are not estimated.

However, when running the exact same model while absorbing both time FE and age bracket FE I get no warning and all SE are estimated. Is it same to use these results?

PS: I am specifying robust standard errors in both estimations mentioned above. The same happens when I specify clustered standard errors for both estimations. This issue only does not happen when my standard errors are neither clustered, nor robust.

. ********************* I get the warning message when I estimate coefficients for age bracket and absorb time FE
. reghdfe avg_peer_cost iv_age iv_fem iv_uni pat_fem pat_age i.age_int, absorb(ym) vce(robust)
(MWFE estimator converged in 1 iterations)
Warning:  variance matrix is nonsymmetric or highly singular

HDFE Linear regression                            Number of obs   =  7,148,998
Absorbing 1 HDFE group                            F(  21,7148887) =   10378.63
                                                  Prob > F        =     0.0000
                                                  R-squared       =     0.0330
                                                  Adj R-squared   =     0.0330
                                                  Within R-sq.    =     0.0292
                                                  Root MSE        =  2096.0537

----------------------------------------------------------------------------------
                 |               Robust
   avg_peer_cost |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-----------------+----------------------------------------------------------------
          iv_age |  -31.59436          .        .       .            .           .
          iv_fem |    411.207          .        .       .            .           .
          iv_uni |   738.8013          .        .       .            .           .
         pat_fem |  -386.0751          .        .       .            .           .
         pat_age |   10.79922          .        .       .            .           .
                 |
         age_int |
 20 to 25 years  |  -1180.342          .        .       .            .           .
 25 to 30 years  |  -1009.705          .        .       .            .           .
 30 to 35 years  |  -795.4957          .        .       .            .           .
 35 to 40 years  |  -708.4765          .        .       .            .           .
 40 to 45 years  |  -698.3601          .        .       .            .           .
 45 to 50 years  |   -755.683          .        .       .            .           .
 50 to 55 years  |  -831.5416          .        .       .            .           .
 55 to 60 years  |  -909.2266          .        .       .            .           .
 60 to 65 years  |  -979.1657          .        .       .            .           .
 65 to 70 years  |  -935.7501          .        .       .            .           .
 70 to 75 years  |  -788.7044          .        .       .            .           .
 75 to 80 years  |  -607.2163          .        .       .            .           .
 80 to 85 years  |  -902.8926          .        .       .            .           .
 85 to 90 years  |  -975.3231          .        .       .            .           .
 90 to 95 years  |  -864.3475          .        .       .            .           .
95 to 100 years  |  -177.4297          .        .       .            .           .
                 |
           _cons |   3718.518          .        .       .            .           .
----------------------------------------------------------------------------------

Absorbed degrees of freedom:
-----------------------------------------------------+
 Absorbed FE | Categories  - Redundant  = Num. Coefs |
-------------+---------------------------------------|
          ym |        90           0          90     |
-----------------------------------------------------+
. 
.********************* I don't get the warning any longer when I absorb the coefficients of age brackets together with time FE
. reghdfe avg_peer_cost iv_age iv_fem iv_uni pat_fem pat_age, absorb(ym age_int) vce(robust)
(MWFE estimator converged in 4 iterations)

HDFE Linear regression                            Number of obs   =  7,148,998
Absorbing 2 HDFE groups                           F(   5,7148887) =   39389.47
                                                  Prob > F        =     0.0000
                                                  R-squared       =     0.0330
                                                  Adj R-squared   =     0.0330
                                                  Within R-sq.    =     0.0260
                                                  Root MSE        =  2096.0537

------------------------------------------------------------------------------
             |               Robust
avg_peer_c~t |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
      iv_age |  -31.59436   .2484534  -127.16   0.000    -32.08132    -31.1074
      iv_fem |    411.207   8.263385    49.76   0.000      395.011    427.4029
      iv_uni |   738.8013   4.091539   180.57   0.000      730.782    746.8205
     pat_fem |  -386.0751   2.196373  -175.78   0.000    -390.3799   -381.7703
     pat_age |   10.79922   .0335185   322.19   0.000     10.73353    10.86492
       _cons |   2902.447   12.48775   232.42   0.000     2877.971    2926.922
------------------------------------------------------------------------------

Absorbed degrees of freedom:
-----------------------------------------------------+
 Absorbed FE | Categories  - Redundant  = Num. Coefs |
-------------+---------------------------------------|
          ym |        90           0          90     |
     age_int |        17           1          16     |
-----------------------------------------------------+
@NARAYANKRISHNA1
Copy link

In my case, I used the second regression and I still get the same result as of first. Could you please suggest me on what should I do?
Thanks.

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
None yet
Projects
None yet
Development

No branches or pull requests

2 participants