Dear All,
I'm working with panel data for 13 years which includes exports at industry level (31 industries) from 11 exporter countries to 106 countries importer countries (13*31*11*106 = 469898 observations). I'm using PPML to estimate the regression equation. My regression includes year, importer, exporter and industry dummies separately. Clustering is done at exporter*importer*industry*year level. Other independent variables include GDP of importer and and exporter countries, some industry specific variables and dummy variables that capture whether the two countries are a part of jth FTA in that year
When I run this regression for my complete dataset (i.e. 469898 observations) I get my estimates but when I run the same specification for individual exporter countries - 42718 obs each (I exclude GDP of exporter) I get the following warning messages - "variance matrix is nonsymmetric or highly singular" and "The model appears to overfit some observations with total_exports_usd=0"
Is it because of the level of clustering? If yes, how do I know the most appropriate level of cluster?
Thank you.
I'm working with panel data for 13 years which includes exports at industry level (31 industries) from 11 exporter countries to 106 countries importer countries (13*31*11*106 = 469898 observations). I'm using PPML to estimate the regression equation. My regression includes year, importer, exporter and industry dummies separately. Clustering is done at exporter*importer*industry*year level. Other independent variables include GDP of importer and and exporter countries, some industry specific variables and dummy variables that capture whether the two countries are a part of jth FTA in that year
When I run this regression for my complete dataset (i.e. 469898 observations) I get my estimates but when I run the same specification for individual exporter countries - 42718 obs each (I exclude GDP of exporter) I get the following warning messages - "variance matrix is nonsymmetric or highly singular" and "The model appears to overfit some observations with total_exports_usd=0"
Is it because of the level of clustering? If yes, how do I know the most appropriate level of cluster?
Thank you.
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