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Re: st: 2SLS


From   Ted Anagnoson <anag999@silcom.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: 2SLS
Date   Sat, 22 Nov 2003 09:49:05 -0800

You could have dummy variables and not excluded one?
Or the instruments could simply be collinear.
I would try working on smaller subsets to start and see what the collinearities are - as a beginning.
I think there is also a diagnostic tool for collinear independent variables - try searching.

Good luck.

Ted Anagnoson



At 03:11 PM 11/22/03 +0100, you wrote:

I am a beginner using STATA, i would appreciate an answer to my
question.
I have a panel from 1997--1992 and for 66 regions. I estimate a two way
fixed effects (indiv and time dummies). Given the problem of endogeneity
of the aopro variable and I estimate the same model using 2SLS.

>>>>>>>>>>>>>>>>>>>>>>>>
ivreg2 lratpro rpcpi  rpcui rpcim pbm1019 pbf1019 pbm2029 pbf2029
pwm1019 pwf1019 pwm2029 pwf2029 pnm1019 pnf1019 pnm2029 pbm3039 pbf3039
pwm3039 pwf3039 pnm3039 pnf3039 pbm4049 pbf4049  pwm4049 pwf4049 pnm4049
pnf4049 pbm5064 pbf5064  pwm5064 pwf5064 pnm5064 pnf5064 pbmo65 pbfo65
pwmo65 pwfo65 pnmo65 pnfo65 density t78-t92  count2-count66 (aopro=
paemp lratprol vote)

ivendog

>>>>>>>>>>>

I got the following messages

first-stage regressions
-----------------------
Warning: collinearities detected among instruments
1st stage tests of excluded exogenous variables may be incorrect



----------------------------------------------------------------------------
Collinearities detected among instruments: 72 instrument(s) dropped
Instrumented:  aopro
Instruments:   rpcpi rpcui rpcim pbm1019 pbf1019 pbm2029 pbf2029
pwm1019
               pwf1019 pwm2029 pwf2029 pnm1019 pnf1019 pnm2029 pbm3039
pbf3039
               pwm3039 pwf3039 pnm3039 pnf3039 pbm4049 pbf4049 pwm4049
pwf4049
               pnm4049 pnf4049 pbm5064 pbf5064 pwm5064 pwf5064 pnm5064
pnf5064
               pbmo65 pbfo65 pwmo65 pwfo65 pnmo65 pnfo65 density t78
t79 t80
               t81 t82 t83 t84 t85 t86 t87 t88 t89 t90 t91 t92 count2
count3
               count4 count5 count6 count7 count8 count9 count10
count11
               count12 count13 count14 count15 count16 count17 count18
count19
               count20 count21 count22 count23 count24 count25 count26
count27
               count28 count29 count30 count31 count32 count33 count34
count35
               count36 count37 count38 count39 count40 count41 count42
count43
               count44 count45 count46 count47 count48 count49 count50
count51
               count52 count53 count54 count55 count56 count57 count58
count59
               count60 count61 count62 count63 count64 count65 count66
paemp
               lratprol vote


what is wrong?

Antonio
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