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Re: st: Ivreg2 & -bw- option
Quoting Cordula Stolberg <email@example.com>:
> Dear Statalisters,
> I have some problems with the -bw(#)- option in -ivreg2-. I have an
> unbalanced (fixed effects) model and I suspect one variable to be
> endogenous. I used -ivreg2- and then found autocorrelation. When I
> tried to
> correct for that with the -bw- option, I always got the error
> "estimated variance-covariance matrix not positive definite"
> Is that because I have missing observations in my panel?
Probably not. VCVs that aren't positive definite are something you can
run into when you use kernel-based estimates, unless you use one that is
guaranteed to be PD. Try using the Barlett kernel (the default for ivreg2
with the -bw- option) in combination with the -robust- option. This is
also known as the Newey-West estimator and is guaranteed to be PD. If you
still get the error, then something else is going wrong.
> would be appreciated.
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
Prof. Mark Schaffer
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
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