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st: ivreg2 - error message: collinearities detected among instruments


From   "Ngo,PT (pgr)" <P.T.Ngo@lse.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: ivreg2 - error message: collinearities detected among instruments
Date   Sun, 31 Oct 2004 20:09:02 -0000

Dear Stata-listers,

I am trying to estimate the following using ivreg2 
xi: ivreg2 lriceyield2 (counting = per3 per4 per5 per6 per7 per8 per3n per5n per6n per7n) birth_north2 exper2 expersq2 aland2 anugood2 anubad2 ianulandsha2 i.comm92 if d92==1 & urban92==0,  first rob gmm

and obtain the following message:

First-stage regressions

Warning: collinearities detected among instruments
1st stage tests of excluded exogenous variables may	be incorrect
[output omitted]

As I was trying to figure out what this meant, I tried to the following : to drop all excluded IVs except one which I know is the strongest one: per3n.
xi: ivreg2 lriceyield2 (counting = per3n ) birth_north2 exper2 expersq2 aland2 anugood2 anubad2 ianulandsha2 i.comm92 if d92==1 & urban92==0,  first gmm

And I obtain the same warning message.

Would someone know what is happening?

Thanks a lot in advance,

Thi Minh


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