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Re: st: ivreg2 - error message: collinearities detected among instruments


From   Mark Schaffer <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu, "Ngo,PT (pgr)" <P.T.Ngo@lse.ac.uk>
Subject   Re: st: ivreg2 - error message: collinearities detected among instruments
Date   Sun, 31 Oct 2004 20:16:25 +0000 (GMT)

Thi Minh,

Quoting "Ngo,PT  (pgr)" <P.T.Ngo@lse.ac.uk>:

> 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]

The chances good that ivreg2 is reporting exactly what is the case, namely 
that you have collinearities involving your included and/or excluded 
instruments (i.e., all the exogenous variables).

If you look at the first-stage output, you should be able to see if this 
is the case: variables in the first stage regression will be dropped until 
the collinearities disappear.

--Mark

> 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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> 



Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes
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