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st: a error message in the first stage regression in the ivreg


From   BINZHEN WU <binzhenwu@students.wisc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: a error message in the first stage regression in the ivreg
Date   Thu, 05 May 2005 00:35:10 -0500

Dear Statalist,

I got a error message and cannot figure out the reason. Could you 
help? 
I am runing the following model:
Y=aT+bZ+cTZ+dX,
Here,  TZ=T*Z is the interaction term, T is the time dummy (=1 after 
the policy change), and Z are the continuous endogenous treatments, X 
are exogenous variables.

The command I use is: ivreg2 Y T X (TZ Z=W V TW TV)

I got an error message for the first stage regression:

Error: covariance matrix of moment conditions not of full rank; 
specification
       test stats not reported and standard errors above may be 
meaningless.

This should be caused by collinearity, because collinearity variables 
have been automatically dropped by stata.

Thank you very much.

Binzhen 

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