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


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: a error message in the first stage regression in the ivreg
Date   Thu, 05 May 2005 11:27:27 +0100

Binzhen,

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

> 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.

A couple of ideas:

- Were you using robust or cluster as options?  Some phenomena, such 
as singleton dummies, can generate this.  See Vince Wiggins' very 
nice discussion at

http://www.stata.com/statalist/archive/2003-06/msg00646.html

- Do you get the same error if you drop TZ or Z as endogenous 
regressors?  With or without dropping W/V TW/TV at the same time?

- Not all the collinearities may have been dropped up front.  My 
recollection is that ivreg2 looks separately for collinearities in (T 
X), (TZ Z) and (W V TW TV), but collinearities may subsequently 
emerge that involve variables across these sets.

Hope this helps.

--Mark

> This should be caused by collinearity, because collinearity variables
> have been automatically dropped by stata.
> 
> Thank you very much.
> 
> Binzhen 
> 
> *
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Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3296 fax
44-131-451-3485 CERT administrator
http://www.sml.hw.ac.uk/cert

*
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*   http://www.ats.ucla.edu/stat/stata/



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