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Re: 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   Re: st: a error message in the first stage regression in the ivreg
Date   Fri, 06 May 2005 17:41:36 -0500

Hi, Mark,

Your answers are very helpful. I do use the "robust" option in the 
ivreg2. According to the Vince Wiggins' discussion, I think I can just 
ignore the error message. I figure out the the error comes from the 
fact that one exogenous dummy variable has only one "1". 

Thank you very much.

Binzhen Wu

----- Original Message -----
From: Mark Schaffer <M.E.Schaffer@hw.ac.uk>
Date: Thursday, May 5, 2005 5:27 am
Subject: Re: st: a error message in the first stage regression in the 
ivreg

> 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 
> > 
> > *
> > *   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 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
> 
> *
> *   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/
> 
*
*   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/



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