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st: a question about option orthog for command ivreg2


From   "Jian Zhang" <jzh@ucdavis.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: a question about option orthog for command ivreg2
Date   Fri, 18 Aug 2006 13:23:04 -0700 (PDT)

Dear Statalisters,

I am using ivreg2 command to implement GMM estimation on a panel data set.  I specified option 
orthog( ) to examine if a subset of my instruments are really exogenous (by putting the list of the 
subset of instruments in the parentheses of orthog).  However, the results reported by STATA say 
that: 

Collinearity/identification problems in restricted equation:
  C statistic not calculated for orthog option

Is there anyone knowing what is going on?  Since STATA has reported the estimates of the 
restricted equation(i.e., the regression using the entire set of instruments (overidentifying 
restrictions)), why did STATA still state "collinearity/idenfification problems in restricted 
equation"?  Many thanks!

Best regards,
Jian Zhang


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