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st: RE: a question about option orthog for command ivreg2
Jian Zhang,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Jian Zhang
> Sent: 18 August 2006 21:23
> To: [email protected]
> Subject: st: a question about option orthog for command ivreg2
>
> 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
First, you should check that you are using the latest version of
-ivreg2-; I think the wording of this error message is from an earlier
version. The problem with the wording is that when the subset of
instruments is tested, the equation is, if anything, better described as
UNrestricted - because the variables listed are no longer "restricted"
to being assumed exogenous.
Anyway... after you update, you can find out what is going on by
estimating the 2nd equation by hand. Put the instruments listed in
orthog() in either the list of endogenous regressors (if they were
exogenous regressors in the original eqn), or omit them entirely (if
they were excluded instruments in the original eqn). FWIW, my guess is
that the 2nd equation is either exactly identified or unidentified.
Cheers,
Mark
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
> 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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