Statalist The Stata Listserver


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

RE: st: RE: a question about option orthog for command ivreg2


From   "Jian Zhang" <jzh@ucdavis.edu>
To   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>, statalist@hsphsun2.harvard.edu
Subject   RE: st: RE: a question about option orthog for command ivreg2
Date   Tue, 22 Aug 2006 23:00:28 -0700 (PDT)

Thanks, Mark!  Does the error message mean anything wrong in the first stage regression and/ 
or in the second stage regression?  How did this happen?  

I examined the outputs from the first stage and second stage regressions.  There are no 
estimates and test statistics such as F that are missing.   Does one still have to interpret the 
results from the first stage and/or second stage regression with caution?

Thank you very much!
Jian Zhang

> Jian Zhang, 
> 
> > -----Original Message-----
> > From: Jian Zhang [mailto:jzh@ucdavis.edu] 
> > Sent: Sunday, August 20, 2006 4:16 AM
> > To: Schaffer, Mark E; statalist@hsphsun2.harvard.edu
> > Subject: RE: st: RE: a question about option orthog for 
> > command ivreg2 
> > 
> > 
> > Thanks, Mark!  But when I run ivreg2 (using the updated 
> > version), the results reported that (right after the first 
> > stage regression results):
> > 
> > Error: estimated covariance matrix of moment conditions not 
> > of full rank;
> >        overidentification statistic not reported, and 
> > standard errors and
> >        model tests should be interpreted with caution Possible causes:
> >        singleton dummy variable (dummy with one 1 and N-1 0s 
> > or vice versa)
> > -fwl- option may address problem.  See help ivreg2.
> > 
> > It stated "overidentification statistics nor reported".  
> > However at the end of the second stage regression, it showed 
> > IN FACT the value of the Hansen J statistic 
> > (overidentification test of all instruments).  Why did STATA 
> > report overidentification statistics after it already stated 
> > "overidentification statistics nor reported"?  This seems 
> > inconsistent. 
> 
> The error message appears within the first-stage regression results,
> right?  Then it refers to the first-stage regression results, not the
> main results.  You are right to point out that this is inconsistent.  It
> arises because ivreg2 is called recursively to do the first-stage
> regression, in which (of course) there are never any overidentification
> stats reported.
> 
> Probably we should fix this. 
> 
> > Also if estimated covariance matrix of moment conditions is 
> > not of full rank, will we not be able to obtain estimates of 
> > GMM?  It seems to me that if this matrix is not of full rank, 
> > this means that we could not get the weighted matrix (since 
> > the weighted matrix is the inverse of estimated covariance 
> > matrix of moment conditions).  Is this right?
> 
> Right.  Again explained by this relating to the first stage regressions,
> not the main eqn.
> 
> > In addition, I have been trying the examples provided at the 
> > end of the documentation for ivreg2 using the Griliches data. 
> >  It seems that there is a problem on the consistencies of the 
> > results from different overidentifiying restriction testings.
> > 
> > First I run regression:
> > 
> >  ivreg2 lw s expr tenure rns smsa _I* (iq=med kww age mrt), 
> > gmm orthog(age mrt)
> > 
> > The Hansen J statistic indicated that instruments med kww age 
> > and mrt are not  valid (i.e., correlated with the error 
> > term).  The C statatistic indicated that the subset of 
> > instruments age and mrt are not valid.  However, when I run 
> > the following regression:
> > 
> > ivreg2 lw s expr tenure rns smsa _I* (iq=age mrt), gmm 
> > 
> > the Hansen J statistic indicated that instruments age and mrt 
> > are valid.  It seems that two sets of regressions gave 
> > inconsistent results on the validity of instruments age and 
> > mrt.  Why does this 
> > happen? Which result should we trust?
> 
> Roughly speaking, med and kww identify a different parameter value for
> the coefficient on iq vs. the one identified by age and mrt.  Which one
> you believe depends on other information: your priors, or strength of
> identification, or whatever.  For example, you might have a priori
> doubts about whether a variable is a plausible instrument, or you might
> put more weight on the med-kww results because age-mrt are weak
> instruments, or....
> 
> Cheers,
> Mark
> 
> > I found your emaill 
> > response to someone else in 2004 in 
> > the statalist but could not really find an answer to this 
> > from your email response.  Many thanks!
> > 
> > Best regards,
> > Jian Zhang
> > 
> > 
> > 
> > 
> > 
> > 
> > 
> > > Jian Zhang,
> > > 
> > > > -----Original Message-----
> > > > From: owner-statalist@hsphsun2.harvard.edu
> > > > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Jian 
> > > > Zhang
> > > > Sent: 18 August 2006 21:23
> > > > To: statalist@hsphsun2.harvard.edu
> > > > 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: m.e.schaffer@hw.ac.uk
> > > 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
> > > > 
> > > > 
> > > > *
> > > > *   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/
> > > 
> > 
> 
*
*   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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index