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st: Flagging estimation errors in -ivreg2-
I have a do file that uses a lengthy set of nested loops to automate
estimation of a large set of regressions using -ivreg2-, and
iteratively build up a summary report. The -ivreg2- commands are
executed -quietly- and -capture-d to facilitate building the tables.
Spot-checking a few individual estimations, I discovered that two
problems that have silently occurred:
1. Some regressors are dropped to perfect collinearity. (This
colinearity is not trivial, such as two identical regressors or a set
of dummies reproducing the constant; hence such regressions are very
difficult to identify ex ante.)
2. The VCV matrix fails a rank condition; the error message
displayed on the screen when estimated -noisily- is below. (In my
application, the "covariance matrix uses too many lags" may be the
statistical source of the problem (still investigating), but the
specified equations are theoretically sound.)
"Error: estimated covariance matrix of moment conditions not of full
overidentification statistic not reported, and standard
model tests should be interpreted with caution.
covariance matrix of moment conditions not positive definite
covariance matrix uses too many lags
singleton dummy variable (dummy with one 1 and N-1 0s or vice
Note that -capture- still returns _rc = 0 in either of these cases --
after all, some kind of estimates are reported by -ivreg2- -- so that
does not appear to be a feasible way to "flag" these potentially
problematic estimation results. What I am looking for is some other
way to determine that one (or both) of these errors has arisen with -
ivreg2-, and thereby "flag" the output in the summary report so that
I can go back and examine the small number (out of hundreds or
thousands) of cases that may suffer from either issue.
Any suggestions would be appreciated.
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