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Re: st: Flagging estimation errors in -ivreg2-


From   "Michael S. Hanson" <mshanson@mac.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Flagging estimation errors in -ivreg2-
Date   Sun, 11 Feb 2007 16:19:33 -0500

On Feb 11, 2007, at 3:16 PM, Maarten buis wrote:

	1. Some regressors are dropped [due] 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.)
-_rmcoll- may be a partial answer.
Thanks for the suggestion, Maarten. However, -_rmcoll- drops the collinear variables (according to -help _rmcoll-), which -ivreg2- already does by itself. What I actually need is to be notified when this happens. -quietly capture ivreg2- doesn't provide any indication that collinearity (or any other problem, short of an error that stops estimation) has occurred.


2. The VCV matrix fails a rank condition; the error message displayed on the screen when estimated -noisily- is below.

"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:
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 versa)"
After some poking around and some trial-and-error, I have discovered that -ivreg2- does (indirectly) provide information in e(scalars) and e(macros) that I may be able to exploit. For example, it appears that I can flag the less-than-full rank of e(V) with the following code after an -ivreg2- call:

if e(rankV) < e(rankxx) {
noi disp "*** Error: deficient rank of VCV matrix."
}

Also, variables dropped in -ivreg2- due to collinearity are listed in e(collin); otherwise e(collin) is not created. So I am able to flag the existence of e(collin) with the following code:

if ~missing(e(collin)) {
noi disp "*** Error: perfect collinearity."
}

These two code blocks seem to work OK; they flag the problems in the log file rather than the tables, but I can live with that. (It would appear to require some significant re-writing of the table code -- based on repeated -matlist- calls -- to do otherwise.)

Alternative approaches are welcome; I'm sure I'll learn some more coding tricks from them. Thanks!

-- Mike


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