
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:
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.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.
After some poking around and some trialanderror, 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 lessthanfull rank of e(V) with the following code after an ivreg2 call: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 N1 0s or vice versa)"
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