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Re: st: overid error after reg3


From   Jack Needleman <needlema@ucla.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: overid error after reg3
Date   Thu, 21 May 2009 10:28:46 -0700

Thanks to both Martin and Austin.

To clarify, stata is up to date, so mata should be up to date
overid is up to date.
Austin suggests it is a memory problem because of the number of observations.

I've set up a 400m space for Stata, and the data set has 7880 observations, and takes up about 600kb. It does look like overid wants to set up a matrix of 15760*15760, or two times^2 the number of observations.

I agree that if I were running a two two equation recursive model like that I outlined, I should use ivreg2, but this was a test and my goal was to run a four equation model. Looks like I'll need to develop an alternative strategy to testing overidentification if the size of the matrix used by overid is (obs*number of equations)^2

jack

Austin Nichols wrote:
Jack Needleman <needlema@ucla.edu> :
It looks like -overid- wants to make a big matrix (15760x15760) that
your current memory settings preclude (help memory).  You should
probably use -ivreg2- for this model, though, with appropriate SE
adjustments depending on your data structure.

ssc inst ivreg2
ssc inst ranktest
ivreg2 mcs female age bach black hs (alcohol = liquornear bluelaw),
first robust

More useful advice probably depends on more info on the research
question and data...

On Thu, May 21, 2009 at 12:44 PM, Jack Needleman <needlema@ucla.edu> wrote:
I have downloaded the most recent version of overid from ssc, and am
attempting to use it after reg3.  A preliminary test using a two equation
system results in the following message:


. overid
                     #:  3900  unable to allocate real <tmp>[15760,15760]
          overidreg3():     -  function returned error
               <istmt>:     -  function returned error

The reg3 command and output is:

. reg3 (mcs alcohol female age bach black ) (alcohol female age bach black
liquornear bluelaw hs)

Three-stage least-squares regression
----------------------------------------------------------------------
Equation          Obs  Parms        RMSE    "R-sq"       chi2        P
----------------------------------------------------------------------
mcs              7880      5    8.750366    0.3323     802.29   0.0000
alcohol          7880      7     23.6458    0.0219     188.43   0.0000
----------------------------------------------------------------------

------------------------------------------------------------------------------
           |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
mcs          |
   alcohol |  -.2995934   .0277023   -10.81   0.000    -.3538889   -.2452979
    female |  -3.301902   .1981787   -16.66   0.000    -3.690325   -2.913479
       age |  -.0266717   .0123345    -2.16   0.031     -.050847   -.0024965
      bach |   4.190949   .2342934    17.89   0.000     3.731743    4.650156
     black |  -2.273621   .2765272    -8.22   0.000    -2.815605   -1.731638
     _cons |   63.05408   1.575275    40.03   0.000      59.9666    66.14156
-------------+----------------------------------------------------------------
alcohol      |
    female |  -.1236572   .5351798    -0.23   0.817     -1.17259     .925276
       age |   .0565479   .0330303     1.71   0.087    -.0081904    .1212861
      bach |  -1.090354   .6567427    -1.66   0.097    -2.377546    .1968384
     black |   -.017214    .746943    -0.02   0.982    -1.481195    1.446768
 liquornear |   6.901345   .5325147    12.96   0.000     5.857635
 7.945054
   bluelaw |  -.6087095   .5259382    -1.16   0.247    -1.639529    .4221104
        hs |  -2.713659   .6842939    -3.97   0.000     -4.05485   -1.372468
     _cons |   50.64838    1.58318    31.99   0.000      47.5454    53.75136
------------------------------------------------------------------------------
Endogenous variables:  mcs alcohol
Exogenous variables:   female age bach black liquornear bluelaw hs
-

The intent is to instrument alcohol with liquornear and bluelaw.

Any help would be appreciated.

Jack Needleman


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