st: ivreg2 and xtoverid error

[John Antonakis <john.antonakis@unil.ch>]

Hi:

I am running Stata version 11 and have everything up to date.

When running a two-stage model with ivreg2, I get the following error:

. xi: ivreg2 sat (x1-x13=i.lead_n) , cluster(lead_n)
i.lead_number     _Ilead_numb_1-484   (naturally coded; _Ilead_numb_1 
omitted)
            quadcross():  3900  unable to allocate real <tmp>[5421,5421]
               rkstat():     -  function returned error
                <istmt>:     -  function returned error
r(3900);

If I remove the vce cluster command I get another error:

. xi: ivreg2 y (x1-x13=i.lead_n) ,
i.lead_number     _Ilead_numb_1-484   (naturally coded; _Ilead_numb_1 
omitted)

invsym(): matrix has missing values

This model is estimated fine with the official -ivregress- command, 
whether I use a cluster-robust or normal variance estimator, e.g.,

. xi: ivregress 2sls y (x1-x13=i.lead_n) ,cluster(lead_n)
i.lead_number     _Ilead_numb_1-484   (naturally coded; _Ilead_numb_1 
omitted)

Instrumental variables (2SLS) regression               Number of obs 
=     832
                                                      Wald chi2(13) = 
1020.01
                                                      Prob > chi2   =  
0.0000
                                                      R-squared     =  
0.7020
                                                      Root MSE      =   
.2955

                         (Std. Err. adjusted for 418 clusters in 
lead_number)
------------------------------------------------------------------------------
            |               Robust
          y |      Coef.   Std. Err.      z    P>|z|     [95% Conf. 
Interval]
-------------+----------------------------------------------------------------
         x1 |   .3849406   .0509433     7.56   0.000     .2850935    
.4847877
         x2 |  -.0452167   .0541093    -0.84   0.403    -.1512689    
.0608355
         x3 |  -.0214062   .0392473    -0.55   0.585    -.0983295    
.0555171
         x4 |   .0743079   .0528296     1.41   0.160    -.0292363     
.177852
         x5 |   .1559398    .056997     2.74   0.006     .0442276    
.2676519
         x6 |    .168241   .0577832     2.91   0.004     .0549879     
.281494
         x7 |  -.1359489   .0290323    -4.68   0.000    -.1928512   
-.0790465
         x8 |   .0485811   .0358857     1.35   0.176    -.0217535    
.1189157
         x9 |  -.1772587   .0512706    -3.46   0.001    -.2777472   
-.0767701
        x10 |   .1785753   .0570718     3.13   0.002     .0667166    
.2904339
        x11 |   .0309138   .0533183     0.58   0.562    -.0735883    
.1354158
        x12 |   .2282491   .0554658     4.12   0.000     .1195381      
.33696
        x13 |  -.0723148   .0486346    -1.49   0.137    -.1676369    
.0230072
      _cons |   .4183937   .1616004     2.59   0.010     .1016627    
.7351247
------------------------------------------------------------------------------
Instrumented:  x1 x2 x3 x4 x5 x6 x7 x8 x9 x10 x11 x12 x13
Instruments:   _Ilead_numb_2 _Ilead_numb_3 _Ilead_numb_4 _Ilead_numb_5
[output snipped]


Interestingly, when I run it with -xtivreg-, the model is estimated 
fine; however, -xtoverid- gives me the following error:

. xtoverid
invsym(): matrix has missing values
r(504);

This is the same error that follows ivreg2 estimation.

I suspect it might have something to do with the fact that I have a 
large number of instruments (fixed-effects, with 483 dummies) and 
clustering on those fixed-effects.

Best,
John.

--
____________________________________________________

Prof. John Antonakis, Associate Dean
Faculty of Business and Economics
Department of Organizational Behavior
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland

Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305

Faculty page:
http://www.hec.unil.ch/people/jantonakis

Personal page:
http://www.hec.unil.ch/jantonakis
____________________________________________________


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