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st: ivreg2 and xtoverid error


From   John Antonakis <john.antonakis@unil.ch>
To   statalist@hsphsun2.harvard.edu
Subject   st: ivreg2 and xtoverid error
Date   Sat, 03 Apr 2010 02:20:18 +0200

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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