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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: ivreg2 and xtoverid error |

Date |
Sat, 3 Apr 2010 14:16:49 +0100 |

John, You've got a very large number of instruments (almost 500), but also 13 endogenous regressors. The under- and weak-id statistics are calculated by -ranktest-, and it's running of memory because it works with the reduced form in matrix form (13 first-stage regressions, each with almost 500 regressors). If you use the -noid- option, it might address that problem problem (but you won't get the weak id stats). The invsym(): matrix has missing values is different. -ivreg2- is having problems inverting this huge Z'Z matrix and -ivregress- isn't (I think possibly because the latter uses a different Mata matrix inversion function). I do wonder whether the results you're getting actually make sense. Have you tried using the old -ivreg-, which uses -regress-? It is numerically very stable and accurate. Does it give the same results as -ivregress-? Cheers, Mark > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > John Antonakis > Sent: 03 April 2010 01:20 > To: statalist@hsphsun2.harvard.edu > Subject: st: ivreg2 and xtoverid error > > 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 > ____________________________________________________ > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > -- Heriot-Watt University is a Scottish charity registered under charity number SC000278. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: RE: ivreg2 and xtoverid error***From:*John Antonakis <john.antonakis@unil.ch>

**References**:**st: ivreg2 and xtoverid error***From:*John Antonakis <john.antonakis@unil.ch>

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