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From |
John Antonakis <john.antonakis@unil.ch> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: RE: ivreg2 and xtoverid error |

Date |
Sat, 03 Apr 2010 15:46:35 +0200 |

Hi Mark Thanks for the note.

. estat endogenous Tests of endogeneity Ho: variables are exogenous Robust regression F(13,417) = 119.753 (p = 0.0000) (Adjusted for 418 clusters in lead_number) Best, J. ____________________________________________________

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 ____________________________________________________ On 03.04.2010 15:16, Schaffer, Mark E wrote:

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).Theinvsym(): 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 OfJohn AntonakisSent: 03 April 2010 01:20 To: statalist@hsphsun2.harvard.eduSubject: st: ivreg2 and xtoverid errorHi: 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_1omitted)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_1omitted)invsym(): matrix has missing valuesThis model is estimated fine with the official -ivregress-command, whether I use a cluster-robust or normal varianceestimator, 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_1omitted)Instrumental variables (2SLS) regression Number of obs= 832Wald chi2(13) = 1020.01Prob >chi2 =0.0000R-squared =0.7020RootMSE =.2955(Std. Err. adjusted for 418 clusters in lead_number) -------------------------------------------------------------- ---------------- | Robusty | Coef. Std. Err. z P>|z| [95% Conf.Interval]-------------+------------------------------------------------ ---------- -------------+------x1 | .3849406 .0509433 7.56 0.000 .2850935.4847877x2 | -.0452167 .0541093 -0.84 0.403 -.1512689.0608355x3 | -.0214062 .0392473 -0.55 0.585 -.0983295.0555171x4 | .0743079 .0528296 1.41 0.160-.0292363.177852x5 | .1559398 .056997 2.74 0.006 .0442276.2676519x6 | .168241 .0577832 2.91 0.004.0549879.281494x7 | -.1359489 .0290323 -4.68 0.000 -.1928512-.0790465x8 | .0485811 .0358857 1.35 0.176 -.0217535.1189157x9 | -.1772587 .0512706 -3.46 0.001 -.2777472-.0767701x10 | .1785753 .0570718 3.13 0.002 .0667166.2904339x11 | .0309138 .0533183 0.58 0.562 -.0735883.1354158x12 | .2282491 .0554658 4.12 0.000.1195381.33696x13 | -.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 isestimated 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 Ihave a large number of instruments (fixed-effects, with 483dummies) 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/

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**Follow-Ups**:**RE: st: RE: ivreg2 and xtoverid error***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

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

**st: RE: ivreg2 and xtoverid error***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

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