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st: Multicollinearity warning with condivreg


From   Dana Shills <shills52@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Multicollinearity warning with condivreg
Date   Sun, 11 Apr 2010 22:19:34 -0400

Hi: 
 
I am estimating an instrumental variable regression with a single endogenous regressor and a single instrument. (Among other control variables are also several dummies for industry, country, and time). The first stage F-stats are very high and I am interested in reporting the conditional likelihood ratio confidence intervals.
 
When I use the condivreg command with the Moreira and Poi update (st0033_1 in SJ 5(2)), the estimation runs through without providing any warnings (however the output in this version doesn't provide confidence intervals). When I update the command using the more recent update by Mikusheva and Poi (st0033_2 in SJ 6(3)), I get "Multicollinearity" warning. (I check both the first and second stage regressions separately using OLS and VIFs are all less than 10). What am I doing wrong? 
 
As an aside, when there is a single endogenous regressor and single instrument, what are the recommended statistics to report to show that the instrument is a good instrument? Do the first stage F-stat and the Conditional Likelihood Ratio confidence intervals suffice? I went through all the tests for IV estimates discussed in the paper by Baum, Schaffer, and Stillman but some of them are applicable only when  we have multiple endogenous regressors or instruments.
 
Thanks in advance for your time on this.
 
Regards
 
Dana 		 	   		  
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