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st: condivreg/Multicollinearity


From   richard boylan <richardtb25@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: condivreg/Multicollinearity
Date   Wed, 8 Sep 2010 14:14:06 -0500

I am estimating a model with a very large number of interacting dummy
variables in the
first stage (> 500); so it is difficult a priori to determine which
dummy variables are going
to be collinear.

When I estimate the model with ivreg, STATA eliminates a variety of
collinear variables
and produces estimates.  However, when I use condivreg I get an error message

r(498);

and a message "Multicollinearity!"

It seems to me that one way of trying to solve this problem is to
obtain from ivreg the list
of variables that were not dropped in the first stage, and then
estimate condivreg using
the same variables.

If this seems like a reasonable way of going about it, can anyone
point me about how
I would go about doing that? I.e., putting in a local variable the
list of variables that
were used in the first stage?
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