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"Vassilopoulos Achilleas" <email@example.com>
Fri, 10 Sep 2010 10:52:59 +0300
Then I guess that your collinearity doesn't arise only from the first step
but also from the next steps of the -ivregress-.
-ivregress- uses three tests for collinearity, one after the other, before
the estimation. What you can do is to replicate these tests by hand and save
the non-collinear variables of every step so you can use them later. See
_rmdcoll ENDOGENOUS INCLUDED-EXOGENOUS, forcedrop (you may want to add
noconstant also) //checks for collinearity between endogenous vars and
global first `r(varlist)' //This global contains the set of non-collinear
_rmcoll dummy1-dummy500 //checks for collinearity among instruments//
global inst_first `r(varlist)' //this global contains the dummies that
are not collinear between themselves//
_rmcoll2list, alist($first) blist($inst_first) //checks for collinearity
among the endogenous and all exogenous vars and further drops instruments
until a linearly independent set is obtained //
global inst `r(blist)' //this global contains the final set of
I guess all you need from this point on are the globals $inst and $first
Hope this helps,
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Dept. of Agricultural Economics and Rural Development, Lab. of Political
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email : firstname.lastname@example.org
[mailto:email@example.com] On Behalf Of richard boylan
Sent: 09 September, 2010 17:12
Subject: Re: st: RE: condivreg/Multicollinearity
That does not work, I still get the same error message after "condivreg."
ivreg eliminates many more dummy variable than only estimating the first
stage with reg.
So, ideally, I would want to follow the same procedure you described using
ivreg if I knew how to access the first stage coefficients.
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