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

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

Subject |
st: RE: Error in ivreg2 and ivregress |

Date |
Fri, 22 Jul 2011 23:11:56 +0100 |

Benjamin, A few suggestions/thoughts: 1. Tell us which versions of -ivreg2- and -ranktest- you have installed. (Use the -which- command.) You may not have the most up-to-date versions (they should be 3.0.06 and 1.2.03, respectively). 2. When you say > In both cases there is a repeated instrument on the exogenous > instruments list, i.e. z2=z3 in the above example I don't understand what you mean. If z2 and z3 are identical, then it makes no sense to include them both since they are perfectly collinear. But -ivreg2- (and, I think -ivregress-) should catch this and drop one of them. 3. LIML and 2SLS are very closely related. If this is a data-driven problem, it will probably be apparent in the 2SLS output. Also, the collinearity in (2) should be reported in the -ivreg2- 2SLS output. You can share this output with us if you want. 4. If it's data related, you might be able to address it by partialling-out some of the regressors using the -partial- option. HTH, Mark > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of B Villena > Sent: 22 July 2011 22:42 > To: Statalist > Subject: st: Error in ivreg2 and ivregress > > > Hello, > > I'm trying to estimate a series of linear IV model by LIML > using the user-written command ivreg2. > > > > > ivreg2 y x1 x2 x3 (y1 y2 = z1 z2 z3 z4) if sample==1, liml first > > savefirst > > I obtain the following error message > > > > (** On entry to DSTEIN parameter 6 had an illegal value) > _symeigen_la(): 3930 error in LAPACK routine > _symeigen_work(): - function returned error > _symeigensystem(): - function returned error > symeigensystem(): - function returned error > rkstat(): - function returned error > <istmt>: - function returned error > r(3930); > > > As far as I know, it seems that LAPACK cannot compute > eigenvalues needed to obtain LIML estimator > > > > I have tried using Stata 11 command ivregress. > > > ivregress liml y x1 x2 x3 (y1 y2 = z1 z2 z3 z4) if sample==1, first > > > > It does not work, either > > > > I get the following error message > > > > estimates post: matrix has missing values r(504); r(504); > > > > In both cases there is a repeated instrument on the exogenous > instruments list, i.e. z2=z3 in the above example > > However, this does not seem to be the problem since I have > made some similar estimations with some repeated > > instruments and both commands seem to deal with this issue > very well in other cases. > > > > Has anyone experienced a similar problem? Is there any way to > circumvent this problem? > > Is it possible that this problem is related to an unfortunate > data configuration? > > > > Best regards, > > > > Benjamin > * > * 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/

**References**:**st: programming in stata - problems with optimize***From:*"A.J van der Vlist" <vlist001@hotmail.com>

**st: Error in ivreg2 and ivregress***From:*B Villena <benjaminvillena@hotmail.com>

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