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st: RE: Error in ivreg2 and ivregress


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 		 	   		  
> *
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> 


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