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Re: st: -ivregress- bug or feature?


From   "Brian P. Poi" <bpoi@stata.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: -ivregress- bug or feature?
Date   Thu, 21 Mar 2013 12:08:37 -0500

On 03/21/2013 10:54 AM, Hiroyuki Kawakatsu wrote:
Hi,

-ivregress- does not appear to detect collinearity appropriately
when the -noconstant- option is specified and a (user generated)
constant is included in the instrument list. Is this a feature or
bug? (the error appears to be generated in the `hidden' command
_rmcoll* in -CheckCollin- of ivregress.ado)

/*code to illustrate feature/bug*/
set obs 10
set seed 1

gen x1 = rnormal()
gen x2 = rnormal()
gen y = x1 - x2 + rnormal()
gen z1 = 1
gen z2 = rnormal()
ivregress gmm y (x1 x2 = z1 z2), nocon

/*
the last line results in the error:
note: z1 omitted because of collinearity
equation not identified; must have at least as many instruments not in
the regression as there are instrumented variables
r(481);

not clear what z1 is collinear with... -gmm- works fine with

gmm (y - {b1}*x1 - {b2}*x2), one inst(z1 z2, nocons)
*/


Hiroyuki,

This is a bug in -ivregress-.  It is ignoring the 'noconstant' option when it checks for collinearity between the excluded instruments z1 and z2.  Because it's not respecting the 'noconstant' option, -ivregress- is complaining that z1 is perfectly correlated with the constant term.

We'll get this fixed in a future adofile update.

   -- Brian Poi
   -- bpoi@stata.com

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