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I am runing the following regression
ivreg2 y (x1=z1 z2 z3 z4) x2 x3... fe(industry) fe(year), cluster(firm) gmm2s
As there are many industry dummies, a warning message appears saying
"Matrix not of full rank", from other posts, I know I can use Partial
Out function to address this issue, therefore, I run the following
ivreg2 y (x1=z1 z2 z3 z4) x2 x3... fe(industry) fe(year), cluster(firm) gmm2s partial(industry)
Suprisingly, the coefficients changed, which is not consistent with the
help file. I retry with 2SLS and LIML, the coefficients actually are the
same after partial out.
Any suggestion of what is going on here? Am I doing the right thing?
Thank you for much in advance!
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