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st: RE: A follow-up question on the IVPROB/IVTOBIT.

From   "Nick Cox" <[email protected]>
To   <[email protected]>
Subject   st: RE: A follow-up question on the IVPROB/IVTOBIT.
Date   Wed, 31 Jul 2002 13:23:23 +0100

Kee-Lee Lee

> I do not know how to thank you guys for your kind
> helps on my question (on IVPROB/IVTOBIT): with your
> kind help, installing the ado files worked great.
> But, if you don't mind, I would really like to ask you
> my follow-up question.
> I have been trying to implement the IVPROB procedure
> with the following two equations:
> Eq1) A1 = A2 + A3 + A4 + A5
> Eq2) A2 = A1 + A3 + A6 + A7
> Variable A1 is dichotomous and A2 is continuous: some
> of A3-A7 are dichotomous and some of A3-A7 are
> continuous.
> I have run the following STATA command to implement
> the IVPROB procedure: ivprob A1, endog(A2) iv(A6 A7)
> exog(A3 A4 A5). And, I got the error message saying
> that "matrix has missing values".
> What does that mean, why did it happen, and how can I
> solve it? Is it something about the missing values in
> my variables (I have some missing values on A2 and
> A3-A7, but not A1) or is it something about the
> multicollinearity problem or is it about something
> else.

-ivprob- was written by Joe Harkness, so he is the expert.

However, it may well be that your missing values lead
to the problem you have; even if this is not true,
they could lead to other difficulties.

With the call

ivprob A1, endog(A2) iv(A6 A7) exog(A3 A4 A5)

-ivprob- will automatically ignore any observations which have
missing values on A1, but you have none.

However, different bits of the calculations within -ivprob-,
based on calls to -probit- and -regress-,
will very possibly omit different parts of the
observations given the missing values on A2-A7.

My guess is that if this happens the results will be misleading at

You can test this for yourself. Make sure that the command
ignores all observations with any missing values:

egen nmiss = rmiss(A2 A3 A4 A5 A6 A7)
ivprob A1 if nmiss == 0, endog(A2) iv(A6 A7) exog(A3 A4 A5)

If your problem persists, you need econometricians' help.

Open suggestion on -ivprob-: should not

marksample touse

be followed by

markout touse `endog' `iv' `exog'

[email protected]

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