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Re: st: limit on IVs for multiple regression

From   Mark Schaffer <>
Subject   Re: st: limit on IVs for multiple regression
Date   Wed, 17 Sep 2003 21:55:07 +0100 (BST)



> Is there a limit on the number of IVs in a multiple regression?  If
> I enter
> in too many, I get r(2000).  As I eliminate them one by one I am
> eventually
> able to run it.

I think it's limited by the maximum matrix size, the upper limit of which 
depends on the flavour of Stata you have.  You can change the maximum 
matrix size with -set matsize-.

That said, lots of overidentifying restrictions (number of excluded IVs 
minus number of endogenous regressors) means potential for large finite 
sample bias, and these days the standard advice seems to be don't overdo 
it with the number of instruments.

Hope this helps.


> By the way, this list is extremely helpful, and thanks to all of you
> who
> put in so much time.  It's appreciated.
> Jim Seward
> Sun Health Research Institute
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Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008


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