Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: limit on IVs for multiple regression


From   Mark Schaffer <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu, Jim.Seward@sunhealth.org
Subject   Re: st: limit on IVs for multiple regression
Date   Wed, 17 Sep 2003 21:55:07 +0100 (BST)

Jim,

Quoting Jim.Seward@sunhealth.org:

> 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.

Cheers,
Mark

> 
> 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
> 
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
> 



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
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes
________________________________________________________________

DISCLAIMER:

This e-mail and any files transmitted with it are confidential
and intended solely for the use of the individual or entity to
whom it is addressed.  If you are not the intended recipient
you are prohibited from using any of the information contained
in this e-mail.  In such a case, please destroy all copies in
your possession and notify the sender by reply e-mail.  Heriot
Watt University does not accept liability or responsibility
for changes made to this e-mail after it was sent, or for
viruses transmitted through this e-mail.  Opinions, comments,
conclusions and other information in this e-mail that do not
relate to the official business of Heriot Watt University are
not endorsed by it.
________________________________________________________________
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2023 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index