Dear Statalisters,
I am using ivreg2 command to implement GMM estimation on a panel data set. I specified option
orthog( ) to examine if a subset of my instruments are really exogenous (by putting the list of the
subset of instruments in the parentheses of orthog). However, the results reported by STATA say
that:
Collinearity/identification problems in restricted equation:
C statistic not calculated for orthog option
Is there anyone knowing what is going on? Since STATA has reported the estimates of the
restricted equation(i.e., the regression using the entire set of instruments (overidentifying
restrictions)), why did STATA still state "collinearity/idenfification problems in restricted
equation"? Many thanks!
Best regards,
Jian Zhang
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