st: problem using xtivreg2 without instruments

[Samia Tavares <samia.tavares@rit.edu>]

Hi everyone,

I'm trying to estimate a fixed effects regression with analytical  
weights. I understand that this is not possible with xtreg (only if I  
were using random effects), so I am using xtivreg2 instead, since the  
help file indicated that I could use it without instruments to obtain  
the same results I would get with xtreg. The equation I am estimating  
is of the form:

xi:xtivreg2 y dummy control i.year*continent1 i.year*continent2  
i.year*continent3 i.year [aweight=variance^-1], fe cluster(country)

When I estimate this, I get the following:

Error: estimated covariance matrix of moment conditions not of full  
rank;
       overidentification statistic not reported, and standard  
errors and
       model tests should be interpreted with caution.
Possible causes:
       singleton dummy variable (dummy with one 1 and N-1 0s or vice  
versa)
fwl option may address problem.

I read in the FAQs about this error, but in the context of including  
instruments with xtivreg2. I have checked the dataset and none of the  
dummy variables (dummy, continent, continent2, continent3) contain a  
singleton. Obviously since I have no instruments, I am not concerned  
about the overidentification statistic, but I want to be sure about  
the standard errors.

When I estimate the model without the year-continent interactions, I  
don't get this error. However, I do wish to include them to check for  
the robustness of my results.

Any help will be greatly appreciated!!

Samia



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