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Mark said
An alternative explanation (similar to Nick's point) is that the scaling
of the variables is crazy. Stata can get grumpy when your variables are
wildly different orders of magnitude.
Try rescaling your variables (including the instruments) - i.e.,
multiply or divide each one by the appropriate power of 10 - so that
they all have a mean of about the same order of magnitude, and then see
what happens.
Good advice indeed, but one wonders what scale variables named
"expshare", "normscore" and "age" could possibly be in to bring about
this problem! I suppose the other variables could be wildly out of
scale, but it's hard to understand how that by itself could cause the
whole regression to go haywire. But then the first stage regression
might be doing something really strange - it is already dropping one
of the excluded instruments, and perhaps the one it doesn't drop is
dangerously similar to one of the included instruments.
Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html
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