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From | richard boylan <richardtb25@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: condivreg/Multicollinearity |
Date | Wed, 8 Sep 2010 14:14:06 -0500 |
I am estimating a model with a very large number of interacting dummy variables in the first stage (> 500); so it is difficult a priori to determine which dummy variables are going to be collinear. When I estimate the model with ivreg, STATA eliminates a variety of collinear variables and produces estimates. However, when I use condivreg I get an error message r(498); and a message "Multicollinearity!" It seems to me that one way of trying to solve this problem is to obtain from ivreg the list of variables that were not dropped in the first stage, and then estimate condivreg using the same variables. If this seems like a reasonable way of going about it, can anyone point me about how I would go about doing that? I.e., putting in a local variable the list of variables that were used in the first stage? * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/