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st: xtivreg2 -- Instruments dropped

From   Ivan Png <[email protected]>
To   [email protected]
Subject   st: xtivreg2 -- Instruments dropped
Date   Sat, 15 Jan 2011 19:42:43 +0800

Dear Stata-list:

I'm having difficulty with xtivreg2

Each time, the system drops the instruments for the variable L.utsa.
utsa is a state-time variable that varies across states and times. I
checked the instruments: they are state- and time-varying.   I don't
understand why the system drops the instruments.  (I tried xtivreg and
it works, but I would like to use xtivreg2 so that I can get cluster
standard errors and the diagnostics for weak instruments).

Please help.  Many thanks!


. xtset gvkey year

. xi: xtivreg2 xrdr_ln revtr_ln mktbook_mm ebitdar_ln taxcred ///
    (L.utsa = L.govr_r) i.year trend_AL - trend_WY ///
    if xrdr_count >= 6  , fe cluster(state_sic)

Ivan Png
National U of Singapore

Skype: ipng00
T: +65 6516 6807

Skype: ipng00
T: +65 6516 6807

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