Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: xtivreg2 -- Instruments dropped

From   Ivan Png <[email protected]>
To   [email protected]
Subject   st: xtivreg2 -- Instruments dropped
Date   Sun, 16 Jan 2011 11:07:24 +0800

Humble apologies to Eric de Souza and Mark Schaffer.  I've corrected
the data-set and also simplified the code below to remove some
extraneous variables.


Dear Stata-list:

I'm having difficulty with xtivreg2

Each time, the system drops the instruments for the variable L.utsa.

To explain: I'm testing the impact of state laws on company-level R&D.
 The panel is organized by company (gvkey) and year.  The variable
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.

(Incidentally, 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.  I couldn't use ivreg2 with gvkey dummies as the
number of companies exceeded the limit of my STATA/IC.)

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 ///
    if xrdr_count >= 6  , fe cluster(state_sic)

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

Ivan Png
National U of Singapore

*   For searches and help try:

© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index