st: xtivreg2 -- Instruments dropped

[Ivan Png <iplpng@gmail.com>]

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!

Data-set:
http://www.comp.nus.edu.sg/~ipng/research/company_wrkg.dta


Code:
. 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

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