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From |
Stas Kolenikov <skolenik@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: GMM with 93+ regressors produces error |

Date |
Sat, 26 Feb 2011 16:34:58 -0500 |

This is not the limits of -gmm- issue, but that of perfect collinearity. You have 93 groups, you generate 93 dummies, and you still add {b0} on top of that. That ain't gonna be identified, sorry. Dropping one variable should've given that away. No limits for -gmm- are reported in -help limits-, although I would suspect that with complicated expressions you might start hitting the limits on the # of literals or operators in your expressions. (Some of my calls to -gmm-, collected via cycles in local macros, expand to eight or so lines, but still run.) On Sat, Feb 26, 2011 at 4:08 PM, Julian Reif <jreif@uchicago.edu> wrote: > Is it possible to run -gmm- with more than 92 regressors? I encounter the error "could not evaluate equation 1" when I try to do so. The following logit example, run on Stata 11.1, reproduces the error: > > ------------------- > ------------------- > clear all > set seed 38 > set obs 93 > gen id = _n > expand 10 > gen lhs = uniform() < 0.5 > xi I.id > > * These two commands should produce the same coefficient estimates. -gmm- produces an error here though. > logit lhs _I* > gmm (lhs - exp({xb: _I*}+{b0})/(1+exp({xb:}+{b0}))), instruments( _I*) onestep derivative(/xb = -1*( exp({xb:}+{b0}) / ((1+exp({xb:}+{b0}))^2) )) derivative(/b0 = -1*( exp({xb:}+{b0}) / ((1+exp({xb:}+{b0}))^2) )) > > * Dropping one regressor makes error message go away > drop if id==93 > drop _Iid_93 > logit lhs _I* > gmm (lhs - exp({xb: _I*}+{b0})/(1+exp({xb:}+{b0}))), instruments( _I*) onestep derivative(/xb = -1*( exp({xb:}+{b0}) / ((1+exp({xb:}+{b0}))^2) )) derivative(/b0 = -1*( exp({xb:}+{b0}) / ((1+exp({xb:}+{b0}))^2) )) > > > > Julian > * > * 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/ > -- Stas Kolenikov, also found at http://stas.kolenikov.name Small print: I use this email account for mailing lists only. * * 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/

**Follow-Ups**:**Re: st: GMM with 93+ regressors produces error***From:*Julian Reif <jreif@uchicago.edu>

**References**:**st: GMM with 93+ regressors produces error***From:*Julian Reif <jreif@uchicago.edu>

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