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From |
B Villena <benjaminvillena@hotmail.com> |

To |
Statalist <statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: Error in ivreg2 and ivregress |

Date |
Sat, 23 Jul 2011 01:14:12 -0400 |

Dear Mark, Thank you for your prompt answer I updated my versions of ivreg2 and ranktest as you suggested. However, I get a different error code invsym(): matrix has missing values r(504); r(504); Regarding repeated instruments, I only notice that ivreg2 detects this situation, so I do not believe it is the reason of the error. I suspect this problem arises due to high collinearity among instruments (R-squared for regressions of one instrument against the other ones can be as high as 0.9 in my data) . Since this R-squared is quite high, I have dropped one of the instruments to make ivreg2 work in this case. Given the high collinearity among instruments, I guess this approach is losing little information. Nevertheless, I still wonder whether there may be some other bug in my code or in ivreg2 - ivregress code. The collinearity seems high, but not that high! In addition, I follow your suggestion of using ivreg2 to compute a 2SLS estimator in this case. I do obtain a meaningful estimation with 2SLS. However, I strongly prefer LIML in this case since the instruments seem somewhat weak. Thanks a lot B > Subject: st: RE: Error in ivreg2 and ivregress > Date: Fri, 22 Jul 2011 23:11:56 +0100 > From: M.E.Schaffer@hw.ac.uk > To: statalist@hsphsun2.harvard.edu > > Benjamin, > > A few suggestions/thoughts: > > 1. Tell us which versions of -ivreg2- and -ranktest- you have > installed. (Use the -which- command.) You may not have the most > up-to-date versions (they should be 3.0.06 and 1.2.03, respectively). > > 2. When you say > > > In both cases there is a repeated instrument on the exogenous > > instruments list, i.e. z2=z3 in the above example > > I don't understand what you mean. If z2 and z3 are identical, then it > makes no sense to include them both since they are perfectly collinear. > But -ivreg2- (and, I think -ivregress-) should catch this and drop one > of them. > > 3. LIML and 2SLS are very closely related. If this is a data-driven > problem, it will probably be apparent in the 2SLS output. Also, the > collinearity in (2) should be reported in the -ivreg2- 2SLS output. You > can share this output with us if you want. > > 4. If it's data related, you might be able to address it by > partialling-out some of the regressors using the -partial- option. > > HTH, > Mark > > > -----Original Message----- > > From: owner-statalist@hsphsun2.harvard.edu > > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of B Villena > > Sent: 22 July 2011 22:42 > > To: Statalist > > Subject: st: Error in ivreg2 and ivregress > > > > > > Hello, > > > > I'm trying to estimate a series of linear IV model by LIML > > using the user-written command ivreg2. > > > > > > > > > ivreg2 y x1 x2 x3 (y1 y2 = z1 z2 z3 z4) if sample==1, liml first > > > savefirst > > > > I obtain the following error message > > > > > > > > (** On entry to DSTEIN parameter 6 had an illegal value) > > _symeigen_la(): 3930 error in LAPACK routine > > _symeigen_work(): - function returned error > > _symeigensystem(): - function returned error > > symeigensystem(): - function returned error > > rkstat(): - function returned error > > <istmt>: - function returned error > > r(3930); > > > > > > As far as I know, it seems that LAPACK cannot compute > > eigenvalues needed to obtain LIML estimator > > > > > > > > I have tried using Stata 11 command ivregress. > > > > > ivregress liml y x1 x2 x3 (y1 y2 = z1 z2 z3 z4) if sample==1, first > > > > > > > > It does not work, either > > > > > > > > I get the following error message > > > > > > > > estimates post: matrix has missing values r(504); r(504); > > > > > > > > In both cases there is a repeated instrument on the exogenous > > instruments list, i.e. z2=z3 in the above example > > > > However, this does not seem to be the problem since I have > > made some similar estimations with some repeated > > > > instruments and both commands seem to deal with this issue > > very well in other cases. > > > > > > > > Has anyone experienced a similar problem? Is there any way to > > circumvent this problem? > > > > Is it possible that this problem is related to an unfortunate > > data configuration? > > > > > > > > Best regards, > > > > > > > > Benjamin > > * > > * 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/ > > > > > -- > Heriot-Watt University is a Scottish charity > registered under charity number SC000278. > > > * > * 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/ * * 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**:**st: RE: RE: Error in ivreg2 and ivregress***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**References**:**st: programming in stata - problems with optimize***From:*"A.J van der Vlist" <vlist001@hotmail.com>

**st: Error in ivreg2 and ivregress***From:*B Villena <benjaminvillena@hotmail.com>

**st: RE: Error in ivreg2 and ivregress***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

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