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From |
Nick Cox <njcoxstata@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Tue, 26 Jul 2011 09:39:08 +0100 |

In an earlier contribution to this thread, Mark wrote > > 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). As far as I can see, that request still stands. Nick On Mon, Jul 25, 2011 at 5:53 PM, B Villena <benjaminvillena@hotmail.com> wrote: > > > Dear Mark, > > > I have run several experiments to try to undersantd what going on. > The most surprising result is that LIML ivreg2 and ivregress do work when I used my laptop (Windows XP) instead of my server (Windows 7). > > Even more surprising to me is the fact that I run a second session of Stata 11.2 in my Windows 7 server, ivreg2 and ivregress work!!! I obtain the same results I got in my laptop. > > I investigated further this issue by running 2SLS in my server session 1 and session 2, and in my laptop. I got the same results!! > > However, if I try to run ivreg2 in my server session 1 I get the following error message > > invsym(): matrix has missing values > r(504); > > > If I run ivregress in my server session 2 I get the error message > > estimates post: matrix has missing values > r(504); > > > I have to add the fact that this problem happened when I was running 16 Stata 11.2 sessions in my server. Do you think this fact could explain some computer diminished performance? > > All this issue looks incredibly odd to me, so I'd really appreciate if you help me understand what's going on > > Best, > > B > > > > > ---------------------------------------- >> Subject: st: RE: RE: Error in ivreg2 and ivregress >> Date: Sat, 23 Jul 2011 14:25:13 +0100 >> From: M.E.Schaffer@hw.ac.uk >> To: statalist@hsphsun2.harvard.edu >> >> Benjamin, >> >> > -----Original Message----- >> > From: owner-statalist@hsphsun2.harvard.edu >> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of B Villena >> > Sent: 23 July 2011 06:14 >> > To: Statalist >> > Subject: st: RE: Error in ivreg2 and ivregress >> > >> > >> > 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. >> >> Maybe, but you shouldn't do it anyway. It makes no sense. >> >> > 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. >> >> Impossible to say without seeing more details. For example, you could >> have very badly scaled data. If the mean of one variable is 000000s of >> times larger than the other, you can have big numerical problems with >> matrix inversion. >> >> > Nevertheless, I still wonder whether there may be some other >> > bug in my code or in ivreg2 - ivregress code. >> >> The bug is very unlikely to be in the estimators - the two programs are >> independently written. The problem is in your specification/data. >> >> > 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. >> >> You should probably be able to tell from the first and second stage >> output where the problem is. That was the reason I suggested you try >> 2SLS. >> >> > However, I strongly prefer >> > LIML in this case since the instruments seem somewhat weak. >> >> You also should try partialling out the exogenous regressors that aren't >> of interest (if there are any). >> >> Yours, >> Mark >> >> > >> > 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/ >> > >> >> >> -- >> 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/ > * * 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: RE: RE: Error in ivreg2 and ivregress***From:*Nick Cox <njcoxstata@gmail.com>

**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>

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

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

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

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