st: xtivreg

["O'Brien, Rachel H" <rhobrien@stanford.edu>]

Hi.  I am trying to use xtivreg to run an instrumental variables model with fixed effects.   I keep getting a "matsize too small" error, but I don't understand why or how to get around it, especially since I already have matsize at the maximum (11,000 for Stata/MP).

I am modeling student achievement as a function of one endogenous variable, 2 instrumental variables, 5 control variables, 9 fixed effects for years (entered as dummy variables), 4 fixed effects for grades (entered as dummy variables), and ~1400 fixed effects for schools (entered through xtset).

I run models with school FE all the time, and I have never had this issue before.    In fact, I tried a non-IV model using areg but with the same variables and fixed effects, and it ran without issue.  Is there something special about xtset/xtivreg that is causing my problem?

Any insight would be greatly appreciated.

Thanks!

Rachel O'Brien


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