st: ivreg2 warning, even after "partialling out"

[Jin-Hyun Bae <jinhyun.bae@stern.nyu.edu>]

Hello!

I'm having problems nailing down the cause of a warning message when
using ivreg2. I am running OLS with two-way clustering (nat, cisstate)
and have added dummies for these variables.

selfemp1 is a binary variable.
cultdist is a continuous variable.
_I* is a list of dummies based on nat and cisstate. I created these
based on the example code in the ivreg2 help file.

When I run
ivreg2 selfemp1 cultdist _I*, cluster (nat cisstate) partial(_I*)
I don't get a warning.

But when I add a list of exogenous controls ($exogctrl), I get the
following "Warning: estimated covariance matrix of moment conditions
not of full rank. model tests should be interpreted with caution."

This is the exact code I used.
ivreg2 selfemp1 cultdist $exogctrl _I*, cluster (nat cisstate) partial(_I*)

Also, if it helps, I get the same message when using the following code.
ivreg2 selfemp1 cultdist $exogctrl, cluster (nat cisstate)

In all cases I have 77 clusters for nat and 42 clusters for cisstate,
and there are no missing F values or std errors.

I updated ivreg2 beforehand so it is up to date.

Jin
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