Re: st: 2SLS

[Ted Anagnoson <anag999@silcom.com>]

You could have dummy variables and not excluded one?
Or the instruments could simply be collinear.
I would try working on smaller subsets to start and see what the 
collinearities are - as a beginning.
I think there is also a diagnostic tool for collinear independent variables 
- try searching.

Good luck.

Ted Anagnoson



At 03:11 PM 11/22/03 +0100, you wrote:

> I am a beginner using STATA, i would appreciate an answer to my
> question.
> I have a panel from 1997--1992 and for 66 regions. I estimate a two way
> fixed effects (indiv and time dummies). Given the problem of endogeneity
> of the aopro variable and I estimate the same model using 2SLS.
>
> >>>>>>>>>>>>>>>>>>>>>>>>
> ivreg2 lratpro rpcpi  rpcui rpcim pbm1019 pbf1019 pbm2029 pbf2029
> pwm1019 pwf1019 pwm2029 pwf2029 pnm1019 pnf1019 pnm2029 pbm3039 pbf3039
> pwm3039 pwf3039 pnm3039 pnf3039 pbm4049 pbf4049  pwm4049 pwf4049 pnm4049
> pnf4049 pbm5064 pbf5064  pwm5064 pwf5064 pnm5064 pnf5064 pbmo65 pbfo65
> pwmo65 pwfo65 pnmo65 pnfo65 density t78-t92  count2-count66 (aopro=
> paemp lratprol vote)
>
> ivendog
>
> >>>>>>>>>>>
>
> I got the following messages
>
> first-stage regressions
> -----------------------
> Warning: collinearities detected among instruments
> 1st stage tests of excluded exogenous variables may be incorrect
>
>
>
> ----------------------------------------------------------------------------
> Collinearities detected among instruments: 72 instrument(s) dropped
> Instrumented:  aopro
> Instruments:   rpcpi rpcui rpcim pbm1019 pbf1019 pbm2029 pbf2029
> pwm1019
>                pwf1019 pwm2029 pwf2029 pnm1019 pnf1019 pnm2029 pbm3039
> pbf3039
>                pwm3039 pwf3039 pnm3039 pnf3039 pbm4049 pbf4049 pwm4049
> pwf4049
>                pnm4049 pnf4049 pbm5064 pbf5064 pwm5064 pwf5064 pnm5064
> pnf5064
>                pbmo65 pbfo65 pwmo65 pwfo65 pnmo65 pnfo65 density t78
> t79 t80
>                t81 t82 t83 t84 t85 t86 t87 t88 t89 t90 t91 t92 count2
> count3
>                count4 count5 count6 count7 count8 count9 count10
> count11
>                count12 count13 count14 count15 count16 count17 count18
> count19
>                count20 count21 count22 count23 count24 count25 count26
> count27
>                count28 count29 count30 count31 count32 count33 count34
> count35
>                count36 count37 count38 count39 count40 count41 count42
> count43
>                count44 count45 count46 count47 count48 count49 count50
> count51
>                count52 count53 count54 count55 count56 count57 count58
> count59
>                count60 count61 count62 count63 count64 count65 count66
> paemp
>                lratprol vote
>
>
> what is wrong?
>
> Antonio
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/