Thi Minh,
Quoting "Ngo,PT (pgr)" <[email protected]>:
> Dear Stata-listers,
>
> I am trying to estimate the following using ivreg2
> xi: ivreg2 lriceyield2 (counting = per3 per4 per5 per6 per7 per8
> per3n per5n per6n per7n) birth_north2 exper2 expersq2 aland2
> anugood2 anubad2 ianulandsha2 i.comm92 if d92==1 & urban92==0,
> first rob gmm
>
> and obtain the following message:
>
> First-stage regressions
>
> Warning: collinearities detected among instruments
> 1st stage tests of excluded exogenous variables may be incorrect
> [output omitted]
The chances good that ivreg2 is reporting exactly what is the case, namely
that you have collinearities involving your included and/or excluded
instruments (i.e., all the exogenous variables).
If you look at the first-stage output, you should be able to see if this
is the case: variables in the first stage regression will be dropped until
the collinearities disappear.
--Mark
> As I was trying to figure out what this meant, I tried to the
> following : to drop all excluded IVs except one which I know is the
> strongest one: per3n.
> xi: ivreg2 lriceyield2 (counting = per3n ) birth_north2 exper2
> expersq2 aland2 anugood2 anubad2 ianulandsha2 i.comm92 if d92==1 &
> urban92==0, first gmm
>
> And I obtain the same warning message.
>
> Would someone know what is happening?
>
> Thanks a lot in advance,
>
> Thi Minh
>
>
> *
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>
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
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