Binzhen,
Date sent: Thu, 05 May 2005 00:35:10 -0500
From: BINZHEN WU <[email protected]>
Subject: st: a error message in the first stage regression in the ivreg
To: [email protected]
Send reply to: [email protected]
> Dear Statalist,
>
> I got a error message and cannot figure out the reason. Could you
> help? I am runing the following model: Y=aT+bZ+cTZ+dX, Here, TZ=T*Z
> is the interaction term, T is the time dummy (=1 after the policy
> change), and Z are the continuous endogenous treatments, X are
> exogenous variables.
>
> The command I use is: ivreg2 Y T X (TZ Z=W V TW TV)
>
> I got an error message for the first stage regression:
>
> Error: covariance matrix of moment conditions not of full rank;
> specification
> test stats not reported and standard errors above may be
> meaningless.
A couple of ideas:
- Were you using robust or cluster as options? Some phenomena, such
as singleton dummies, can generate this. See Vince Wiggins' very
nice discussion at
http://www.stata.com/statalist/archive/2003-06/msg00646.html
- Do you get the same error if you drop TZ or Z as endogenous
regressors? With or without dropping W/V TW/TV at the same time?
- Not all the collinearities may have been dropped up front. My
recollection is that ivreg2 looks separately for collinearities in (T
X), (TZ Z) and (W V TW TV), but collinearities may subsequently
emerge that involve variables across these sets.
Hope this helps.
--Mark
> This should be caused by collinearity, because collinearity variables
> have been automatically dropped by stata.
>
> Thank you very much.
>
> Binzhen
>
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Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
44-131-451-3494 direct
44-131-451-3296 fax
44-131-451-3485 CERT administrator
http://www.sml.hw.ac.uk/cert
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