Re: st: xtivreg with FE and state-year interactions

[Scott Cunningham <scunning@gmail.com>]

Sorry - that should say, "I suspect two variables are endogenous".   
And I should als0 note that "fip" is the state indicator variable.

On May 3, 2006, at 4:30 PM, Scott Cunningham wrote:


> My data is individual level panel data.  Approximately 800  
> individuals surveyed over 3 years.  I have data on 50 American  
> states.  I have been estimating various models in which I control  
> for state, year, state-year interaction and individual fixed  
> effects.  I suspect one independent variable is endogeneous and am  
> using 2SLS to instrument.  -xtivreg- works fine until I use the  
> full model with year, state, year-state interactions and individual  
> fixed effects.  When I run this, with -xtivreg-, I get the  
> following error:
>
> . xi:xtivreg safesex srfm age age2 hgc hhd1 i.year i.fip  
> i.year*i.fip (rp5 core=rp5iv coreiv), fe i(id) vce(boot)
>
> i.year            _Iyear_1998-2002    (naturally coded; _Iyear_1998  
> omitted)
> i.fip             _Ifip_1-55          (naturally coded; _Ifip_1  
> omitted)
> i.year*i.fip      _IyeaXfip_#_#       (coded as above)
>
> (running xtivreg on estimation sample)
> _Iyear_2000 present in model more than once
> r(322);
>
> Ordinarily, Stata drops dummies to deal with multi-collinearity  
> created by the dummy trap problem, so I'm not sure what is  
> happening here. Apologies if the answer's obvious.
>
> scott
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