st: Flagging estimation errors in -ivreg2-

["Michael S. Hanson" <mshanson@mac.com>]

	I have a do file that uses a lengthy set of nested loops to automate  
estimation of a large set of regressions using -ivreg2-, and  
iteratively build up a summary report.  The -ivreg2- commands are  
executed -quietly- and -capture-d to facilitate building the tables.   
Spot-checking a few individual estimations, I discovered that two  
problems that have silently occurred:

	1. Some regressors are dropped to perfect collinearity.  (This  
colinearity is not trivial, such as two identical regressors or a set  
of dummies reproducing the constant;  hence such regressions are very  
difficult to identify ex ante.)

	2. The VCV matrix fails a rank condition;  the error message  
displayed on the screen when estimated -noisily- is below.  (In my  
application, the "covariance matrix uses too many lags" may be the  
statistical source of the problem (still investigating), but the  
specified equations are theoretically sound.)

"Error: estimated covariance matrix of moment conditions not of full  
rank;
       overidentification statistic not reported, and standard  
errors and
       model tests should be interpreted with caution.
"Possible causes:
       covariance matrix of moment conditions not positive definite
       covariance matrix uses too many lags
       singleton dummy variable (dummy with one 1 and N-1 0s or vice  
versa)"

Note that -capture- still returns _rc = 0 in either of these cases --  
after all, some kind of estimates are reported by -ivreg2- -- so that  
does not appear to be a feasible way to "flag" these potentially  
problematic estimation results.  What I am looking for is some other  
way to determine that one (or both) of these errors has arisen with - 
ivreg2-, and thereby "flag" the output in the summary report so that  
I can go back and examine the small number (out of hundreds or  
thousands) of cases that may suffer from either issue.

	Any suggestions would be appreciated.

                                        -- Mike


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