--- On Mon, 21/12/09, Ekrem Kalkan wrote:
> I am estimating a system of 14 equations, each with
> nearly 40 variables. I have also 20 excluded instruments. What
> do you mean by "empty"model? If you mean the model without
> explanatory variables, there will be only 14 constant term to
> be estimated. Is it too large?
I am afraid that this could very well be the case. Think of it
this way: you have only a bit more than 60 observations per
equation. 60 is OK but not great for linear regression, as it
is known to be robust, well behaved, and stable, but your are
realy pushing your luck when using such small sample sizes for
anything more complicated. This is especially true for anything
involving instrumental variables, these models can easily eat
huge amounts of statistical power.
I hope I haven't ruined your Christmas,
Maarten
--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany
http://www.maartenbuis.nl
--------------------------
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