RE: st: Multicollinearity warning with condivreg

[Dana Shills <shills52@hotmail.com>]

Yes definitely - a reference category has been dropped. Furthermore, I am using the xi command to generate the dummies and stata automatically drops a reference category.
 

> Date: Mon, 12 Apr 2010 06:34:17 +0000
> From: maartenbuis@yahoo.co.uk
> Subject: Re: st: Multicollinearity warning with condivreg
> To: statalist@hsphsun2.harvard.edu
> 
> --------------------------
> Maarten L. Buis
> Institut fuer Soziologie
> Universitaet Tuebingen
> Wilhelmstrasse 36
> 72074 Tuebingen
> Germany
> 
> http://www.maartenbuis.nl
> --------------------------
> 
> 
> --- On Mon, 12/4/10, Dana Shills wrote:
>> I am estimating an instrumental variable regression with a
>> single endogenous regressor and a single instrument. (Among
>> other control variables are also several dummies for
>> industry, country, and time). The first stage F-stats are
>> very high and I am interested in reporting the conditional
>> likelihood ratio confidence intervals.
>> 
>> When I use the condivreg command with the Moreira and Poi
>> update (st0033_1 in SJ 5(2)), the estimation runs through
>> without providing any warnings (however the output in this
>> version doesn't provide confidence intervals). When I update
>> the command using the more recent update by Mikusheva and
>> Poi (st0033_2 in SJ 6(3)), I get "Multicollinearity"
>> warning. (I check both the first and second stage
>> regressions separately using OLS and VIFs are all less than
>> 10). What am I doing wrong? 
> 
> Have you for each categorical variable (industry, country and
> time) a reference category? So, say industry consists of the
> categories agriculture, mining, fishing, industry, and 
> services, then you would need to leave one of the dummies out
> of your model (e.g. the dummy for agriculture).
> 
> Hope this helps,
> Maarten
> 
> 
> 
> 
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