st: RE: RE: xtivreg2 -- Instruments dropped

["Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>]

Ivan,

I had the same problem as Eric.  And there must be something else wrong, since there's only one instrument listed (L.govr_r) and you refer to "instruments".

Did xtivreg2 report collinearities among your instruments as a reason for dropping some?  Did xtivreg?  If so, were the dropped variables the same?

You might also want to compare the first-stage regressions of xtivreg2 and xtivreg.

Oh, and tell us which versions of xtivreg2, xtivreg and Stata you are using.

--Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of DE 
> SOUZA Eric
> Sent: 15 January 2011 12:02
> To: statalist@hsphsun2.harvard.edu
> Subject: st: RE: xtivreg2 -- Instruments dropped
> 
> Check the instruction you have posted:
> govr_r does not exist 
> 
> 
> 
> Eric de Souza
> College of Europe
> Brugge (Bruges), Belgium
> http://www.coleurope.eu
> 
> 
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Ivan Png
> Sent: 15 January 2011 12:43
> To: statalist@hsphsun2.harvard.edu
> Subject: st: xtivreg2 -- Instruments dropped
> 
> Dear Stata-list:
> 
> I'm having difficulty with xtivreg2
> 
> Each time, the system drops the instruments for the variable L.utsa.
> utsa is a state-time variable that varies across states and 
> times. I checked the instruments: they are state- and 
> time-varying.   I don't understand why the system drops the 
> instruments.  (I tried xtivreg and it works, but I would like 
> to use xtivreg2 so that I can get cluster standard errors and 
> the diagnostics for weak instruments).
> 
> 
> Please help.  Many thanks!
> 
> Data-set:
> http://www.comp.nus.edu.sg/~ipng/research/company_wrkg.dta
> 
> 
> Code:
> . xtset gvkey year
> 
> . xi: xtivreg2 xrdr_ln revtr_ln mktbook_mm ebitdar_ln taxcred ///
>     (L.utsa = L.govr_r) i.year trend_AL - trend_WY ///
>     if xrdr_count >= 6  , fe cluster(state_sic)
> 
> 
> 
> 
> --
> Ivan Png
> National U of Singapore
> 
> 
> 
> 
> --
> Skype: ipng00
> T: +65 6516 6807
> 
> 
> 
> --
> Skype: ipng00
> T: +65 6516 6807
> 
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