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st: GMM with 93+ regressors produces error
From
Julian Reif <[email protected]>
To
[email protected]
Subject
st: GMM with 93+ regressors produces error
Date
Sat, 26 Feb 2011 15:08:33 -0600
Is it possible to run -gmm- with more than 92 regressors? I encounter the error "could not evaluate equation 1" when I try to do so. The following logit example, run on Stata 11.1, reproduces the error:
-------------------
-------------------
clear all
set seed 38
set obs 93
gen id = _n
expand 10
gen lhs = uniform() < 0.5
xi I.id
* These two commands should produce the same coefficient estimates. -gmm- produces an error here though.
logit lhs _I*
gmm (lhs - exp({xb: _I*}+{b0})/(1+exp({xb:}+{b0}))), instruments( _I*) onestep derivative(/xb = -1*( exp({xb:}+{b0}) / ((1+exp({xb:}+{b0}))^2) )) derivative(/b0 = -1*( exp({xb:}+{b0}) / ((1+exp({xb:}+{b0}))^2) ))
* Dropping one regressor makes error message go away
drop if id==93
drop _Iid_93
logit lhs _I*
gmm (lhs - exp({xb: _I*}+{b0})/(1+exp({xb:}+{b0}))), instruments( _I*) onestep derivative(/xb = -1*( exp({xb:}+{b0}) / ((1+exp({xb:}+{b0}))^2) )) derivative(/b0 = -1*( exp({xb:}+{b0}) / ((1+exp({xb:}+{b0}))^2) ))
Julian
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