Re: st: GMM with 93+ regressors produces error

[Stas Kolenikov <skolenik@gmail.com>]

This is not the limits of -gmm- issue, but that of perfect
collinearity. You have 93 groups, you generate 93 dummies, and you
still add {b0} on top of that. That ain't gonna be identified, sorry.
Dropping one variable should've given that away. No limits for -gmm-
are reported in -help limits-, although I would suspect that with
complicated expressions you might start hitting the limits on the # of
literals or operators in your expressions. (Some of my calls to -gmm-,
collected via cycles in local macros, expand to eight or so lines, but
still run.)

On Sat, Feb 26, 2011 at 4:08 PM, Julian Reif <jreif@uchicago.edu> wrote:
> 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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> *   http://www.stata.com/help.cgi?search
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> *   http://www.ats.ucla.edu/stat/stata/
>



-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
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