st: RE: Error in ivreg2 and ivregress

[B Villena <benjaminvillena@hotmail.com>]

Dear Mark,

Thank you for your prompt answer
I updated my versions of ivreg2 and ranktest as you suggested. However, I get a different error code
invsym(): matrix has missing values
r(504);
r(504);

Regarding repeated instruments, I only notice that ivreg2 detects this situation, so I do not believe it is the reason of the error.
I suspect this problem arises due to high collinearity among instruments (R-squared for regressions of one instrument against the other ones can be as high as 0.9 in my data) . Since this R-squared is quite high, I have dropped one of the instruments to make ivreg2 work in this case. Given the high collinearity among instruments, I guess this approach is losing little information. 
 
Nevertheless, I still wonder whether there may be some other bug in my code or in ivreg2 - ivregress code. The collinearity seems high, but not that high!

In addition, I follow your suggestion of using ivreg2 to compute a 2SLS estimator in this case. I do obtain a meaningful estimation with 2SLS. However, I strongly prefer LIML in this case since the instruments seem somewhat weak. 

Thanks a lot

B



> Subject: st: RE: Error in ivreg2 and ivregress
> Date: Fri, 22 Jul 2011 23:11:56 +0100
> From: M.E.Schaffer@hw.ac.uk
> To: statalist@hsphsun2.harvard.edu
> 
> Benjamin,
> 
> A few suggestions/thoughts:
> 
> 1. Tell us which versions of -ivreg2- and -ranktest- you have
> installed. (Use the -which- command.) You may not have the most
> up-to-date versions (they should be 3.0.06 and 1.2.03, respectively).
> 
> 2. When you say
> 
> > In both cases there is a repeated instrument on the exogenous 
> > instruments list, i.e. z2=z3 in the above example 
> 
> I don't understand what you mean. If z2 and z3 are identical, then it
> makes no sense to include them both since they are perfectly collinear.
> But -ivreg2- (and, I think -ivregress-) should catch this and drop one
> of them.
> 
> 3. LIML and 2SLS are very closely related. If this is a data-driven
> problem, it will probably be apparent in the 2SLS output. Also, the
> collinearity in (2) should be reported in the -ivreg2- 2SLS output. You
> can share this output with us if you want.
> 
> 4. If it's data related, you might be able to address it by
> partialling-out some of the regressors using the -partial- option.
> 
> HTH,
> Mark
> 
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu 
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of B Villena
> > Sent: 22 July 2011 22:42
> > To: Statalist
> > Subject: st: Error in ivreg2 and ivregress
> > 
> > 
> > Hello,
> > 
> > I'm trying to estimate a series of linear IV model by LIML 
> > using the user-written command ivreg2.
> > 
> > 
> > 
> > > ivreg2 y x1 x2 x3 (y1 y2 = z1 z2 z3 z4) if sample==1, liml first 
> > > savefirst
> > 
> > I obtain the following error message
> > 
> > 
> > 
> > (** On entry to DSTEIN parameter 6 had an illegal value)
> > _symeigen_la(): 3930 error in LAPACK routine
> > _symeigen_work(): - function returned error
> > _symeigensystem(): - function returned error
> > symeigensystem(): - function returned error
> > rkstat(): - function returned error
> > <istmt>: - function returned error
> > r(3930);
> > 
> > 
> > As far as I know, it seems that LAPACK cannot compute 
> > eigenvalues needed to obtain LIML estimator
> > 
> > 
> > 
> > I have tried using Stata 11 command ivregress. 
> > 
> > > ivregress liml y x1 x2 x3 (y1 y2 = z1 z2 z3 z4) if sample==1, first
> > 
> > 
> > 
> > It does not work, either
> > 
> > 
> > 
> > I get the following error message
> > 
> > 
> > 
> > estimates post: matrix has missing values r(504); r(504);
> > 
> > 
> > 
> > In both cases there is a repeated instrument on the exogenous 
> > instruments list, i.e. z2=z3 in the above example 
> > 
> > However, this does not seem to be the problem since I have 
> > made some similar estimations with some repeated
> > 
> > instruments and both commands seem to deal with this issue 
> > very well in other cases.
> > 
> > 
> > 
> > Has anyone experienced a similar problem? Is there any way to 
> > circumvent this problem?
> > 
> > Is it possible that this problem is related to an unfortunate 
> > data configuration?
> > 
> > 
> > 
> > Best regards,
> > 
> > 
> > 
> > Benjamin 
> > *
> > * For searches and help try:
> > * http://www.stata.com/help.cgi?search
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> > 
> 
> 
> -- 
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
> 
> 
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