RE: st: RE: RE: Error in ivreg2 and ivregress (correction)

[B Villena <benjaminvillena@hotmail.com>]

A correction,
I said "If I run ivregress in my server session 2 I get the error message"
 
I really wanted to say 
If I run ivregress in my server session 1 I get the error message



----------------------------------------
> From: benjaminvillena@hotmail.com
> To: statalist@hsphsun2.harvard.edu
> Subject: RE: st: RE: RE: Error in ivreg2 and ivregress
> Date: Mon, 25 Jul 2011 12:53:49 -0400
>
>
>
> Dear Mark,
>
>
> I have run several experiments to try to undersantd what going on.
> The most surprising result is that LIML ivreg2 and ivregress do work when I used my laptop (Windows XP) instead of my server (Windows 7).
>
> Even more surprising to me is the fact that I run a second session of Stata 11.2 in my Windows 7 server, ivreg2 and ivregress work!!! I obtain the same results I got in my laptop.
>
> I investigated further this issue by running 2SLS in my server session 1 and session 2, and in my laptop. I got the same results!!
>
> However, if I try to run ivreg2 in my server session 1 I get the following error message
>
> invsym(): matrix has missing values
> r(504);
>
>
> If I run ivregress in my server session 2 I get the error message
>
> estimates post: matrix has missing values
> r(504);
>
>
> I have to add the fact that this problem happened when I was running 16 Stata 11.2 sessions in my server. Do you think this fact could explain some computer diminished performance?
>
> All this issue looks incredibly odd to me, so I'd really appreciate if you help me understand what's going on
>
> Best,
>
> B
>
>
>
>
> ----------------------------------------
> > Subject: st: RE: RE: Error in ivreg2 and ivregress
> > Date: Sat, 23 Jul 2011 14:25:13 +0100
> > From: M.E.Schaffer@hw.ac.uk
> > To: statalist@hsphsun2.harvard.edu
> >
> > Benjamin,
> >
> > > -----Original Message-----
> > > From: owner-statalist@hsphsun2.harvard.edu
> > > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of B Villena
> > > Sent: 23 July 2011 06:14
> > > To: Statalist
> > > Subject: st: RE: Error in ivreg2 and ivregress
> > >
> > >
> > > 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.
> >
> > Maybe, but you shouldn't do it anyway. It makes no sense.
> >
> > > 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.
> >
> > Impossible to say without seeing more details. For example, you could
> > have very badly scaled data. If the mean of one variable is 000000s of
> > times larger than the other, you can have big numerical problems with
> > matrix inversion.
> >
> > > Nevertheless, I still wonder whether there may be some other
> > > bug in my code or in ivreg2 - ivregress code.
> >
> > The bug is very unlikely to be in the estimators - the two programs are
> > independently written. The problem is in your specification/data.
> >
> > > 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.
> >
> > You should probably be able to tell from the first and second stage
> > output where the problem is. That was the reason I suggested you try
> > 2SLS.
> >
> > > However, I strongly prefer
> > > LIML in this case since the instruments seem somewhat weak.
> >
> > You also should try partialling out the exogenous regressors that aren't
> > of interest (if there are any).
> >
> > Yours,
> > Mark
> >
> > >
> > > 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
> > > > > *
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> > > > >
> > > >
> > > >
> > > > --
> > > > Heriot-Watt University is a Scottish charity registered
> > > under charity
> > > > number SC000278.
> > > >
> > > >
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> > >
> >
> >
> > --
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> > registered under charity number SC000278.
> >
> >
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