st: RE: error message returned after -ivregress 2sls

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

Sybil,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Shi, Shishan (MU-Student)
> Sent: Monday, December 31, 2012 12:44 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: error message returned after -ivregress 2sls
> 
> Hi Stata users, 
> I think someone had the same problem as I do, but I didn't 
> find the answer to that question, so I posted mine again. 
> I am trying to run a 2SLS with fixed effect, and clustering 
> at the cl.var level. 
> 
> My codes are
>  ivregress 2sls depvar indepvar dummy1-dummy1363 
> (endogenous.var = IV), vce(cl cl.var) 
> 
> dummy1-dummy1363 are dummy variables I created for running 
> fixed effect. 
> xtivreg doesn't allow clustering so I have to use the dummy 
> variable approach to do the fixed effect. 
> 
> I got the following error message:       
> 
> _rmcoll2list_wrk():  3301  subscript invalid                
>   <istmt>:     -  function returned error r(3301); 
> 
> If I run the same codes without the dummy variables, I got no 
> error message. Can someone help me with this? 
> 
> Thanks, 
> Sybil

Most likely you have too many dummies for a sensible use of the LSDV
approach (you really don't want Stata to have to invert a 1300x1300
matrix!).

xtivreg2 (downloadable from ssc in the usual way, but you also have to
install ivreg2 and ranktest) supports FE and FD estimation with
cluster-robust SEs.

HTH,
Mark

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