Re: st: Dummies for Instruments using "IVQREG"

[Nick Cox <njcoxstata@gmail.com>]

You don't say where this user-written program comes from, contrary to
a longstanding request on this list made explicit in the FAQ.

I'd refer you to previous threads on this list about this program, the
most recent I think starting at

http://www.stata.com/statalist/archive/2013-05/msg01075.html

I have never seen this program but it seems from Statalist postings
that many people have found it problematic.
Nick
njcoxstata@gmail.com


On 30 July 2013 18:30, Jim Bang <bangjamest@sau.edu> wrote:
> Statalist,
> I am estimating expenditures for a model with potentially endogenous
> regressors at various quantiles using IVQREG.
> I seem to have trouble obtaining standard error estimates for my model
> because I am including dummies for region and occupation, and I am
> using dummy variables for instruments in my first stage estimates.
> The initial 2SLS results compute fine. In the grid search, I get the
> following warning:
>
> Warning:  variance matrix is nonsymmetric or highly singular
>
> The routine does not report standard errors; only coefficients. Does
> anyone know of a possible bug in the program that might make the SE's
> unstable when there are dummy variables in the instrument list and/or
> controls. I get a similar error when I am estimating the model with
> non-dummy instruments, if there is a substantial number of dummy
> variables in the list of exogenous controls.
> Best,
> Jim
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