Dear Statalisters,
I am working with an unbalanced panel data (385 observations, T=21, N=21). I am trying to estimate a fixed effects IV regression:
var1 and var2 are exogenours, var3 is endogenous and I instrument it using z. var2_var3 = var2*var3 and z_var3 = z*var3.
(-xtivreg2 is not allowing me to use -fvarlist- so I am doing interactions manually).
Stata gives the following error message:
Warning: estimated covariance matrix of moment conditions not of full rank. overidentification statistic not reported, and standard errors and model tests should be interpreted with caution. Possible causes: number of clusters insufficient to calculate robust covariance matrix singleton dummy variable (dummy with one 1 and N-1 0s or vice versa) partial option may address the problem.
The error does not come when I remove the year fixed effects i.year. Does anyone know why this is happening and what the warning means?
Many thanks,
Mihir
I am working with an unbalanced panel data (385 observations, T=21, N=21). I am trying to estimate a fixed effects IV regression:
Code:
xi: xtivreg2 y var1 var2 i.year (var3 var2_var3 = z z_var3), fe cluster(id)
(-xtivreg2 is not allowing me to use -fvarlist- so I am doing interactions manually).
Stata gives the following error message:
Warning: estimated covariance matrix of moment conditions not of full rank. overidentification statistic not reported, and standard errors and model tests should be interpreted with caution. Possible causes: number of clusters insufficient to calculate robust covariance matrix singleton dummy variable (dummy with one 1 and N-1 0s or vice versa) partial option may address the problem.
The error does not come when I remove the year fixed effects i.year. Does anyone know why this is happening and what the warning means?
Many thanks,
Mihir
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