However, in the first one, ivreg2 detects that the instruments foreign#c.turn are multicollinear with i.turn, whereas in the second it does not detect collinearity as far as I can see, looking at return macros such as e(exexog). This matters to me because I would like to make boottest return the same results after both. However, boottest relies on ivreg2 to detect and mark collinear instruments. Since none are marked in the second case, boottest is returning wrong results after that command line, at least when doing the Anderson-Rubin test.
Do you think there's anything to be done about this?
Thanks.
These two commands return basically the same results:
However, in the first one, ivreg2 detects that the instruments foreign#c.turn are multicollinear with i.turn, whereas in the second it does not detect collinearity as far as I can see, looking at return macros such as e(exexog). This matters to me because I would like to make
boottestreturn the same results after both. However,boottestrelies on ivreg2 to detect and mark collinear instruments. Since none are marked in the second case, boottest is returning wrong results after that command line, at least when doing the Anderson-Rubin test.Do you think there's anything to be done about this? Thanks.