向各位大牛请教一个问题,我进行了工具变量回归,进行检验,系统无法报告“Hansen-J 过度识别检验”值,提示如下:------------------------------------------------------------------------------
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:
singleton dummy variable (dummy with one 1 and N-1 0s or vice versa)
partial option may address problem.
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这个要怎么解决啊?我用的是ivreg2。求大牛们指导。问题好像出在i.Industry上面,因为加上行业就出错。ivreg2 lntfp $control (BQZC=BQZC11 BQZC12) i.Year i.Industry1 ,robust first