Dear all,

I am looking to the impact of immigration on firm level outcomes during the period 2006-2015.
I have instrumented the city level immigration density (im_den_city) with an instrument called instrument_p. Immigration starts at year 2013. before that year both immigration and instruments has a value of 0.

I have the following warnings:

1) How can I proceed to fix this problem?
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 problem.

2) With regard to instrument_p it says that it has been excluded. I am not sure what included and excluded instruments at the end of my output means.



"Excluded instruments: instrument_p"

Thank you very much,

Nazlı

. foreach s of varlist man {
2. foreach x of varlist multi {
3. foreach z of varlist im_den_city {
4. foreach t of varlist reldsales_c {
5. local components "1m1 "
6. foreach y of local components {
7.
.
. xi:xtivreg2 `t' (`z'=instrument_p) i.year i.il_kodu if drop10_ncidef`y'!=1 & `x'==1 & `s'==1 , fe cluster (id)
8.
. }
9. }
10. }
11. }
12. }
i.year _Iyear_2006-2015 (naturally coded; _Iyear_2006 omitted)
i.il_kodu _Iil_kodu_1-81 (naturally coded; _Iil_kodu_1 omitted)
Warning - singleton groups detected. 19126 observation(s) not used.
Warning - collinearities detected
Vars dropped: _Iil_kodu_24 _Iil_kodu_30 _Iil_kodu_40 _Iil_kodu_56
_Iil_kodu_62 _Iil_kodu_75

FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 46807 Obs per group: min = 2
avg = 5.1
max = 10
Warning - collinearities detected
Vars dropped: _Iil_kodu_24 _Iil_kodu_30 _Iil_kodu_40 _Iil_kodu_56 _Iil_kodu_62
_Iil_kodu_75

IV (2SLS) estimation
--------------------

Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity and clustering on id

Number of clusters (id) = 46807 Number of obs = 237399
F( 84, 46806) = 99896.22
Prob > F = 0.0000
Total (centered) SS = 5069205.746 Centered R2 = 0.1053
Total (uncentered) SS = 5069205.746 Uncentered R2 = 0.1053
Residual SS = 4535499.256 Root MSE = 4.878

------------------------------------------------------------------------------
| Robust
reldsales_c | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
im_den_city | -.5762036 .0989316 -5.82 0.000 -.770106 -.3823012
_Iyear_2007 | .0976648 .0340531 2.87 0.004 .0309219 .1644076
_Iyear_2008 | -.0009134 .0451861 -0.02 0.984 -.0894765 .0876498
_Iyear_2009 | .096658 .0568388 1.70 0.089 -.014744 .20806
_Iyear_2010 | -.4168823 .0621761 -6.70 0.000 -.5387452 -.2950194
_Iyear_2011 | -.7950301 .0646489 -12.30 0.000 -.9217397 -.6683205
_Iyear_2012 | -1.020196 .0674435 -15.13 0.000 -1.152383 -.8880092
_Iyear_2013 | -.9302921 .0733194 -12.69 0.000 -1.073996 -.7865887
_Iyear_2014 | -.0683102 .1675632 -0.41 0.684 -.396728 .2601076
_Iyear_2015 | .3587017 .2340339 1.53 0.125 -.0999963 .8173998
_Iil_kodu_2 | 29.44216 15.43727 1.91 0.056 -.8143299 59.69864
_Iil_kodu_3 | 8.690306 5.278822 1.65 0.100 -1.655995 19.03661
_Iil_kodu_4 | 91.34342 2.706396 33.75 0.000 86.03898 96.64786
_Iil_kodu_5 | 48.80796 15.70783 3.11 0.002 18.02117 79.59475
_Iil_kodu_6 | -8.393589 3.064385 -2.74 0.006 -14.39967 -2.387506
_Iil_kodu_7 | -1.897948 4.526884 -0.42 0.675 -10.77048 6.974582
_Iil_kodu_8 | 84.20466 3.233215 26.04 0.000 77.86767 90.54164
_Iil_kodu_9 | 7.347658 6.79714 1.08 0.280 -5.974491 20.66981
_Iil_kodu_10 | -2.250266 3.957938 -0.57 0.570 -10.00768 5.50715
_Iil_kodu_11 | 30.87525 7.548087 4.09 0.000 16.08127 45.66923
_Iil_kodu_12 | 19.73949 9.05987 2.18 0.029 1.982474 37.49651
_Iil_kodu_13 | 86.39555 19.42912 4.45 0.000 48.31517 124.4759
_Iil_kodu_14 | 9.951167 7.597492 1.31 0.190 -4.939644 24.84198
_Iil_kodu_15 | 12.84179 7.422838 1.73 0.084 -1.706702 27.39029
_Iil_kodu_16 | -5.589553 2.914063 -1.92 0.055 -11.30101 .1219053
_Iil_kodu_17 | 26.20636 10.70143 2.45 0.014 5.231931 47.18078
_Iil_kodu_18 | 27.33962 9.662762 2.83 0.005 8.400955 46.27829
_Iil_kodu_19 | 20.59317 9.56091 2.15 0.031 1.854126 39.3322
_Iil_kodu_20 | 5.635091 8.006624 0.70 0.482 -10.0576 21.32779
_Iil_kodu_21 | 15.34765 10.44991 1.47 0.142 -5.133799 35.82911
_Iil_kodu_22 | 15.78745 8.178687 1.93 0.054 -.2424824 31.81738
_Iil_kodu_23 | -.6148941 4.92977 -0.12 0.901 -10.27707 9.047278
_Iil_kodu_24 | 0 (omitted)
_Iil_kodu_25 | 93.5898 2.914792 32.11 0.000 87.87691 99.30268
_Iil_kodu_26 | 1.787383 3.86693 0.46 0.644 -5.79166 9.366426
_Iil_kodu_27 | 9.358109 5.326706 1.76 0.079 -1.082043 19.79826
_Iil_kodu_28 | 15.13512 9.226111 1.64 0.101 -2.947721 33.21797
_Iil_kodu_29 | 50.06381 15.71621 3.19 0.001 19.2606 80.86701
_Iil_kodu_30 | 0 (omitted)
_Iil_kodu_31 | -.966562 4.928978 -0.20 0.845 -10.62718 8.694057
_Iil_kodu_32 | 15.90747 8.069256 1.97 0.049 .0920174 31.72292
_Iil_kodu_33 | 1.679033 3.576014 0.47 0.639 -5.329825 8.687891
_Iil_kodu_34 | -9.500203 2.707073 -3.51 0.000 -14.80597 -4.194438
_Iil_kodu_35 | -8.231145 3.22713 -2.55 0.011 -14.5562 -1.906087
_Iil_kodu_36 | 72.78962 3.22789 22.55 0.000 66.46308 79.11617
_Iil_kodu_37 | 28.97764 9.355766 3.10 0.002 10.64068 47.31461
_Iil_kodu_38 | 2.104457 3.428279 0.61 0.539 -4.614846 8.823761
_Iil_kodu_39 | 24.9803 6.165805 4.05 0.000 12.89554 37.06505
_Iil_kodu_40 | 0 (omitted)
_Iil_kodu_41 | -6.946914 2.740893 -2.53 0.011 -12.31897 -1.574863
_Iil_kodu_42 | -2.132555 3.659241 -0.58 0.560 -9.304536 5.039425
_Iil_kodu_43 | 18.73004 8.19139 2.29 0.022 2.675212 34.78487
_Iil_kodu_44 | 1.792785 4.194343 0.43 0.669 -6.427976 10.01355
_Iil_kodu_45 | -1.724836 3.584113 -0.48 0.630 -8.749568 5.299897
_Iil_kodu_46 | 8.197997 7.346484 1.12 0.264 -6.200847 22.59684
_Iil_kodu_47 | 55.57709 17.31028 3.21 0.001 21.64957 89.50461
_Iil_kodu_48 | 12.09063 5.790977 2.09 0.037 .7405226 23.44074
_Iil_kodu_49 | 30.12639 20.85611 1.44 0.149 -10.75083 71.00362
_Iil_kodu_50 | 34.41206 12.18093 2.83 0.005 10.53786 58.28625
_Iil_kodu_51 | 28.72148 11.185 2.57 0.010 6.799287 50.64367
_Iil_kodu_52 | 2.931459 5.135767 0.57 0.568 -7.134459 12.99738
_Iil_kodu_53 | -1.18564 8.071651 -0.15 0.883 -17.00579 14.6345
_Iil_kodu_54 | 6.575063 4.137674 1.59 0.112 -1.534629 14.68475
_Iil_kodu_55 | 10.7979 6.190758 1.74 0.081 -1.335759 22.93157
_Iil_kodu_56 | 0 (omitted)
_Iil_kodu_57 | 32.21007 11.13716 2.89 0.004 10.38164 54.03851
_Iil_kodu_58 | 9.569923 4.094442 2.34 0.019 1.544965 17.59488
_Iil_kodu_59 | -2.217016 2.859863 -0.78 0.438 -7.822245 3.388212
_Iil_kodu_60 | 13.01561 10.62499 1.23 0.221 -7.808982 33.84021
_Iil_kodu_61 | 24.55625 9.033255 2.72 0.007 6.851392 42.2611
_Iil_kodu_62 | 0 (omitted)
_Iil_kodu_63 | 28.65346 9.808822 2.92 0.003 9.428518 47.87839
_Iil_kodu_64 | 13.82003 6.043842 2.29 0.022 1.974321 25.66575
_Iil_kodu_65 | 48.83981 19.42984 2.51 0.012 10.75803 86.92159
_Iil_kodu_66 | 38.0031 13.58574 2.80 0.005 11.37553 64.63067
_Iil_kodu_67 | 13.1867 8.347137 1.58 0.114 -3.173388 29.54679
_Iil_kodu_68 | 38.12765 15.35253 2.48 0.013 8.03724 68.21805
_Iil_kodu_69 | 89.88754 2.708209 33.19 0.000 84.57955 95.19553
_Iil_kodu_70 | 5.99614 3.958578 1.51 0.130 -1.76253 13.75481
_Iil_kodu_71 | 35.56 11.5334 3.08 0.002 12.95496 58.16504
_Iil_kodu_72 | 9.60446 6.049997 1.59 0.112 -2.253316 21.46224
_Iil_kodu_73 | 82.84697 13.96029 5.93 0.000 55.4853 110.2086
_Iil_kodu_74 | 14.36211 16.82778 0.85 0.393 -18.61973 47.34395
_Iil_kodu_75 | 0 (omitted)
_Iil_kodu_76 | 103.5301 38.2773 2.70 0.007 28.50793 178.5522
_Iil_kodu_77 | 21.50701 7.554147 2.85 0.004 6.701157 36.31287
_Iil_kodu_78 | -5.289692 3.28385 -1.61 0.107 -11.72592 1.146535
_Iil_kodu_79 | 120.091 10.94817 10.97 0.000 98.63298 141.549
_Iil_kodu_80 | 22.03528 5.565299 3.96 0.000 11.1275 32.94307
_Iil_kodu_81 | 13.29335 4.761517 2.79 0.005 3.960952 22.62576
------------------------------------------------------------------------------
Underidentification test (Kleibergen-Paap rk LM statistic): 24.381
Chi-sq(1) P-val = 0.0000
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic): 4.3e+04
(Kleibergen-Paap rk Wald F statistic): 187.695
Stock-Yogo weak ID test critical values: 10% maximal IV size 16.38
15% maximal IV size 8.96
20% maximal IV size 6.66
25% maximal IV size 5.53
Source: Stock-Yogo (2005). Reproduced by permission.
NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors.
------------------------------------------------------------------------------
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 problem.
------------------------------------------------------------------------------
Instrumented: im_den_city
Included instruments: _Iyear_2007 _Iyear_2008 _Iyear_2009 _Iyear_2010
_Iyear_2011 _Iyear_2012 _Iyear_2013 _Iyear_2014
_Iyear_2015 _Iil_kodu_2 _Iil_kodu_3 _Iil_kodu_4
_Iil_kodu_5 _Iil_kodu_6 _Iil_kodu_7 _Iil_kodu_8
_Iil_kodu_9 _Iil_kodu_10 _Iil_kodu_11 _Iil_kodu_12
_Iil_kodu_13 _Iil_kodu_14 _Iil_kodu_15 _Iil_kodu_16
_Iil_kodu_17 _Iil_kodu_18 _Iil_kodu_19 _Iil_kodu_20
_Iil_kodu_21 _Iil_kodu_22 _Iil_kodu_23 _Iil_kodu_25
_Iil_kodu_26 _Iil_kodu_27 _Iil_kodu_28 _Iil_kodu_29
_Iil_kodu_31 _Iil_kodu_32 _Iil_kodu_33 _Iil_kodu_34
_Iil_kodu_35 _Iil_kodu_36 _Iil_kodu_37 _Iil_kodu_38
_Iil_kodu_39 _Iil_kodu_41 _Iil_kodu_42 _Iil_kodu_43
_Iil_kodu_44 _Iil_kodu_45 _Iil_kodu_46 _Iil_kodu_47
_Iil_kodu_48 _Iil_kodu_49 _Iil_kodu_50 _Iil_kodu_51
_Iil_kodu_52 _Iil_kodu_53 _Iil_kodu_54 _Iil_kodu_55
_Iil_kodu_57 _Iil_kodu_58 _Iil_kodu_59 _Iil_kodu_60
_Iil_kodu_61 _Iil_kodu_63 _Iil_kodu_64 _Iil_kodu_65
_Iil_kodu_66 _Iil_kodu_67 _Iil_kodu_68 _Iil_kodu_69
_Iil_kodu_70 _Iil_kodu_71 _Iil_kodu_72 _Iil_kodu_73
_Iil_kodu_74 _Iil_kodu_76 _Iil_kodu_77 _Iil_kodu_78
_Iil_kodu_79 _Iil_kodu_80 _Iil_kodu_81
Excluded instruments: instrument_p
Dropped collinear: _Iil_kodu_24 _Iil_kodu_30 _Iil_kodu_40 _Iil_kodu_56
_Iil_kodu_62 _Iil_kodu_75
------------------------------------------------------------------------------