[Gretl-devel] Re: ivpanel numerical problem

On Mon, 15 Feb 2021, Allin Cottrell wrote: > On Mon, 15 Feb 2021, Sven Schreiber wrote: > >> I'm getting a matrix non-pos-def error when using the ivpanel addon. It >> concerns the function matrix_tsls, namely: >> >>    matrix nonzero = (abs(R[diag]) .> 1.0e-12)' >>    if minr(nonzero) == 1 >> >>        V = invpd(XQ * XQ') >> >> So the solution is apparently: remove the same regressors that Jack's >> felogit package removes automatically as (numerically) collinear. > > I agree, ivpanel should use the same approach as felogit on this point. In git ivpanel is revised to use dropcoll(), like felogit. It worked fine for me when I added a collinear term to the sample script but I won't publish the update to sourceforge until it's had some more checking.