estimated covariance matrix of moment conditions not of full rank when using "xtivreg2", please help me

[Khati Zolfaghari]

Hello everyone, I deal with a problem when I want to use an instrument in my regression.
I use a panel data, and I want to use a Bartik instrument in my analysis, however, I read all in terms of the

gen shock = log10(1+cases_pop)

gen shock_recession=.

replace shock_recession = ( dum_recession * shock )

replace shock_recession = 0 if shock_recession ==.

gen ydummy =.
replace ydummy=1 if (year==2003 | year==2009 | year==2012 | year==2014 | year==2016) 
replace ydummy=0 if ydummy==.

bys ifscode: egen mean_temp =mean(temperature)

gen instrument = ydummy * mean_temp

xtset ifscode year 
tab year, gen (tt)

xtset ifscode year 

foreach v in "ltotalfertility" {            
foreach vart in "0" "1" "2" "3" "4" "5"           {     

xi: xtivreg2  d`vart'`v' (shock_recession = instrument) l(0/2).shock_recession l(1/1).d0`v' tt*, fe partial(tt*) robust  kernel(tru) bw(1)

}
}

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:
covariance matrix of moment conditions not positive definite
covariance matrix uses too many lags
singleton dummy variable (dummy with one 1 and N-1 0s or vice versa)
partial option may address problem.

even when I exclude the partial part in my estimation I get again an error, and this error comes after the third time horizon. I try to understand that where is the problem and where I get zero in my matrixes:

. mat S=e(S)

. mat Sinv=invsym(S)

. mat list S

symmetric S[5,5]
                                                     L.           L2.            L.
                instrument  shock_rece~n  shock_rece~n  shock_rece~n  d0ltotalfe~y
  instrument     .03508023
shock_rece~n    -.00002694     .00001338
L.shock_re~n    -.00001444     7.438e-06     .00001412
L2.shock_r~n     -.0000263    -5.952e-07     7.192e-06     8.740e-06
L.d0ltotal~y    -.00003291     2.896e-08     1.648e-07     2.675e-08     5.736e-06

I hope I receive your assistance.

thank you so much in advance for your valuable time and advice.

regards,

[Khati Zolfaghari]

dear all I think I could overcome on my mistake. when I do a regression :

 
 xtset ifscode year   foreach v in "ltotalfertility" {             foreach vart in "0" "1" "2" "3" "4" "5"           {       xi: xtivreg2  d`vart'`v' (shock_recession = instrument) l(1/2).shock_recession l(1/1).d0`v' tt*, fe partial(tt*) robust  kernel(tru) bw(1)  } }

I have to consider l(1/1) because in the first stage we use an instrument.

would you please advise me if I am right?


regards,