Fix 2SLS drop linearly dependent check fix (#82)

Fixes #78.
Nosferican · Dec 5, 2022 · 1e0fb4d · 1e0fb4d
1 parent 0146365
commit 1e0fb4d
Showing 1 changed file with 3 additions and 1 deletion.
diff --git a/src/solvers.jl b/src/solvers.jl
@@ -113,7 +113,9 @@ end
  bkr = count(x -> abs(x) ≥ √eps(), F.D)
  if bkr < size(F, 2)
  lin_ind = sort!(invperm(F.p)[1:bkr])
- count(x -> lin_ind > size(X, 2) + 1) ≥ size(z, 2) ||
+ F₀ = bunchkaufman(Hermitian(X' * Diagonal(w) * X), true, check = false)
+ num_of_linear_independent_exogenous_vars = count(x -> abs(x) ≥ √eps(), F₀.D)
+ (length(lin_ind) - num_of_linear_independent_exogenous_vars) ≥ size(z, 2) ||
  throw(ArgumentError("Insufficient number of instruments."))
  Z̃ = Z̃[:,lin_ind]
  F = bunchkaufman(Hermitian(Z̃' * Diagonal(w) * Z̃), true)