Hi,
I am using xtivreg2 to estimate a fixed effects model. My data is a
cross-section of firms across countries. My concern is that while the
instruments seem to pass all the tests of weak instruments, the first
stage F-stat (and the corresponding Kleibergen-Paap Wald rk F
statistic) is extremely high making me wonder if there is something
wrong here. This seems to be the case only when I ask for clustered
standard errors. Could someone please help me interpret this? I am
posting the output below.
Thanks
Meg
xtivreg2 gro size (x1=z1), cluster(cnum) fe ffirst liml
FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 79 Obs per group: min = 15
avg = 78.9
max = 378
Summary results for first-stage regressions
-------------------------------------------
Variable | Shea Partial R2 | Partial R2 | F( 1, 78) P-value
gcf | 0.0585 | 0.0585 | 17074.85 0.0000
NB: first-stage F-stat cluster-robust
Underidentification tests
Ho: matrix of reduced form coefficients has rank=K1-1 (underidentified)
Ha: matrix has rank=K1 (identified)
Kleibergen-Paap rk LM statistic Chi-sq(1)=50.27 P-val=0.0000
Kleibergen-Paap rk Wald statistic Chi-sq(1)=17296.53 P-val=0.0000
Weak identification test
Ho: equation is weakly identified
Kleibergen-Paap Wald rk F statistic 17074.85
See main output for Cragg-Donald weak id test critical values
Weak-instrument-robust inference
Tests of joint significance of endogenous regressors B1 in main equation
Ho: B1=0 and overidentifying restrictions are valid
Anderson-Rubin Wald test F(1,78)= 3.98 P-val=0.0497
Anderson-Rubin Wald test Chi-sq(1)=4.03 P-val=0.0448
Stock-Wright LM S statistic Chi-sq(1)=3.46 P-val=0.0628
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