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st: which F-test do I report from xtivreg first stage
From
David Torres <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: which F-test do I report from xtivreg first stage
Date
Fri, 6 Dec 2013 16:31:54 -0500
Hello again, Statalisters,
I am utilizing the xtivreg's postestimation command, xtoverid (with the noisily option), to get first stage estimates along with the F-test.
I am unsure which of the F-tests I'm supposed to report. At the top of the OLS regression of the first stage there is the F for the model. Below the first stage model, though, is the F-test of excluded instruments, also called the Angrist-Pischke multivariate F test of excluded instruments. I'm thinking it's the latter that I should be reporting. Am I right?
Diego
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